Deterministic Chaos
The origin of complexity
Latest from the Blog ….
US Regional Banks at Ground Zero of the Hormuz Commodity Shocks
With the greatest global commodity shock dynamic propagating, it’s timely to examine the banking landscape at the water’s edge just before the tsunami sweeps in. Per FDIC, the banking industry’s loss provision expense was $20.8 billion in the third quarter 2025, down $9.2 billion QoQ mostly due to Capital One’s acquisition of Discover Financial Services.…
“Too Connected to Fail”: Network Portfolio Construction
Abstract: Citation: Diversification is the cornerstone of risk-adjusted portfolio construction. Yet, despite being a well-established principle in finance, diversification has been overlooked in pairs trading strategies, which often focus solely on selecting the most cointegrated pairs in isolation from the broader market structure and without accounting for their combined behavior within a portfolio. Here, we…
Credit Market Stress and Cascading Failures
Market chatter seems to be rising reflecting growing fears credit market stress is ascending as Treasury yields fall and other economic warning signs are lighting up. Manufacturing data and labor markets are retreating and the Fed is shutting down its QT policy ahead of possible rate cuts. A bank liquidity crisis occurs when a bank…
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Econophysics2020 