IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1301.6415.html
   My bibliography  Save this paper

A primer on reflexivity and price dynamics under systemic risk

Author

Listed:
  • Tom Fischer

Abstract

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.

Suggested Citation

  • Tom Fischer, 2013. "A primer on reflexivity and price dynamics under systemic risk," Papers 1301.6415, arXiv.org.
    • Handle: RePEc:arx:papers:1301.6415
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1301.6415
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Rod Cross & Douglas Strachan, 1997. "On George Soros and Economic Analysis," Kyklos, Wiley Blackwell, vol. 50(4), pages 561-574, November.
    2. repec:bla:kyklos:v:50:y:1997:i:4:p:561-74 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. C. P. Kwong, 2009. "Mathematical analysis of Soros's theory of reflexivity," Papers 0901.4447, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1301.6415. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.