ArticleScientific reports2021
Market instability and the size-variance relationship.
Article in Scientific reports, 2021. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 2 papers.
What it found
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The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
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Who cites it
2 citing papers in PubMed.
- Loss of structural balance in stock markets.Scientific reports · 2021Article
- A Volatility Estimator of Stock Market Indices Based on the Intrinsic Entropy Model.Entropy (Basel, Switzerland) · 2021Article
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Authors and funding
3 authors.
Funding
No grant is acknowledged in the PubMed record.
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.
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Registered trials
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