New Facets of Economic Complexity in Modern Financial Markets: 1st Edition (Hardback) book cover

New Facets of Economic Complexity in Modern Financial Markets

1st Edition

Edited by Catherine Kyrtsou, Didier Sornette, Chris Adcock

Routledge

260 pages

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Hardback: 9780367188290
pub: 2019-03-26
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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.

Table of Contents

Introduction – New facets of the economic complexity in modern financial markets

Catherine Kyrtsou and Didier Sornette

1. Diagnostics of rational expectation financial bubbles with stochastic mean-reverting termination times

Li Lin and Didier Sornette

2. Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask

Petr Geraskin and Dean Fantazzini

3. Heterogeneous expectations and exchange rate dynamics

Carl Chiarella, Xue-Zhong He and Min Zheng

4. Asymmetric returns, gradual bubbles and sudden crashes

Weihong Huang, Huanhuan Zheng and Wai-Mun Chia

5. Epidemics of rules, rational negligence and market crashes

Kartik Anand, Alan Kirman and Matteo Marsili

6. A note on institutional hierarchy and volatility in financial markets

S. Alfarano, M. Milaković and M. Raddant

7. Identifying reference companies using the book-to-market ratio: a minimum spanning tree approach

David Brookfield, Halim Boussabaine and Chen Su

8. Risk sharing in a financial market with endogenous option prices

Jan Wenzelburger

9. Performance analysis of a collateralized fund obligation (CFO) equity tranche

Shady Aboul-Enein, Georges Dionne and Nicolas Papageorgiou

10. Optimal liquidation strategies regularize portfolio selection

Fabio Caccioli, Susanne Still, Matteo Marsili and Imre Kondor

11. Nonlinear dynamics in economics and finance and unit root testing

Efthymios G. Pavlidis, Ivan Paya, David A. Peel and Costas Siriopoulos

About the Editors

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.

Subject Categories

BISAC Subject Codes/Headings:
BUS000000
BUSINESS & ECONOMICS / General
BUS069000
BUSINESS & ECONOMICS / Economics / General