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Nonlinear Dynamics Of Financial Crises

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Market Microstructure and Nonlinear Dynamics

Market Microstructure and Nonlinear Dynamics Book
Author : Gilles Dufrénot,Fredj Jawadi,Waël Louhichi
Publisher : Springer
Release : 2014-07-14
ISBN : 3319052128
Language : En, Es, Fr & De

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Book Description :

This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.

Nonlinear Dynamics of Financial Crises

Nonlinear Dynamics of Financial Crises Book
Author : Ionut Purica
Publisher : Academic Press
Release : 2015-03-28
ISBN : 0128032766
Language : En, Es, Fr & De

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Book Description :

When just a handful of economists predicted the 2008 financial crisis, people should wonder how so many well educated people with enormous datasets and computing power can be so wrong. In this short book Ionut Purica joins a growing number of economists who explore the failings of mainstream economics and propose solutions developed in other disciplines, such as sociology and evolutionary biology. While it might be premature to call for a revolution, Dr. Purica echoes John Maynard Keynes in believing that economic ideas are "dangerous for good or evil." In recent years evil seems to have had the upper hand. "Nonlinear Dynamics of Financial Crises" points to their ability to do good. Makes complex economics ideas accessible by carefully explaining technical terms and minimizing mathematics and equations Delivers easily-understood perspectives about the global economy by constructing broad assumptions and conclusions in the face of its infinitely complexity Challenges received economic ideas by focusing on human behavior and the roles it plays in easily-observable recent trends and events

Financial Crises Nonlinear Dynamics and Macroeconomic Issues in Currency Markets

Financial Crises  Nonlinear Dynamics and Macroeconomic Issues in Currency Markets Book
Author : Dooyeon Cho
Publisher : Unknown
Release : 2011
ISBN : 9781124857602
Language : En, Es, Fr & De

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Book Description :

Download Financial Crises Nonlinear Dynamics and Macroeconomic Issues in Currency Markets book written by Dooyeon Cho, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis

Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis Book
Author : Peter Martey Addo,Monica Billio,Dominique Guégan
Publisher : Unknown
Release : 2013
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis book written by Peter Martey Addo,Monica Billio,Dominique Guégan, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Essays in Macroeconomics and Nonlinear Dynamics

Essays in Macroeconomics and Nonlinear Dynamics Book
Author : Matthias Christian Rottner
Publisher : Unknown
Release : 2021
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

This thesis investigates topics in macroeconomics with nonlinear dynamics as their inherent feature. It aims to further the understanding of the connection between the financial sector and economic fluctuations, challenges of monetary policy in a low interest rate environment and how to mitigate the macroeconomic consequences of a pandemic. The first chapter investigates the connection between the shadow banking sector and the vulnerability of the economy to a financial crisis. Motivated by the build-up of shadow bank leverage prior to the Great Recession, I develop a nonlinear macroeconomic model that features excessive leverage accumulation and show how this can cause a run. Introducing risk-shifting incentives to account for fluctuations in shadow bank leverage, I use the model to illustrate that extensive leverage makes the shadow banking system runnable, thereby raising the vulnerability of the economy to future financial crises. The model is taken to U.S. data with the objective of estimating the probability of a run in the years preceding the financial crisis of 2007-2008. The second chapter, joint with Francesco Bianchi and Leonardo Melosi, is motivated by the observation that the Federal Reserve Bank has been systematically undershooting its 2% inflation target in the past twenty years. This deflationary bias is a predictable consequence of the current symmetric monetary policy strategy that fails to recognize the risk of encountering the zero-lower-bound. An asymmetric rule according to which the central bank responds less aggressively to above-target inflation corrects the bias, improves welfare, and reduces the risk of deflationary spirals. The third chapter, joint with Matthieu Darracq Paries and Christoffer Kok, analyses the risk that an intended monetary policy accommodation might actually have contractionary effects in a low interest rate environment. We demonstrate that the risk of hitting the rate at which the effect reverses depends on the capitalization of the banking sector by using a nonlinear macroeconomic model. The framework suggests that the reversal interest rate is around −1% p.a. in the Euro Area. We show that the possibility of the reversal interest rate creates a novel motive for macroprudential policy. The fourth chapter, joint with Leonardo Melosi, studies contact tracing in a new macro-epidemiological model with asymptomatic spreaders. Contact tracing is a testing strategy that aims to reconstruct the infection chain of newly symptomatic agents. We show that contact tracing may be insufficient to stem the spread of infections because agents fail to internalize that their decisions increase the number of traceable contacts to be tested in the future. We provide theoretical underpinnings to the risk of becoming infected in macro-epidemiological models.

Econophysics Approaches to Large Scale Business Data and Financial Crisis

Econophysics Approaches to Large Scale Business Data and Financial Crisis Book
Author : Misako Takayasu,Tsutomu Watanabe,Hideki Takayasu
Publisher : Springer Science & Business Media
Release : 2010-04-27
ISBN : 9784431538530
Language : En, Es, Fr & De

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Book Description :

In recent years, as part of the increasing “informationization” of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and “laws” akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled “New Approaches to the Analysis of Large-Scale Business and E- nomic Data,” held in Tokyo, March 1–5, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology)–Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ` 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.

Nonlinear Economic Dynamics and Financial Modelling

Nonlinear Economic Dynamics and Financial Modelling Book
Author : Roberto Dieci,Xue-Zhong He,Cars Hommes
Publisher : Springer
Release : 2014-07-26
ISBN : 3319074709
Language : En, Es, Fr & De

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Book Description :

This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.

Nonlinear Modeling of Economic and Financial Time Series

Nonlinear Modeling of Economic and Financial Time Series Book
Author : Fredj Jawadi,William A. Barnett
Publisher : Emerald Group Publishing
Release : 2010-12-17
ISBN : 0857244906
Language : En, Es, Fr & De

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Book Description :

Presents researches in linear and nonlinear modelling of economic and financial time-series. This book provides a comprehensive understanding of financial and economic dynamics in various aspects using modern financial econometric methods. It also presents and discusses research findings and their implications.

New Facets of Economic Complexity in Modern Financial Markets

New Facets of Economic Complexity in Modern Financial Markets Book
Author : Catherine Kyrtsou,Didier Sornette,Chris Adcock
Publisher : Routledge
Release : 2020-06-04
ISBN : 042958394X
Language : En, Es, Fr & De

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Book 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.

Nonlinear Dynamics in Economics Finance and the Social Sciences

Nonlinear Dynamics in Economics  Finance and the Social Sciences Book
Author : Gian Italo Bischi,Carl Chiarella,Laura Gardini
Publisher : Springer Science & Business Media
Release : 2009-12-15
ISBN : 9783642040238
Language : En, Es, Fr & De

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Book Description :

Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.

Nonlinear Dynamical Systems with Self Excited and Hidden Attractors

Nonlinear Dynamical Systems with Self Excited and Hidden Attractors Book
Author : Viet-Thanh Pham,Sundarapandian Vaidyanathan,Christos Volos,Tomasz Kapitaniak
Publisher : Springer
Release : 2018-02-26
ISBN : 3319712438
Language : En, Es, Fr & De

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Book Description :

This book highlights the latest findings on nonlinear dynamical systems including two types of attractors: self-excited and hidden attractors. Further, it presents both theoretical and practical approaches to investigating nonlinear dynamical systems with self-excited and hidden attractors. The book includes 20 chapters contributed by respected experts, which focus on various applications such as biological systems, memristor-based systems, fractional-order systems, finance systems, business cycles, oscillators, coupled systems, hyperchaotic systems, flexible robot manipulators, electronic circuits, and control models. Special attention is given to modeling, design, circuit realization, and practical applications to address recent research problems in nonlinear dynamical systems. The book provides a valuable reference guide to nonlinear dynamical systems for engineers, researchers, and graduate students, especially those whose work involves mechanics, electrical engineering, and control systems.

Capital Account Liberation

Capital Account Liberation Book
Author : Ying Yirong,Jeffrey Yi-Lin Forrest
Publisher : CRC Press
Release : 2015-05-13
ISBN : 1498712274
Language : En, Es, Fr & De

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Book Description :

Along with the development of economic globalization, many countries have begun to relax their controls on their capital accounts. However, the recent financial crises in Latin American countries as well as the exchange rate crises in Southeast Asian countries have shown that there is major risk associated with capital account liberalization.This b

Financial Dynamics and Business Cycles

Financial Dynamics and Business Cycles Book
Author : Willi Semmler
Publisher : Routledge
Release : 2019-08-08
ISBN : 1315288796
Language : En, Es, Fr & De

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Book Description :

As the 55th anniversary of the bank holiday of March 1933 approached, financial instability was a main topic in the financial press. Daily reports appeared of international debt crises, of the covert bankruptcy of deposit insurance, and of the near bankruptcy of one great financial institution after another. The great stock market crash of October 19 and 20, 1987, demonstrated that extreme instability can happen. It is generally asserted that the consequences of October 19th and 20th would have been disastrous if the Federal Reserve and Treasury interventions had not set things right. In 1933, financial markets in the United States and throughout the capitalist world collapsed. In the light of historical experience, the past 55 years are the anomaly. The papers collected in this volume come from various backgrounds and research paradigms. A common theme runs through these papers that makes the collection both interesting and important: The authors take seriously the obvious evidence that capitalist economies progress through time by lurching. Whether a particular study starts from household utility maximization or from the processes by which productive structures are reproduced and expanded, the authors are united in accepting the evidence that financial instability is a significant characteristic of modern capitalism.

Dynamics of Financial Stress and Economic Performance

Dynamics of Financial Stress and Economic Performance Book
Author : Ramesh Babu Thimmaraya,M. Venkateshwarlu
Publisher : Emerald Group Publishing
Release : 2018-09-28
ISBN : 1787547833
Language : En, Es, Fr & De

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Book Description :

This book primarily focuses on the dynamic relationship between the financial and the economic systems of twelve major economies in the world.

6th International Finance Conference on Financial Crisis and Governance

6th International Finance Conference on Financial Crisis and Governance Book
Author : Mondher Bellalah
Publisher : Cambridge Scholars Publishing
Release : 2011-08-08
ISBN : 1443833126
Language : En, Es, Fr & De

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Book Description :

Financial markets, the banking system, and the real estate, commodity and energy markets have, since 2007, been experiencing higher integration, more volatility and have undergone several shocks. More coordination is needed between G20 and market authorities. Regulators, banking supervision agencies and politicians are worried about economic growth and financial crisis. This book covers seven aspects related to financial economic issues, along with some connected topics. The first covers risk assessment, corporate governance and value creation through an appropriate risk management system. The second covers international investments, market correlation, institutional holdings and market reactions during crisis. The third part is devoted to empirical and quantitative analysis of the observed economics and finance issues. The fourth part is devoted to the role of debt in financial crisis and its impact on financial markets and the world economy. The fifth part is devoted to debt policy, free cash flows and the structure of governance. The sixth part deals with management control and the importance of communication. The last part covers Islamic finance as an alternative to conventional finance for the debt solution, the importance of the energy sector and the role of financial innovations.

Essays on Macroeconomic Crises

Essays on Macroeconomic Crises Book
Author : Nelson R. Lind
Publisher : Unknown
Release : 2017
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

This dissertation examines economies that may occasionally enter periods of crisis. I first develop a model of asset pricing in the presence of frictions to financial intermediation. This model generates recurrent financial crises due to its strong non-linear dynamics. Next, I develop methodological tools for analyzing these types of highly non-linear dynamic equilibrium models. I then apply these tools to a theory of housing boom-bust cycles driven by endogenous shifts in lending standards. Chapter 1 introduces a model of asset pricing in the presence of agency frictions between savers and financial intermediaries. This model can generate asymmetric price movements where asset values suddenly collapse during a financial crisis. During normal times, intermediaries arbitrage away excess returns on assets and traditional asset pricing conditions hold. During a financial crisis, the net worth of intermediaries limits their ability to borrow from savers and they are unable to arbitrage away excess returns. Since their net worth depends on realized asset values, collapsing prices further tighten borrowing constraints leading to a large and sudden collapse in asset values. In chapter 2, I introduce a local approach to solving highly non-linear models, generalizing perturbation to handle the class of piecewise smooth rational expectations models. First, I formalize the notion of an endogenous regime by introducing a regime-switching equilibrium (RSE) concept. This framework uses non-linear model features to explain macroeconomic regime changes, and makes the distribution of the regime an equilibrium object instead of imposing an external regime-switching structure. Then, I demonstrate how to apply perturbation within a slackened model, approximate the policy functions associated with a given belief about the regime, and solve for the equilibrium regime distribution using backwards induction. This approach (1) accounts for expectational effects due to the probability of regime change; (2) provides a framework for modeling regime-switching from first principles; and (3) connects macroeconomic theory to reduced-form regime-switching econometric models. Chapter 3 develops a theory of housing boom-bust cycles driven by endogenous shifts in lending standards. The key friction is asymmetric information about default risk, implying that the economy occasionally and endogenously switches between two credit regimes. These regimes differ by whether or not lenders use income verification to screen the marginal homebuyer. A switch from the "screening" regime to the "pooling" regime leads to rapid home price appreciation, a collapse in down-payment requirements, and a reduction in income documentation--consistent with the shift in lending standards during the US housing boom. The episode ends in a foreclosure crisis once fundamentals revert and the screening regime returns. The theory predicts patterns for debt accumulation and mortgage spreads consistent with existing micro evidence.

Handbook on Systemic Risk

Handbook on Systemic Risk Book
Author : Jean-Pierre Fouque,Joseph A. Langsam
Publisher : Cambridge University Press
Release : 2013-05-23
ISBN : 1107276578
Language : En, Es, Fr & De

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Book Description :

The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.

Financial Crises in DSGE Models

Financial Crises in DSGE Models Book
Author : Mr.Jaromir Benes,Mr.Michael Kumhof,Mr.Douglas Laxton
Publisher : International Monetary Fund
Release : 2014-04-04
ISBN : 147554023X
Language : En, Es, Fr & De

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Book Description :

This paper, together with a technical companion paper, presents MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, bank loans create purchasing power that facilitates adjustments in the real economy. But excessively large and risky loans can impair balance sheets and sow the seeds of a financial crisis. Banks respond to losses through higher spreads and rapid credit cutbacks, with adverse effects for the real economy. These features allow the model to capture the basic facts of both the pre-crisis and crisis phases of financial cycles.

Enhancing Business Stability Through Collaboration

Enhancing Business Stability Through Collaboration Book
Author : Ari Kuncoro,Viverita,Sri Rahayu Hijrah Hati,Dony Abdul Chalid
Publisher : CRC Press
Release : 2017-10-16
ISBN : 1351677047
Language : En, Es, Fr & De

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Book Description :

Business practices in emerging markets are constantly challenged by the dynamic environments that involve stakeholders. This increases the interconnectedness and collaboration as well as spillover effect among business agents, that may increase or hold back economic stability. This phenomenon is captured in this proceedings volume, a collection of selected papers of the 10th ICBMR 2016 Conference, held October 25—27, 2016 in Lombok, Indonesia. This ICBMR’s theme was Enhancing Business Stability through Collaboration, and the contributions discuss theories, conceptual frameworks and empirical evidence of current issues in the areas of Business, Management, Finance, Accounting, Economics, Islamic Economics, and competitiveness. All topics include aspects of multidisciplinarity and complexity of safety in research and education.

Growth Theory Nonlinear Dynamics and Economic Modelling

Growth Theory  Nonlinear Dynamics  and Economic Modelling Book
Author : William A. Brock
Publisher : Edward Elgar Publishing
Release : 2001-01-01
ISBN : 9781782543046
Language : En, Es, Fr & De

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Book Description :

'Buz Brock's contribution to economic theory in general and economic dynamics in particular are characterized by an unmatched richness of ideas and by deep theoretical, empirical as well as computational analysis. Brock's contribution to economic dynamics range from one extreme of the field, global stability of stochastic optimal growth models, to another extreme, market instability and nonlinearity in economic and financial modelling and data analysis. But his work also includes environmental and economic policy issues and, more recently, the modelling of markets as complex adaptive systems. This collection of essays reflects Brock's richness of ideas that have motivated economists for more than three decades already and will continue to influence many economists for the next decades to come.' - Cars H. Hommes, University of Amsterdam, The Netherlands 'Buz Brock has been, from the beginning of his career, one of the most original thinkers in dynamic economics. His early work showed that growth with random elements could be studied effectively and above all posed exactly the right questions. His more recent work has brought complexity theory to the fore and shown its implications for financial and other markets. In the process, he has both introduced and used econometric tools to show the relevance of his work to empirically observed phenomena. It is very useful to have his work in collected form.' - Kenneth J. Arrow, Stanford University, US This outstanding collection of William Brock's essays illustrates the power of dynamic modelling to shed light on the forces for stability and instability in economic systems. The articles selected reflect his best work and are indicative both of the type of policy problem that he finds challenging and the complex methodology that he uses to solve them. Also included is an introduction by Brock to his own work, which helps tie together the main aspects of his research to date.