Heterogeneity and clustering of defaults
研究了对冲基金需求订单的异质性程度如何影响违约聚集的可能性，发现保证金追缴引发的抛售是必要条件但不充分，高异质性会延长劣质基金的生存时间，增加未来同步违约的概率。
This paper studies how the degree of heterogeneity among hedge funds' demand orders for a risky asset affects the possibility of their defaults being clustered. We find that fire-sales caused by margin calls is a necessary, yet not a sufficient condition for defaults to be clustered. We show that when the degree of heterogeneity is sufficiently high, poorly performing HFs are able to obtain a higher than usual market share, which leads to an improvement of their performance. Consequently, their survival time is prolonged, increasing the probability of them remaining in operation until the downturn of the next leverage cycle. This leads to an increase in the probability of poorly and high-performing hedge funds to default in sync at a later time, and thus also in the probability of collective defaults. Our analytical results establish a connection between the nontrivial aggregate statistics and the presence of infinite memory in the process governing the hedge funds' defaults.