Financial crisis dynamics: attempt to define a market instability indicator

The impact of increasing leverage in the economy produces hyperreaction of market participants to variations of their revenues. If the income of banks decreases, they mass-reduce their lendings; if corporations sales drop, and they cannot adjust their liquidities by further borrowing due to existing...

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Veröffentlicht in:	Quantitative finance 2012-09, Vol.12 (9), p.1351-1365
Hauptverfasser:	Choi, Youngna, Douady, Raphael
Format:	Artikel
Sprache:	eng
Schlagworte:	Bifurcation Chaos theory Contagion Dynamical systems Economic crisis Economic models Economics and Finance Econophysics Eigenvalues Elasticity Humanities and Social Sciences Macroeconomics Matrix Studies Systemic risk
Online-Zugang:	Volltext
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