Market instability and the size-variance relationship

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...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Sergey V. Buldyrev, Andrea Flori, Fabio Pammolli
Formato:	article
Lenguaje:	EN
Publicado:	Nature Portfolio 2021
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/9753a989e1f646a7b0741ea93c1f9c25
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:9753a989e1f646a7b0741ea93c1f9c25
record_format	dspace
spelling	oai:doaj.org-article:9753a989e1f646a7b0741ea93c1f9c252021-12-02T13:34:52ZMarket instability and the size-variance relationship10.1038/s41598-021-84680-12045-2322https://doaj.org/article/9753a989e1f646a7b0741ea93c1f9c252021-03-01T00:00:00Zhttps://doi.org/10.1038/s41598-021-84680-1https://doaj.org/toc/2045-2322Abstract 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.Sergey V. BuldyrevAndrea FloriFabio PammolliNature PortfolioarticleMedicineRScienceQENScientific Reports, Vol 11, Iss 1, Pp 1-8 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Sergey V. Buldyrev Andrea Flori Fabio Pammolli Market instability and the size-variance relationship
description	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.
format	article
author	Sergey V. Buldyrev Andrea Flori Fabio Pammolli
author_facet	Sergey V. Buldyrev Andrea Flori Fabio Pammolli
author_sort	Sergey V. Buldyrev
title	Market instability and the size-variance relationship
title_short	Market instability and the size-variance relationship
title_full	Market instability and the size-variance relationship
title_fullStr	Market instability and the size-variance relationship
title_full_unstemmed	Market instability and the size-variance relationship
title_sort	market instability and the size-variance relationship
publisher	Nature Portfolio
publishDate	2021
url	https://doaj.org/article/9753a989e1f646a7b0741ea93c1f9c25
work_keys_str_mv	AT sergeyvbuldyrev marketinstabilityandthesizevariancerelationship AT andreaflori marketinstabilityandthesizevariancerelationship AT fabiopammolli marketinstabilityandthesizevariancerelationship
_version_	1718392750009745408

Market instability and the size-variance relationship

Ejemplares similares