Financial stability

When does volatility become a crash?



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

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References

Amini, Hamed, Rama Cont, and Andreea Minca. 2013. β€œResilience to Contagion in Financial Networks.” Mathematical Finance, October, n/a–.
Battiston, Stefano, Guido Caldarelli, Co-Pierre Georg, Robert May, and Joseph Stiglitz. n.d. β€œComplex Derivatives.” Nature Physics 9 (3): 123–25.
Colander, David, Michael Goldberg, Armin Haas, Katarina Juselius, Alan Kirman, Thomas Lux, and Brigitte Sloth. 2009. β€œThe Financial Crisis and the Systemic Failure of the Economics Profession.” Critical Review: A Journal of Politics and Society 21 (2): 249–67.
Glasserman, Paul, and H. Peyton Young. 2016. β€œContagion in Financial Networks.” Journal of Economic Literature 54 (3): 779–831.
Haldane, Andrew G, and Robert M May. 2011. β€œSystemic Risk in Banking Ecosystems.” Nature 469: 351–55.
Harmon, Dion, Marcus A. M. de Aguiar, David D. Chinellato, Dan Braha, Irving R. Epstein, and Yaneer Bar-Yam. 2011. β€œPredicting Economic Market Crises Using Measures of Collective Panic.” arXiv:1102.2620 [Physics, q-Fin], February.
Hobart, Byrne, and Tobias Huber. 2019. β€œManias and Mimesis: Applying RenΓ© Girard’s Mimetic Theory to Financial Bubbles.” SSRN Scholarly Paper ID 3469465. Rochester, NY: Social Science Research Network.
Hockett, Robert C., and Saule T. Omarova. 2016. β€œThe Finance Franchise.” SSRN Scholarly Paper ID 2820176. Rochester, NY: Social Science Research Network.
MacKenzie, Donald, and Taylor Spears. 2014. β€œβ€˜The Formula That Killed Wall Street’: The Gaussian Copula and Modelling Practices in Investment Banking.” Social Studies of Science 44 (3): 393–417.
Sornette, Didier. 2003. β€œCritical Market Crashes.” Physics Reports 378 (1): 1–98.
Sornette, Didier, and Peter Cauwels. 2015. β€œManaging Risk in a Creepy World.” Journal of Risk Management in Financial Institutions 8 (1): 83–108.
Watts, Samuel. 2016. β€œThe Gaussian Copula and the Financial Crisis: A Recipe for Disaster or Cooking the Books?” 25.

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