Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes (Postscript: Author's Comment)

JacobsBruce, I

doi:10.2469/faj.v57.n3.2453

Cited by 3 publications

(1 citation statement)

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“…Extreme events have been a topic of increasing interest during the last decade [1][2][3] and occur in various contexts like in geophysics [4][5][6][7][8], meteorology [9], economics [10,11], power and communication grids [12][13][14][15]. Many of these works have been devoted to the specific statistical properties of such events.…”

Section: Introductionmentioning

confidence: 99%

Route to extreme events in excitable systems

et al. 2014

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Systems of FitzHugh-Nagumo units with different coupling topologies are capable of self-generating and -terminating strong deviations from their regular dynamics that can be regarded as extreme events due to their rareness and recurrent occurrence. Here we demonstrate the crucial role of an interior crisis in the emergence of extreme events. In parameter space we identify this interior crisis as the organizing center of the dynamics by employing concepts of mixed-mode oscillations and of leaking chaotic systems. We find that extreme events occur in certain regions in parameter space, and we show the robustness of this phenomenon with respect to the system size.

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Section: Introductionmentioning

confidence: 99%

Route to extreme events in excitable systems

et al. 2014

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Liquid Assets, Illiquid Assets and Sunspots

Lim

2013

SSRN Journal

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Are Changes in Financial Structure Extending Safety Nets?

White¹

2004

SSRN Journal

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Significant attention has recently been directed to the optimal policy response when financial excesses threaten. This paper rather addresses issues pertinent to the appropriate policy response once financial difficulties have actually materialised. It begins with some empirical evidence concerning recent changes in financial structure (marketisation, globalisation and consolidation) and documents the rise in the number and variety of episodes of financial instability. The paper then goes on to examine the rationale for government intervention (use of safety net instruments) to reduce the costs of such financial instability, and cautiously concludes that the use of a number of such instruments has been on the rise. Moreover, the balance among them has also been changing. An attempt is then made to link these evolving policy responses back to the underlying changes in financial structure identified earlier. Since the use of safety net instruments always implies in principle some element of moral hazard, the paper concludes with an empirical evaluation of whether this seems to be a matter of practical importance, and whether "good design" might not have the potential to materially reduce such concerns. The conclusion reached is that sensible policies designed to contain the damage arising from financial instability can have less desirable longer-term consequences. Policymakers thus continue to face an inter-temporal optimisation problem. iv v "Take therefore no thought for the morrow...

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Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes (Postscript: Author's Comment)

Cited by 3 publications

References 0 publications

Route to extreme events in excitable systems

Route to extreme events in excitable systems

Liquid Assets, Illiquid Assets and Sunspots

Are Changes in Financial Structure Extending Safety Nets?

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