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Leverage Causes Fat Tails and Clustered Volatility
systemic risk clustered volatility fat tails crash margin calls leverage
2010/11/2
We build a simple model of leveraged asset purchases with margin calls.Investment funds use what is perhaps the most basic nancial strategy,called \value investing", i.e. systematically attempting to...
From short to fat tails in financial markets: A unified description
financial markets unified description
2010/12/13
In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for a unified descripti...