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Leverage Causes Fat Tails and Clustered Volatility

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30 Aug 09

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Thurner, Stefan, J. Doyne Farmer, and John Geanakoplos.  'Leverage Causes Fat Tails and Clustered Volatility.'  August 3,  2009. http://lanl.arxiv.org/abs/0908.1555.

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Leverage Causes Fat Tails and Clustered Volatility

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