A primer on reflexivity and price dynamics under systemic risk
General Finance
2013-01-29 v1
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.
Cite
@article{arxiv.1301.6415,
title = {A primer on reflexivity and price dynamics under systemic risk},
author = {Tom Fischer},
journal= {arXiv preprint arXiv:1301.6415},
year = {2013}
}