New Facets of Economic Complexity in Modern Financial Markets

ISBN-13: 9780367188290 / Angielski / Twarda / 2019 / 260 str.

Catherine Kyrtsou; Didier Sornette; Chris Adcock

Opis

The book is motivated by the disruptions introduced by the financial crisis and the many attempts that have followed to propose new ideas and remedies. This book was originally published as a special issue of The European Journal of Finance.

Spis treści

Introduction – New facets of the economic complexity in modern financial markets  1. Diagnostics of rational expectation financial bubbles with stochastic mean-reverting termination times  2. Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask  3. Heterogeneous expectations and exchange rate dynamics  4. Asymmetric returns, gradual bubbles and sudden crashes  5. Epidemics of rules, rational negligence and market crashes  6. A note on institutional hierarchy and volatility in financial markets  7. Identifying reference companies using the book-to-market ratio: a minimum spanning tree approach  8. Risk sharing in a financial market with endogenous option prices  9. Performance analysis of a collateralized fund obligation (CFO) equity tranche  10. Optimal liquidation strategies regularize portfolio selection  11. Nonlinear dynamics in economics and finance and unit root testing