Financial Crises

    Credit-financed markets are inherently unstable. Inevitably, the pattern of payment promises doesn't align with actual ability to pay. What happens then depends on institutions, regulations and management. Today, the credit system is global, and so also is the prospect of financial instability.

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    Bubbles as violations of efficient time-scales

    It is commonly overlooked that the concept of market efficiency embowers a time-dimension. Illustrating with an example from the class of persistent random walks, we show that a price process can be a martingale on one time-scale but inefficient on another.  Read more