Exogenous and endogenous crashes as phase transitions in complex financial systems
AbstractIn this paper we provide a unifying framework for a set of seemingly disparate models for exogenous and endogenous shocks in complex financial systems. Markets operate by balancing intrinsic levels of risk and return. This remains true even in the midst of transitory external shocks. Changes in market regime (bearish to bullish and bullish to bearish) can be explicitly shown to represent a phase transition from random to deterministic behaviour in prices. The resulting models refine the empirical analysis in a number of previous papers.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 36202.
Date of creation: 26 Jan 2012
Date of revision:
Exogenous; Endogenous; Financial Crashes; Bubbles; Econophysics;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C00 - Mathematical and Quantitative Methods - - General - - - General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-20 (All new papers)
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