no code implementations • 27 Nov 2023 • Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis, Katharina Oberpriller
This is a supplement to the paper "Liquidity based modeling of asset price bubbles via random matching".
no code implementations • 20 Jun 2023 • Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque, Marco Frittelli, Thilo Meyer-Brandis
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a setting where agents are investing in their markets and are allowed to cooperate through exchanges.
no code implementations • 25 Oct 2022 • Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis, Katharina Oberpriller
In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the liquidity based model of [25].
no code implementations • 4 Oct 2022 • Francesca Biagini, Lukas Gonon, Andrea Mazzon, Thilo Meyer-Brandis
In this paper we employ deep learning techniques to detect financial asset bubbles by using observed call option prices.
no code implementations • 26 Oct 2021 • Yannick Limmer, Thilo Meyer-Brandis
Eventually, we suggest an approach to verify absence of Lp-free lunch on markets with multiple brokers endowed with deviating trading speeds.
no code implementations • 15 Jun 2020 • Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou, Daniel Ritter
Fire sales are among the major drivers of market instability in modern financial systems.
no code implementations • 29 Oct 2016 • Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou, Daniel Ritter
As a second main contribution, paralleling regulatory discussions, we determine minimal capital requirements for financial institutions sufficient to make the network resilient to small shocks.
