文章基本信息

标题：Market instability and the size-variance relationship
本地全文：下载
作者：Sergey V. Buldyrev ; Andrea Flori ; Fabio Pammolli 等
期刊名称：Scientific Reports
电子版ISSN：2045-2322
出版年度：2021
卷号：11
期号：1
页码：5737
DOI：10.1038/s41598-021-84680-1
出版社：Springer Nature
摘要：Abstract We show that some key features of the behavior of mutual funds is accounted for by a stochastic model of proportional growth. We find that the negative dependence of the variance of funds’ growth rates on size is well described by an approximate power law. We discover that during periods of crisis the volatility of the largest funds’ growth rates increases with respect to mid-sized funds. Our result reveals that a lower and flatter slope provides relevant information on the structure of the system. We find that growth rates volatility poorly depends on the size of the funds, thus questioning the benefits of diversification achieved by larger funds. Our findings show that the slope of the size-variance relationship can be used as a synthetic indicator to monitor the intensity of instabilities and systemic risk in financial markets.
其他摘要：Abstract We show that some key features of the behavior of mutual funds is accounted for by a stochastic model of proportional growth. We find that the negative dependence of the variance of funds’ growth rates on size is well described by an approximate power law. We discover that during periods of crisis the volatility of the largest funds’ growth rates increases with respect to mid-sized funds. Our result reveals that a lower and flatter slope provides relevant information on the structure of the system. We find that growth rates volatility poorly depends on the size of the funds, thus questioning the benefits of diversification achieved by larger funds. Our findings show that the slope of the size-variance relationship can be used as a synthetic indicator to monitor the intensity of instabilities and systemic risk in financial markets.