Search
Now showing items 1-6 of 6
International financial contagion: what do we know?
(CFAP, Cambridge Judge Business School, University of Cambridge, 2003-07)
This paper attempts a synthesis of theoretical and empirical work on international financial contagion. Although a professional consensus on the appropriate definitions of contagion has yet to emerge, we document substantial ...
Endogenous Market Turbulence
(CFAP, Cambridge Judge Business School, University of Cambridge, 2006-04)
In 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 ...
On strategic default and liquidity risk
(CFAP, Cambridge Judge Business School, University of Cambridge, 2002)
How does the uncertain provision of external finance affect investment projects' default probability and liquidity risk? In this paper, I study the strategic interaction between many creditors and a single borrower in the ...
Depreciation bias, financial-sector fragility and currency risk
(CFAP, Cambridge Judge Business School, University of Cambridge, 2002)
Do expected future exchange rate fluctuations affect current social welfare? In the third-generation approach to currency crises, financial fragility can trigger devaluation and default. Expected future depreciation is ...
The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high frequency data
(CFAP, Cambridge Judge Business School, University of Cambridge, 2005-09)
The second half of August 1998 was dominated by two events. From 14 to 28 August, the Hong Kong Monetary Authority (HKMA) intervened in the Hong Kong equity markets to prevent a speculative double play against their ...
Can Feedback Traders Rock the Markets? A Logistic Tale of Persistence and Chaos
(CFAP, Cambridge Judge Business School, University of Cambridge, 2006-03)
This paper introduces a nonlinear feedback trading model at high frequency. All price adjustment is endogenous, driven by asset return and volatility in the previous trading period. There is no stochastic uncertainty or ...