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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Nature Publishing Group
2021-03-01
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| Series: | Scientific Reports |
| Online Access: | https://doi.org/10.1038/s41598-021-84680-1 |