Financial stability

When does volatility become a crash?

October 21, 2019 β€” May 15, 2017

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Figure 1

Wired’s breathlessly enthusiastic coverage of (Harmon et al. 2011).

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1 References

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Battiston, Caldarelli, Georg, et al. n.d. β€œComplex Derivatives.” Nature Physics.
Colander, Goldberg, Haas, et al. 2009. β€œThe Financial Crisis and the Systemic Failure of the Economics Profession.” Critical Review: A Journal of Politics and Society.
Glasserman, and Young. 2016. β€œContagion in Financial Networks.” Journal of Economic Literature.
Haldane, and May. 2011. β€œSystemic Risk in Banking Ecosystems.” Nature.
Harmon, de Aguiar, Chinellato, et al. 2011. β€œPredicting Economic Market Crises Using Measures of Collective Panic.” arXiv:1102.2620 [Physics, q-Fin].
Hobart, and Huber. 2019. β€œManias and Mimesis: Applying RenΓ© Girard’s Mimetic Theory to Financial Bubbles.” SSRN Scholarly Paper ID 3469465.
Hockett, and Omarova. 2016. β€œThe Finance Franchise.” SSRN Scholarly Paper ID 2820176.
MacKenzie, and Spears. 2014. β€œβ€˜The Formula That Killed Wall Street’: The Gaussian Copula and Modelling Practices in Investment Banking.” Social Studies of Science.
Sornette. 2003. β€œCritical Market Crashes.” Physics Reports.
Sornette, and Cauwels. 2015. β€œManaging Risk in a Creepy World.” Journal of Risk Management in Financial Institutions.
Watts. 2016. β€œThe Gaussian Copula and the Financial Crisis: A Recipe for Disaster or Cooking the Books?”