摘要翻译:
给出了一个简单的定量例子,说明了金融网络在外生价格冲击后的自反反馈过程和由此产生的价格动态。此外,本文还提出了一个理论框架,将交叉所有权和信息延迟或不完全导致的金融自反性与系统风险下的无套利定价理论联系起来。
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英文标题:
《A primer on reflexivity and price dynamics under systemic risk》
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作者:
Tom Fischer
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最新提交年份:
2013
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要:
A simple quantitative example of a reflexive feedback process and the resulting price dynamics after an exogenous price shock to a financial network is presented. Furthermore, an outline of a theory that connects financial reflexivity, which stems from cross-ownership and delayed or incomplete information, and no-arbitrage pricing theory under systemic risk is provided.
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PDF链接:
https://arxiv.org/pdf/1301.6415