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Financial stability

When does volatility become a crash?

Usefulness: 🔧
Novelty: 💡
Uncertainty: 🤪 🤪
Incompleteness: 🚧 🚧 🚧

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Wired’s breathlessly enthusiastic coverage of (Harmon et al. 2011).

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Refs

Amini, Hamed, Rama Cont, and Andreea Minca. 2013. “Resilience to Contagion in Financial Networks.” Mathematical Finance, October, n/a–n/a. https://doi.org/10.1111/mafi.12051.

Battiston, Stefano, Guido Caldarelli, Co-Pierre Georg, Robert May, and Joseph Stiglitz. n.d. “Complex Derivatives.” Nature Physics 9 (3): 123–25. https://doi.org/10.1038/nphys2575.

Colander, David, Michael Goldberg, Armin Haas, Katarina Juselius, Alan Kirman, Thomas Lux, and Brigitte Sloth. 2009. “The Financial Crisis and the Systemic Failure of the Economics Profession.” Critical Review: A Journal of Politics and Society 21 (2): 249–67. https://doi.org/10.1080/08913810902934109.

Glasserman, Paul, and H. Peyton Young. 2016. “Contagion in Financial Networks.” Journal of Economic Literature 54 (3): 779–831. https://doi.org/10.1257/jel.20151228.

Haldane, Andrew G, and Robert M May. 2011. “Systemic Risk in Banking Ecosystems.” Nature 469: 351–55. https://doi.org/10.1038/nature09659.

Harmon, Dion, Marcus A. M. de Aguiar, David D. Chinellato, Dan Braha, Irving R. Epstein, and Yaneer Bar-Yam. 2011. “Predicting Economic Market Crises Using Measures of Collective Panic,” February. http://arxiv.org/abs/1102.2620.

Hockett, Robert C., and Saule T. Omarova. 2016. “The Finance Franchise.” SSRN Scholarly Paper ID 2820176. Rochester, NY: Social Science Research Network. https://papers.ssrn.com/abstract=2820176.

Sornette, Didier. 2003. “Critical Market Crashes.” Physics Reports 378 (1): 1–98. https://doi.org/10.1016/S0370-1573(02)00634-8.

Sornette, Didier, and Peter Cauwels. 2014. “A Creepy World,” January. http://arxiv.org/abs/1401.3281.