Show simple item record

dc.contributor.authorTambakis, Demosthenes N
dc.date.accessioned2010-05-19T11:05:36Z
dc.date.available2010-05-19T11:05:36Z
dc.date.issued2006-04
dc.identifier.citationJEL classification: G12, G14en
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/225153
dc.description.abstractIn this paper I study a nonlinear feedback trading model which can generate stable, unstable, turbulent or chaotic asset returns depending on market conditions. The dynamics are driven by the stochastic price impact of net order flow (inverse market liquidity). If price impact grows beyond exogenous threshold values, liquidity dries up and asset returns become turbulent. In the absence of fundamental factors, the occurrence of turbulence and chaos is entirely endogenous. The results highlight the critical role of maintaining stable market-making conditions for averting “liquidity black holes”.en
dc.language.isoenen
dc.publisherCFAP, Cambridge Judge Business School, University of Cambridgeen
dc.relation.ispartofseriesCFAP Working Paperen
dc.relation.ispartofseries27en
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subjectfeedback tradingen
dc.subjectstochastic price impacten
dc.subjectfinancial stabilityen
dc.subjectchaosen
dc.subjectnonlinear dynamicsen
dc.titleEndogenous Market Turbulenceen
dc.typeWorking Paperen
dc.type.versionpublished versionen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record