Market Dynamics When Agents Anticipate Correlation Breakdown

The aim of this paper is to analyse the effect introduced in the dynamics of a financial market when agents anticipate the occurrence of a correlation breakdown. What emerges is that correlation breakdowns can act both as a consequence and as a triggering factor in the emergence of financial crises rational bubbles. We propose a market with two kinds of agents: speculators and rational investors. Rational agents use excess demand information to estimate the variance-covariance structure of assets returns, and their investment decisions are represented as a Markowitz optimal portfolio allocation. Speculators are uninformed agents and form their expectations by imitative behavior, depending on market excess demand. Several market equilibria result, depending on the prevalence of one of the two types of agents. Differing from previous results in the literature on the interaction between market dynamics and speculative behavior, rational agents can generate financial crises, even without the speculator contribution

Surgical Stress Reduction in Elderly Patients Undergoing Elective Colorectal Laparoscopic Surgery within an ERAS Protocol

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Does Expectation of Correlation Breakdown in Financial Market Fulfill Itself?

This paper develops a model appeared in the literature whose focus was the way rational risk averse investors anticipate the correlation breakdowns of asset returns in periods of excess demand. That model analysed the dynamics of the “expected” returns of the risky asset, and their consistency with empirical evidence. However, the same model did not provide any evidence on actual correlation generated by the dynamics of returns. A model to link asset returns to excess demand is required to analyse the implied correlation between the securities traded. In this work we estimate such a model. Results confirm that the expected and ex-post correlation tend to move closely. In other words a self-fulfilling prophecy about correlation breakdown can take place, even when rational agents dominate the financial market

Pareto Optimal Financial Trades with Risky and Not Risky Assets

The bilateral exchange between two agents (with an initial endowment of risky and not risis ky assets) is analysed here. The aim of this work to present a model describing the dynamics needed to reach a Pareto optimal settlment price. Risk aversion of the agents is modeled through D.A.R.A. utility functions. The work proposes a method to determine the solution of such an optimization problem

Equilibrium Prices on a Financial Graph

The analysis of financial markets usually assumes that trades are centralized and open to all investors. Investors are typically price takers. A relatively recent interest has been devoted to local markets open to a limited number of traders. Such markets may be fruitfully analyzed by means of graphs where traders are the nodes and trades are the arcs. In this model one bilateral trade occurs each round. Agents are risk averse and act myopically seeking to maximize their expected utility. Conditions for the agents to trade and to find an equilibrium price are determined theoretically. An ad-hoc algorithm is applied to find a numerical solution and to simulate the path towards the equilibrium price depending on different initial settings

The world trade network: country centrality and the COVID-19 pandemic

International trade is based on a set of complex relationships between different countries that can be modelled as an extremely dense network of interconnected agents. On the one hand, this network might favour the economic growth of countries, but on the other, it can also favour the diffusion of diseases, such as COVID-19. In this paper, we study whether, and to what extent, the topology of the trade network can explain the rate of COVID-19 diffusion and mortality across countries. We compute the countries’ centrality measures and we apply the community detection methodology based on communicability distance. We then use these measures as focal regressors in a negative binomial regression framework. In doing so, we also compare the effects of different measures of centrality. Our results show that the numbers of infections and fatalities are larger in countries with a higher centrality in the global trade network

Approaches for Selective Vaccinations in Cirrhotic Patients

Bacterial and viral infections are common in cirrhotic patients, and their occurrence is associated with the severity of liver disease. Bacterial infection may increase the probability of death by 3.75 times in patients with decompensated cirrhosis, with ranges of 30% at 1 month and 63% at 1 year after infection. We illustrate the indications and the modalities for vaccinating cirrhotic patients. This topic is important for general practitioners and specialists