Endogenous Extreme Events and the Dual Role of Prices
研究了金融市场中由系统内部冲击而非外部冲击引发的极端事件，发现风险敏感行为与逐市计价协调行动会导致收益分布出现厚尾，即使基础冲击是高斯分布。通过期权动态对冲的定价密度和2010年5月闪电崩盘加以说明。
Extreme events in financial markets are often generated by shocks that come from within the system, rather than those that arrive from outside the system. The combination of risk-sensitive behavior rules and the coordinated actions implied by market-to-market accounting can result in outcome distributions with fat tails, even if the fundamental shocks are Gaussian. We illustrate such endogenous extreme events through the pricing density resulting from dynamic hedging of options and the flash crash of May 2010.