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Risk and Volatility in the Financial Sector
Zusammenfassung
An efficient and fully operative financial sector is a crucial building block for a healthy economy. The current financial crisis particularly shows, how the failure of single components can spill over to the whole sector and finally cause huge damage to the real economy.
Thus the identification and the measurement of risks in the financial sector is an important issue. Of course, reliable results about the effect of macroeconomic shock are most desirable. Of particular importance is, how the failure of single financial institutions could lead to system-wide contagion and domino effects. A crucial difficulty in this area is the complex structure of interactions between the various agents. Such network effects have been largely left unconsidered in economic research so far.
The aim of this research area is to contribute to a deeper understanding of the magnitude as well as the structure of risks in the financial sector and the dependencies between the various players in a globalized financial system. The main aspects considered are:
- What is the role of the network structure of credit relations on the interbank market? How can we assess the robustness or fragility of these network strucures?
- How can volatility in financial markets be modelled in an appropriate manner?
- How can we develop more realistic behavioural models of financial markets with heterogeneous investors? How can we explain the regularities of financial prices on the base of behavioural models?
- What is the explanatory power of market sentiment data and how can we integrate it into behavioural models?
For a detailed description of the project "Network Effects and Systemic Risk in the Banking Sector" funded under the Leibniz Community please click here.
Recent Publications
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Forthcoming
- Alfarano, S., Milakovic, M., Raddant, M. (Forthcoming). A Note on institutional hierarchy and volatility in financial markets. The European Journal of Finance, Routledge
- Ghonghadze, J., Lux, T. (Forthcoming). Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach . Applied Economics
- Hommes, C., Lux, T. (Forthcoming). Individual Expectations and Aggregate Behavior in Learning to Forecast Experiments . Macroeconomic Dynamics
- Lux, T., (Forthcoming). Estimation of an Agent-Based Model of Investor Sentiment Formation in Financial Markets. Journal of Economic Dynamics and Control
- Lux, T., Stolzenburg, U. (Forthcoming). Identification of a Core-Periphery Structure Among Participants of a Business Climate Survey . European Physical Journal
- Lux, T., Raberto, M. (Forthcoming). Special issue: Managing Financial Instability in Capitalist Economies. Economics, The Open-Access, Open-Assessment E-Journal
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2012
- Kenett, D., Raddant, M., Zatlavi, L., Lux, T., Ben-Jacob, E. (2012). Correlations and Dependence in the Global Financial Village . Conference Series, International Journal of Modern Physics, 16, World Scientific Publishing Company
- Kenett, D., Raddant, M., Lux, T., Ben-Jacob, E. (2012). Evolvement of Uniformity and Volatility in the Stressed Global Financial Village. PLoS ONE , 7(2), 8 pp.
- Reitz, S., Taylor, M. (2012). FX Intervention in the Yen-US Dollar Market: A Coordination Channel Perspective. Kiel Working Paper, 1765, Kiel Institute for the World Economy, Kiel, 27 pp.
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2011
- Irle, A., Kauschke, J., Lux, T., Milaković, M. (2011). Switching Rates and the Asymptotic Behavior of Herding Models. Advances in Complex Systems, 14 (3), 359-376.
- Kenett, D., Raddant, M., Lux, T., Ben-Jacob, E. (2011). Evolvement of uniformity and volatility in the stressed global financial village. Kiel Working Paper, 1739, Institut für Weltwirtschaft, Kiel, 27 pp.
- Leövey, A., Lux, T. (2011). Parameter Estimation and Forecasting for Multiplicative Lognormal Cascades. Kiel Working Paper, 1746, Institut für Weltwirtschaft, Kiel, 30 pp.
- Lux, T., (2011). Network theory is sorely required. Nature, 469, 303.
- Lux, T., (2011). Sentiment Dynamics and Stock Returns: The Case of the German Stock Market . Empirical Economics, 41, 663-679.
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2010
- Alfarano, S., Lux, T., Milakovic, M. (2010). Topical issue on "Interdisciplinary Applications of Physics in Economics and Finance". The European Physical Journal B, 73(1), 1-2.
- Fricke, D. (2010). Contagion Between European and US Banks: Evidence from Equity Prices. Kiel Working Paper, 1667, Institut für Weltwirtschaft, Kiel, 65 pp.
- Herwartz, H., Morales-Arias, L. (2010). An Empirical Analysis of the Relationship between US Monetary Policy and International Asset Prices. Kiel Working Papers, 1581, Institut für Weltwirtschaft, Kiel, 38 pp.
- Irle, A., Kauschke, J., Lux, T., Milakovic, M. (2010). Switching Rates and the Asymptotic Behavior of Herding Models. Kiel Working Papers, 1595, Institut für Weltwirtschaft, Kiel, 16 pp.
- Liu, R., Lux, T. (2010). Flexible and Robust Modelling of Volatility Comovements: A Comparison of Two Multifractal Models. Kiel Working Papers, 1594, Institut für Weltwirtschaft, 32 pp.
- Lux, T., Stolzenburg, U. (2010). Identification of a Core-Periphery Structure Among Participants of a Business Climate Survey. Kiel Working Paper, 1659, Institut für Weltwirtschaft, Kiel, 23 S.
- Lux, T., Morales-Arias, L. (2010). Relative Forecasting Performance of Volatility Models: Monte Carlo Evidence. Kiel Working Papers, 1582, Institut für Weltwirtschaft, Kiel, 35 pp.
- Milakovic, M., Raddant, M., Birg, L. (2010). Hierarchy in Germany's Corporate Network. International Conference on Advances in Social Networks Analysis and Mining, Asonam, IEEE, 395-396 pp.
- Milakovic, M., Alfarano, S., Lux, T. (2010). The Small Core of the German Corporate Board Network. Computational & Mathematical Organization Theory, 16, 201-215.
- Morales-Arias, L., Moura, G. (2010). A Conditionally Heteroskedastic Global Inflation Model. Kiel Working Paper, 1666, Institut für Weltwirtschaft, Kiel, 38 pp.
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2009
- Ghonghadze, J., Lux, T. (2009). Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach. Kiel Working Paper, 1487, Institut für Weltwirtschaft, Kiel, 39 pp.
- Lux, T., Morales-Arias, L. (2009). Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations. Kiel Working Paper, 1532, Kiel Institute for the World Economy, Kiel, 35 pp.
- Lux, T., (2009). Mass Psychology in Action: Identification of Social Interaction Effects in the German Stock Market. Kiel Working Paper, 1514, Institut für Weltwirtschaft, Kiel, 42 pp.
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2008
- Hommes, C., Lux, T. (2008). Individual Expectations and Aggregate Behavior in Learning to Forecast Experiments. Kiel Working Paper, 1466, Institut für Weltwirtschaft, Kiel, 40 pp.
- Lux, T., (2008). Sentiment Dynamics and Stock Returns: The Case of the German Stock Market. Kiel Working Paper, 1470, Kiel Institute for the World Economy, Kiel, 28 pp.
- Milakovic, M., Alfarano, S., Lux, T. (2008). The Small Core of the German Corporate Board Network. Kiel Working Paper, 1446, Institut für Weltwirtschaft, Kiel, 19 pp.
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2007
- Alfarano, S., Lux, T. (2007). A Minimal Noise Trader Model with Realistic Time Series Properties. G. Teysierre and A. Kirman (eds), Long Memory in Economics. Springer, Berlin.
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- Herwartz, H., Morales, L. An Empirical Analysis of the Relationship between US Monetary Policy and International Asset Prices.