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Author:   Catherine Kyrtsou (University of Macedonia, Greece) ,  Didier Sornette (ETH Zurich, Switzerland) ,  Chris Adcock
Publisher:   Taylor & Francis Ltd
Imprint:   Routledge
Weight:   0.453kg
ISBN:  

9780367671099

ISBN 10:   0367671093
Pages:   272
Publication Date:   18 December 2020
Audience:   College/higher education ,  Tertiary & Higher Education
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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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

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Author Information

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.

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