New Facets of Economic Complexity in Modern Financial Markets by Catherine Kyrts

The Nile on eBay   New Facets of Economic Complexity in Modern Financial Markets by Catherine Kyrtsou, Didier Sornette, Chris Adcock

The book is motivated by the disruptions introduced by the financial crisis and the many attempts that have followed to propose new ideas and remedies. This book was originally published as a special issue of The European Journal of Finance.

FORMATPaperback CONDITIONBrand New Publisher Description

The book is motivated by the disruptions introduced by the financial crisis and the many attempts that have followed to propose new ideas and remedies. Assembling contributions by authors from a variety of backgrounds, this collection illustrates the potentials resulting from the marriage of financial economics, complexity theory and an out-of-equilibrium view of the economic world. Challenging the traditional hypotheses that lie behind financial market functioning, new evidence is provided about the hidden factors fuelling bubbles, the impact of agents' heterogeneity, the importance of endogeneity in the information transmission mechanism, the dynamics of herding, the sources of volatility, the portfolio optimization techniques, the financial innovation and the trend identification in a nonlinear time-series framework.Presenting the advances made in financial market analysis, and putting emphasis on nonlinear dynamics, this book suggests interdisciplinary methodologies for the study of well-known stylised facts and financial abnormalities. This book was originally published as a special issue of The European Journal of Finance.

Author Biography

Catherine Kyrtsou is Professor of MacroFinance in the Department of Economics at the University of Macedonia, Greece and is associated with EconomiX, University of Paris Nanterre. She is also Deputy Director of CAC at the IXXI Institut Rhône-Alpin des Systèmes Complexes in Lyon, France. Her research focuses on money and capital markets, investors' behaviour, financial instability, economic complexity and monetary policy.Didier Sornette is Professor and Chair of Entrepreneurial Risks at ETH Zurich, Switzerland. He is also a Professor at the Swiss Finance Institute and is associated with both the departments of Physics and of Earth Sciences at ETH Zurich. He is the founder of the Financial Crisis Observatory and Systematic Investment Management AG.Chris Adcock is Professor of Quantitative Finance at SOAS, University of London, UK. His research focuses on portfolio selection and asset pricing theory. He is an advisor to several investment managers and the Founding Editor of The European Journal of Finance.

Table of Contents

Introduction – New facets of the economic complexity in modern financial markets 1. Diagnostics of rational expectation financial bubbles with stochastic mean-reverting termination times 2. Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask 3. Heterogeneous expectations and exchange rate dynamics 4. Asymmetric returns, gradual bubbles and sudden crashes 5. Epidemics of rules, rational negligence and market crashes 6. A note on institutional hierarchy and volatility in financial markets 7. Identifying reference companies using the book-to-market ratio: a minimum spanning tree approach 8. Risk sharing in a financial market with endogenous option prices 9. Performance analysis of a collateralized fund obligation (CFO) equity tranche 10. Optimal liquidation strategies regularize portfolio selection 11. Nonlinear dynamics in economics and finance and unit root testing

Details ISBN0367671093 Publisher Taylor & Francis Ltd Year 2020 ISBN-10 0367671093 ISBN-13 9780367671099 Publication Date 2020-12-18 UK Release Date 2020-12-18 Format Paperback Imprint Routledge Place of Publication London Country of Publication United Kingdom AU Release Date 2020-12-18 NZ Release Date 2020-12-18 Pages 272 Author Chris Adcock Edited by Chris Adcock Alternative 9780367188290 DEWEY 332 Audience Tertiary & Higher Education We've got this

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