Financial stability
When does volatility become a crash?
October 21, 2019 — May 15, 2017
catastrophe
economics
incentive mechanisms
institutions
markets
money
tail risk
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1 Generic financial stability
Wired’s breathlessly enthusiastic coverage of (Harmon et al. 2011).
🏗
2 Diversion
You know what is fun? Het Groote Tafereel der Dwaasheid, a 1720 Dutch book about the South Sea Bubble, the Mississippi Bubble, and … is there tulip mania in there somewhere? I cannot remember, but the whole thing is online and the engravings are incredible.
- De Actiewereld op haar einde, 1720, naar Pieter Jansz. — “Speculator at the end of the world”
- Quincampoix in duigen, anoniem, 1720 — Angry speculators trashing the joint
- The South Sea Bubble, 1720 for a bit of context
- Het Groote Tafereel der Dwaasheid at Harvard
- The Great Mirror of Folly, Or Het Groote Tafereel Der Dwaasheid at Yale
3 References
Amini, Cont, and Minca. 2013. “Resilience to Contagion in Financial Networks.” Mathematical Finance.
Battiston, Caldarelli, Georg, et al. n.d. “Complex Derivatives.” Nature Physics.
Colander, Goldberg, Haas, et al. 2009. “The Financial Crisis and the Systemic Failure of the Economics Profession.” Critical Review: A Journal of Politics and Society.
Farmer, Nakamura, and Steinsson. 2021. “Learning About the Long Run.” Working Paper. Working Paper Series.
Glasserman, and Young. 2016. “Contagion in Financial Networks.” Journal of Economic Literature.
Haldane, and May. 2011. “Systemic Risk in Banking Ecosystems.” Nature.
Harmon, de Aguiar, Chinellato, et al. 2011. “Predicting Economic Market Crises Using Measures of Collective Panic.” arXiv:1102.2620 [Physics, q-Fin].
Hobart, and Huber. 2019. “Manias and Mimesis: Applying René Girard’s Mimetic Theory to Financial Bubbles.” SSRN Scholarly Paper ID 3469465.
Hockett, and Omarova. 2016. “The Finance Franchise.” SSRN Scholarly Paper ID 2820176.
MacKenzie, and Spears. 2014. “‘The Formula That Killed Wall Street’: The Gaussian Copula and Modelling Practices in Investment Banking.” Social Studies of Science.
Salmon. 2012. “The Formula That Killed Wall Street.” Significance.
Sornette. 2003. “Critical Market Crashes.” Physics Reports.
Sornette, and Cauwels. 2015. “Managing Risk in a Creepy World.” Journal of Risk Management in Financial Institutions.