Dresden 2014 – wissenschaftliches Programm
Bereiche | Tage | Auswahl | Suche | Aktualisierungen | Downloads | Hilfe
SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 3: Financial Markets and Risk Management
SOE 3.3: Vortrag
Montag, 31. März 2014, 12:30–12:45, GÖR 226
Free markets and the emergence of leverage thresholds — Joao P. da Cruz1,2, Frank Raischel3, and •Pedro G. Lind4 — 1Closer Consultoria Lda, Avenida Engenheiro Duarte Pacheco,Torre 2, 14-C, 1070-102 Lisboa, Portugal — 2Departamento de Física, Faculdade de Ciências da Universidade de Lisboa, 1649-003 Lisboa, Portugal — 3Instituto Dom Luiz, CGUL, 1749-016 University of Lisbon, Lisbon, Portugal — 4ForWind and Institute of Physics, Carl-von-Ossietzky University of Oldenburg, DE-26111 Oldenburg, Germany
The emergence of critical behavior in economic systems has been reported in the literature as belonging to the same class of phenomena observed in models of self-organized criticality (SOC). Self-organized criticality lays on local state transitions which are triggered when local properties exceed a specific threshold value. While in many natural systems this threshold is not known, we show that for financial networks composed by financial agents and their trade connections it is possible to directly derive the threshold below which one agent enters insolvency. Focusing in empirical data sets of assets and liabilities from almost hundred thousand companies, we further show that the threshold to insolvency is related to the way asset and liability values are related with each other.