2 papers
q-fin.TR2019
Dynamics of Value-Tracking in Financial Markets
Nicholas CL Beale, Richard M Gunton, Kutlwano L Bashe +2
The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected…
q-fin.CP2016
Contagion and Stability in Financial Networks
Seyyed Mostafa Mousavi, Robert Mackay, Alistair Tucker
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of ba…