Leverage causes fat tails and clustered volatility

Quantitative Finance

Volumn 12, Issue 5, 2012, Pages 695-707

  Thurner, Stefan ^a,b,c   Farmer, J Doyne ^b   Geanakoplos, John ^b,d,e  

^a MEDICAL UNIVERSITY OF VIENNA   (Austria)

^b SANTA FE INSTITUTE   (United States)

^c INTERNATIONAL INSTITUTE FOR APPLIED SYSTEMS ANALYSIS   (Austria)

^d YALE UNIVERSITY   (United States)

^e Ellington Capital Management   (United States)

Author keywords

Clustered volatility; Crash; Fat tails; Leverage; Margin calls; Systemic risk

Indexed keywords

EID: 84861313175     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2012.674301     Document Type: Article

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