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A Financial Market Model Incorporating Herd Behaviour

Christopher M. Wray, Steven R. Bishop, Daniele Marinazzo
2016 PLoS ONE  
While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics.  ...  Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like  ...  Feng, et al [39] suggests one reason for the lack of acceptance of agent-based financial market models is the insufficient quantitative accuracy of such models-and the paper advocates combining an agent-based  ... 
doi:10.1371/journal.pone.0151790 pmid:27007236 pmcid:PMC4805300 fatcat:26bquurcr5hjbcwz6ylmmgfp3e

Agent-Based Modeling of Housing Asset Bubble: A Simple Utility Function Based Investigation [chapter]

Kausik Gangopadhyay, Kousik Guhathakurta
2014 New Economic Windows  
We have emphasized on agent based modeling approaches in this context.  ...  The housing asset bubble and mortgage crisis of 2007-08 in the US market poses a challenge to understanding of market and hypotheses related to market efficiency.  ...  Agent Based Modelling in Financial Markets We now shift our attention to some literature on agent Based literature in general to understand the sate of the art.  ... 
doi:10.1007/978-3-319-00023-7_2 fatcat:gml3ltcpn5c4blkupccgn6oik4

Preface to the special feature

Akira Namatame
2015 Evolutionary and Institutional Economics Review  
Many studies analyze the socioeconomic systems such as cascading failures and financial stability issues using network theory and agent-based modeling.  ...  Agent-based modeling provides answers to questions where traditional analysis methods are weak, and it is leading to improved models across wide types of financial risks.  ...  The authors show that agent-based modeling is useful in order to study market dynamics and acquire information to devise market rules.  ... 
doi:10.1007/s40844-015-0023-0 fatcat:ai7ypltabbg43il3scwzxchhti

Cascading Failure in the Maximum Entropy Based Dense Weighted Directed Network: An Agent-based Computational Experiment

2017 Revista Técnica de la Facultad de Ingeniería Universidad del Zulia  
Cascading failures would have serious impact on a variety of important networks, and simulation in the accurate network model is the mainstream method to study the cascading failure.  ...  In this paper, ME approach is proved to be capable of building the accurate network model for cascading failure simulation in the dense weighted directed network.  ...  According to the data of China listed banks in 2015, the interbank network model is figured out and be put into an agent-based computational experiment to simulate the cascading failure.  ... 
doi:10.21311/ fatcat:6u6m4n7z3vhn5g5kolmkjrrkry

Systemic risk management in financial networks with credit default swaps

Matt Leduc, Sebastian Poledna, Stefan Thurner
2017 The Journal of Network Theory in Finance  
We simulate this regulated CDS market using an agent-based model (CRISIS macro-financial model) and we demonstrate that it leads to an interbank system that is more resilient to insolvency cascades.  ...  We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks.  ...  CRISIS agent-based model. Thank you Modified with an interbank system for loans and derivatives Systemic Risk Management in Financial Networks with Credit Default Swaps. Leduc, M.V., S.  ... 
doi:10.21314/jntf.2017.034 fatcat:wx7alelkbfgzzgtzier7mxywhy

Market Efficiencies and Market Risks

Pierre André Maugis
2010 Social Science Research Network  
In recent years numerous papers constructed or simulated financial markets at an agent level, aiming to explain the non-stationarity of price processes.  ...  By modeling agents as black boxes that receive information that they transform into an output information, information according to which they then act upon the financial market, we show that the diversity  ...  So the key concept to be studied is the propagation of the information: from the agent level to the market level, from the market level to the agent level and in-between agents.  ... 
doi:10.2139/ssrn.1590279 fatcat:auxz6kyvcnh25ftjqkivndkmtm

A queueing theory description of fat-tailed price returns in imperfect financial markets

H. Lamba
2010 European Physical Journal B : Condensed Matter Physics  
Such an approach may prove useful in the development of mathematical models for rapid deleveraging and panics in financial markets, and the stress-testing of financial institutions.  ...  In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment  ...  agent' to model an entire economy.  ... 
doi:10.1140/epjb/e2010-00248-5 fatcat:eewbhpakcraxjmq4yrh4ncritm

Decision Making in Ignorance and Consequent Market Outcomes: Equilibrium Analysis

Partha Gangopadhyay
2011 Modern Applied Science  
The main innovation of this paper is to make rational decision-maker aware of the adverse consequences of informational, or information, cascades in markets characterised by ignorance due to their uncertain  ...  This paper offers for the first time, to the best of our understanding, a simple modelling of a market with uncertain and dynamic environments and explains the existence of an equilibrium that is immune  ...  An informational cascade signifies a situation in which subsequent agents, based on the observations of others, makes the same choice independent of their private signals.  ... 
doi:10.5539/mas.v5n3p3 fatcat:f4l7gdtjxjd3xp52zm57yocjci

A Queueing Theory Description of Fat-Tailed Price Returns in Imperfect Financial Markets

Harbir Lamba
2010 Social Science Research Network  
Such an approach may prove useful in the development of mathematical models for rapid deleveraging and panics in financial markets, and the stress-testing of financial institutions.  ...  In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment  ...  agent' to model an entire economy.  ... 
doi:10.2139/ssrn.1651892 fatcat:xxghnfyo4vdbpeuvz642jmz7ha

Systemic risk management and investment analysis with financial network analytics: research opportunities and challenges

Daning Hu, Gerhard Schwabe, Xiao Li
2015 Financial Innovation  
A network-based perspective or approach is needed to study various financial networks in order to improve or extend financial theories, as well as develop business applications.  ...  In this paper, we review the existing research about financial network analytics and then discuss its main research challenges from the economic, social, and technological perspectives.  ...  Acknowledgement This research was partially supported by Department of informatics, Faculty of Economics, Business Administration and Information Technology, University of Zurich.  ... 
doi:10.1186/s40854-015-0001-x fatcat:e4lhqph7dbhw5ogimc7s5hslve

Information cascades in complex networks

Mahdi Jalili, Matjaž Perc
2017 Journal of Complex Networks  
Here we review models that describe information cascades in complex networks, with an emphasis on the role and consequences of node centrality.  ...  An information cascade can describe the spreading dynamics of rumour, disease, memes, or marketing campaigns, which initially start from a node or a set of nodes in the network.  ...  Acknowledgements The authors would like to thank Ryan Ghanbari for his help with the artwork  ... 
doi:10.1093/comnet/cnx019 fatcat:hfu6rypv6jf65mr7sz2vmetylu

Bankruptcy Cascades in Interbank Markets

Gabriele Tedeschi, Amin Mazloumian, Mauro Gallegati, Dirk Helbing, César A. Hidalgo
2012 PLoS ONE  
We study a credit network and, in particular, an interbank system with an agent-based model.  ...  As a result of our study, the dynamics underlying the meltdown of financial markets in 2008 becomes much better understandable.  ...  agents interact with each other, how information spreads through the market and how adjustments in disequilibrium take place.  ... 
doi:10.1371/journal.pone.0052749 pmid:23300760 pmcid:PMC3534113 fatcat:wgg7h7z3hjgf3hbhfj2czziq7a

Default Cascades in Complex Networks: Topology and Systemic Risk

Tarik Roukny, Hugues Bersini, Hugues Pirotte, Guido Caldarelli, Stefano Battiston
2013 Scientific Reports  
We also apply our methodology to a comprehensive dataset of an interbank market from 1999 to 2011.  ...  We investigate the stability of several benchmark topologies in a simple default cascading dynamics in bank networks.  ...  Tarik Roukny acknowledges the financial support from the F.R.S.-FNRS of Belgium's French Community and the National Bank of Belgium.  ... 
doi:10.1038/srep02759 pmid:24067913 pmcid:PMC3783890 fatcat:hfzhkxya5vhzdg2lgp54w25mbu

Financial Market Contagion [chapter]

Morgan Kelly
2008 The New Palgrave Dictionary of Economics  
in international financial markets.  ...  The metaphor of contagion is central to the early studies of crowd psychology of Mackay (1841), Tarde (1900) and LeBon (1895); and classical early models of disease diffusion were applied to financial  ...  Bayesian models of social learning allow individuals to infer the information of other agents from their observed actions in an optimal manner rather than through ad hoc imitation.  ... 
doi:10.1057/978-1-349-95121-5_1959-1 fatcat:6qmfq6kiqrhnncklypvv5xmsge

Advances in the agent-based modeling of economic and social behavior

Mitja Steinbacher, Matthias Raddant, Fariba Karimi, Eva Camacho Cuena, Simone Alfarano, Giulia Iori, Thomas Lux
2021 SN Business & Economics  
Lastly, we present an overview of estimation techniques to calibrate and validate agent-based models and show avenues for future research.  ...  AbstractIn this review we discuss advances in the agent-based modeling of economic and social systems.  ...  Overall, these studies have shown that Agent-Based Models are powerful tools to understand the mechanism that lead to observed stylized fact in financial markets and to explain the unfolding of systemic  ... 
doi:10.1007/s43546-021-00103-3 pmid:34778836 pmcid:PMC8262124 fatcat:hmo6zhx72zhrdcent77utpef54
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