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The Lehman Brothers effect and bankruptcy cascades

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  • P. Sieczka
  • D. Sornette
  • J. Holyst

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Suggested Citation

  • P. Sieczka & D. Sornette & J. Holyst, 2011. "The Lehman Brothers effect and bankruptcy cascades," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 82(3), pages 257-269, August.
  • Handle: RePEc:spr:eurphb:v:82:y:2011:i:3:p:257-269
    DOI: 10.1140/epjb/e2011-10757-2
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    File URL: http://hdl.handle.net/10.1140/epjb/e2011-10757-2
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    References listed on IDEAS

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    1. Domenico Delli Gatti & Mauro Gallegati & Bruce C. Greenwald & Alberto Russo & Joseph E. Stiglitz, 2008. "Financially Constrained Fluctuations in an Evolving Network Economy," NBER Working Papers 14112, National Bureau of Economic Research, Inc.
    2. Yuichi Ikeda & Yoshi Fujiwara & Wataru Souma & Hideaki Aoyama & Hiroshi Iyetomi, 2007. "Agent Simulation of Chain Bankruptcy," Papers 0709.4355, arXiv.org.
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    Cited by:

    1. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
    2. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
    3. Jean-Philippe Bouchaud, 2012. "Crises and collective socio-economic phenomena: simple models and challenges," Papers 1209.0453, arXiv.org, revised Dec 2012.
    4. Batiz-Zuk, Enrique & López-Gallo, Fabrizio & Martínez-Jaramillo, Serafín & Solórzano-Margain, Juan Pablo, 2016. "Calibrating limits for large interbank exposures from a system-wide perspective," Journal of Financial Stability, Elsevier, vol. 27(C), pages 198-216.

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