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- W3122048843 abstract "We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random markets using techniques borrowed from statistical mechanics of disordered systems. We show that, depending on the number of financial instruments available and on the heterogeneity of local measures, the market moves from an arbitrage-free phase to an unstable one, where the complexity of the market - as measured by the diversity of financial instruments - increases, and arbitrage opportunities arise. A sharp transition separates the two phases. Focusing on two different classes of local measures inspired by real markets strategies, we are able to analytically compute the critical lines, corroborating our findings with numerical simulations." @default.
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- W3122048843 date "2012-09-01" @default.
- W3122048843 modified "2023-09-27" @default.
- W3122048843 title "Financial instability from local market measures" @default.
- W3122048843 hasPublicationYear "2012" @default.
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