Web[12] Rüdiger Frey and , Alexander Stremme, Market volatility and feedback effects from dynamic hedging, Math. Finance, 7 (1997), 351–374 99a:90038 Crossref ISI Google Scholar [13] D. Furbush, Program trading and price movement: Evidence from the October 1987 market crash, Financial Management, 18 (1989), pp. 68–83. cb2 ZZZZZZ 1087 … WebThe authors develop a rational expectations model in which prices play an important role in shaping expectations; markets are much less liquid in their model than in traditional …
Liquidity and Market Crashes - Massachusetts Institute of …
http://web.mit.edu/wangj/www/pap/HW_070228.pdf WebBlack Monday is the name commonly given to the global, sudden, severe, and largely unexpected stock market crash on Monday, October 19, 1987. In Australia and New Zealand, the day is also referred to as Black Tuesday because of the time zone difference from other English-speaking countries. All of the twenty-three major world markets … buy machans beach
ResearchGate
WebThe market crashes have been studied using other approaches as well. One can cite three categories in this respect: liquidity shortage models, bursting bubble models, and lumpy information aggregation models. In liquidity shortage models, the crashes occur when market price plummets due to a temporary reduction in liquidity (see, e.g., [18] and ... WebStock market crashes have presented a perennial challenge to our understanding of financial markets. ... “Market Liquidity, Hedging, and Crashes,” American Economic Review, 80, 615–632. Google Scholar Goldfeld, S. M. and R. E. Quandt (1976). Studies in Nonlinear Estimation. Cambridge: Ballinger. Google ... WebOur model allows us to determine whether a particular hedging strategy creates value by increasing the return earned on the liquidity available to the firm. We show that a hedge that minimizes the variance of the firm’s value is generally too large. centre analytics evolve