Download or read book Liquidity Black Holes written by Avinash Persaud and published by . This book was released on 2003 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: This cutting-edge volume brings together a range of leading academics and market practitioners to help you define, understand and measure liquidity risk and 'liquidity black holes'.
Download or read book Liquidity Black Holes written by Stephen Morris and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traders with short horizons and privately known trading limits interact in a market for a risky asset. Risk-averse, long horizon traders supply a downward sloping residual demand curve that face the short-horizon traders. When the price falls close to the trading limits of the short horizon traders, selling of the risky asset by any trader increases the incentives for others to sell. Sales become mutually reinforcing among the short term traders, and payoffs analogous to a bank run are generated. A "liquidity black hole" is the analogue of the run outcome in a bank run model. Short horizon traders sell because others sell. Using global game techniques, this paper solves for the unique trigger point at which the liquidity black hole comes into existence. Empirical implications include the sharp V-shaped pattern in prices around the time of the liquidity black hole.
Download or read book Liquidity Black Holes written by Avinash Persaud and published by . This book was released on 2002 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Liquidity Black Holes written by Avinash D. Persaud and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book TUXs Book of Black Holes for Wall Street Traders written by Tux The Penguin and published by . This book was released on 2020-07-25 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: TUXs Book of Black Holes for Wall Street Traders
Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
Download or read book The Rise and Fall of the Black Hole Paradigm written by Abhas Mitra and published by Pan Macmillan. This book was released on 2021-01-22 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: Black holes have turned out to be the cornerstone of both physics and popular belief. But what if we were to realize that exact black holes cannot exist, even though their existence is apparently suggested by exact general relativistic solutions, and Roger Penrose won the 2020 Nobel Prize in Physics ‘for the discovery that black hole formation is a robust prediction of the general theory of relativity’? While it might seem far-fetched to claim so, it will be worth remembering that the finest theoretical physicists like Albert Einstein and Paul Dirac did not believe in black holes, and Stephen Hawking finally thought that there are no exact black holes. While the black hole paradigm has become commonplace in popular consciousness, in the last decade, noise has consistently grown about the many physical effects which can inhibit the formation of exact mathematical black holes. In The Rise and Fall of the Black Hole Paradigm, Abhas Mitra shows us how, much before these developments, he had proven why the so-called black holes must only be black hole pretenders. He identified these black hole candidates to be Magnetospheric Eternally Collapsing Objects (MECOs) and, along with Darryl J. Leiter and Stanley L. Robertson, generalized them. Recent evidence for the existence of strong magnetic fields around so-called black holes may provide confirmations of his claim.
Download or read book The Physics of Accretion onto Black Holes written by Maurizio Falanga and published by Springer. This book was released on 2014-10-28 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a comprehensive summary on the physical models and current theory of black hole accretion, growth and mergers, in both the supermassive and stellar-mass cases. This title reviews in-depth research on accretion on all scales, from galactic binaries to intermediate mass and supermassive black holes. Possible future directions of accretion are also discussed. The following main themes are covered: a historical perspective; physical models of accretion onto black holes of all masses; black hole fundamental parameters; and accretion, jets and outflows. An overview and outlook on the topic is also presented. This volume summarizes the status of the study of astrophysical black hole research and is aimed at astrophysicists and graduate students working in this field. Originally published in Space Science Reviews, Vol 183/1-4, 2014.
Download or read book The Risks of Financial Institutions written by Mark Carey and published by University of Chicago Press. This book was released on 2007-11-01 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.
Download or read book Black Holes Thermodynamics Information and Firewalls written by Robert B. Mann and published by Springer. This book was released on 2015-03-05 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the resurgence of interest in the quantum properties of black holes, culminating most recently in controversial discussions about firewalls. On the thermodynamic side, it describes how new developments allowed the inclusion of pressure/volume terms in the first law, leading to a new understanding of black holes as chemical systems, experiencing novel phenomena such as triple points and reentrant phase transitions. On the quantum-information side, the reader learns how basic arguments undergirding quantum complementarity have been shown to be flawed; and how this suggests that a black hole may surround itself with a firewall: a violent and chaotic region of highly excited states. In this thorough and pedagogical treatment, Robert Mann traces these new developments from their roots to our present-day understanding, highlighting their relationships and the challenges they present for quantum gravity.
Download or read book Asymptotic Safety and Black Holes written by Kevin Falls and published by Springer Science & Business Media. This book was released on 2013-11-26 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the open challenges in fundamental physics is to combine Einstein's theory of general relativity with the principles of quantum mechancis. In this thesis, the question is raised whether metric quantum gravity could be fundamental in the spirit of Steven Weinberg's seminal asymptotic safety conjecture, and if so, what are the consequences for the physics of small, possibly Planck-size black holes? To address the first question, new techniques are provided which allow, for the first time, a self-consistent study of high-order polynomial actions including up to 34 powers in the Ricci scalar. These novel insights are then exploited to explain quantum gravity effects in black holes, including their horizon and causal structure, conformal scaling, evaporation, and the thermodynamics of quantum space-time. Results indicate upper limits on black hole temperature, and the existence of small black holes based on asymptotic safety for gravity and thermodynamical arguments.
Download or read book Understanding Risk written by David Murphy and published by CRC Press. This book was released on 2008-04-23 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sound risk management often involves a combination of both mathematical and practical aspects. Taking this into account, Understanding Risk: The Theory and Practice of Financial Risk Management explains how to understand financial risk and how the severity and frequency of losses can be controlled. It combines a quantitative approach with a
Download or read book The Anatomy of a Crash written by Sascha Strobl and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the behavior of both the bid-ask spread and the depth of ETF options during the May 6th, 2010 Flash Crash. During the Flash Crash stub quotes (maximum quote size allowed) consistently occurred for more than 90% of the ETF option series examined in this study. Correspondingly, the best bid-ask depth for these options completely disappeared for several minutes during the Flash Crash, showing that all liquidity had totally disappeared from the market. Even after the stock market recovered from the Flash Crash the option spreads were significantly larger and the depth smaller compared to before the crash. Such a sudden decline in prices, expansion of bid-ask quotes, and removal of depth with no apparent associated news event is called a “liquidity black hole” and occurs more often than publicly reported.
Download or read book Risk and Liquidity written by Hyun Song Shin and published by OUP Oxford. This book was released on 2010-05-27 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the global financial crisis and he has been a central figure in the policy debates. The paradox of the global financial crisis is that it erupted in an era when risk management was at the core of the management of the most sophisticated financial institutions. This book explains why. The severity of the crisis is explained by financial development that put marketable assets at the heart of the financial system, and the increased sophistication of financial institutions that held and traded the assets. Step by step, the lectures build an analytical framework that take the reader through the economics behind the fluctuations in the price of risk and the boom-bust dynamics that follow. The book examines the role played by market-to-market accounting rules and securitisation in amplifying the crisis, and draws lessons for financial architecture, financial regulation and monetary policy. This book will be of interest to all serious students of economics and finance who want to delve beneath the outward manifestations to grasp the underlying dynamics of the boom-bust cycle in a modern financial system - a system where banking and capital market developments have become inseparable.
Download or read book Measuring and Managing Liquidity Risk written by Antonio Castagna and published by John Wiley & Sons. This book was released on 2013-09-03 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk Written for front and middle office risk management and quantitative practitioners, this book provides the ground-level knowledge, tools, and techniques for effective liquidity risk management. Highly practical, though thoroughly grounded in theory, the book begins with the basics of liquidity risks and, using examples pulled from the recent financial crisis, how they manifest themselves in financial institutions. The book then goes on to look at tools which can be used to measure liquidity risk, discussing risk monitoring and the different models used, notably financial variables models, credit variables models, and behavioural variables models, and then at managing these risks. As well as looking at the tools necessary for effective measurement and management, the book also looks at and discusses current regulation and the implication of new Basel regulations on management procedures and tools.
Download or read book Liquidated written by Karen Ho and published by Duke University Press. This book was released on 2009-07-13 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial collapses—whether of the junk bond market, the Internet bubble, or the highly leveraged housing market—are often explained as the inevitable result of market cycles: What goes up must come down. In Liquidated, Karen Ho punctures the aura of the abstract, all-powerful market to show how financial markets, and particularly booms and busts, are constructed. Through an in-depth investigation into the everyday experiences and ideologies of Wall Street investment bankers, Ho describes how a financially dominant but highly unstable market system is understood, justified, and produced through the restructuring of corporations and the larger economy. Ho, who worked at an investment bank herself, argues that bankers’ approaches to financial markets and corporate America are inseparable from the structures and strategies of their workplaces. Her ethnographic analysis of those workplaces is filled with the voices of stressed first-year associates, overworked and alienated analysts, undergraduates eager to be hired, and seasoned managing directors. Recruited from elite universities as “the best and the brightest,” investment bankers are socialized into a world of high risk and high reward. They are paid handsomely, with the understanding that they may be let go at any time. Their workplace culture and networks of privilege create the perception that job insecurity builds character, and employee liquidity results in smart, efficient business. Based on this culture of liquidity and compensation practices tied to profligate deal-making, Wall Street investment bankers reshape corporate America in their own image. Their mission is the creation of shareholder value, but Ho demonstrates that their practices and assumptions often produce crises instead. By connecting the values and actions of investment bankers to the construction of markets and the restructuring of U.S. corporations, Liquidated reveals the particular culture of Wall Street often obscured by triumphalist readings of capitalist globalization.
Download or read book Understanding Financial Risk Management written by Angelo Corelli and published by Emerald Group Publishing. This book was released on 2024-05-27 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial risk management is a topic of primary importance in financial markets. It is important to learn how to measure and control risk, how to be primed for the opportunity of compensative return, and how to avoid useless exposure.
