Agent-Based Models of the Corporate Bond Market

Donald J. Berndt, David Boogers, James McCart
2016 Proceedings of the Second International Workshop on Data Science for Macro-Modeling - DSMM'16  
The paper presents an agent-based modeling approach for the analysis of liquidity in corporate bond markets. Bond market liquidity is hard to measure empirically and its evolution is hard to predict due to its non-linear nature, with significant feedback loops between asset, funding and collateral markets. We discuss the applicability of agent-based modeling and present an initial model using a stylized market microstructure.
doi:10.1145/2951894.2951898 dblp:conf/cikm/BerndtBM16 fatcat:vvxwklaulncbnozme6l2a426ha