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Prices, debt and market structure in an agent-based model of the financial market
Fischer, Thomas; Riedler, Jesper - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 95-120
higher levels of leverage lead to a greater inequality among agents. Furthermore, greater leverage increases the frequency of … key difference in the relation between leverage and assets observed for different bank types. Lowering credit frictions … leads to an increasingly procyclical behavior of leverage, which is typical for investment banks. Nevertheless, the impact …
Persistent link: https://www.econbiz.de/10011077522
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Is consumer confidence an indicator of JSE performance?
Solanki, Kamini; Seetharam, Yudhvir - In: Contemporary economics 8 (2014) 3, pp. 257-273
While most studies examine the impact of business confidence on market performance, we instead focus on the consumer because consumer spending habits are a natural extension of trading activity on the equity market. This particular study examines investor sentiment as measured by the Consumer...
Persistent link: https://www.econbiz.de/10010414775
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Endogenous leverage and asset pricing in double auctions
Breuer, Thomas; Jandačka, Martin; Summer, Martin; … - In: Journal of Economic Dynamics and Control 53 (2015) C, pp. 144-160
framework we validate recent results in general equilibrium theory about endogenous leverage and its consequences for asset …
Persistent link: https://www.econbiz.de/10011209192
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Introduction to general equilibrium
Balasko, Yves; Geanakoplos, John - In: Journal of Economic Theory 147 (2012) 2, pp. 400-406
This introduces the symposium on general equilibrium.
Persistent link: https://www.econbiz.de/10010572387
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Inflation targeting in a learning economy: An ABM perspective
Salle, Isabelle; Yıldızoğlu, Murat; Sénégas, … - In: Economic Modelling 34 (2013) C, pp. 114-128
This paper investigates the performances of an inflation targeting regime in a learning economy framed as an Agent-Based Model (ABM). We keep our ABM as close as possible to the original New Keynesian (NK) model, but we model the individual behaviour of the agents under procedural rationality à...
Persistent link: https://www.econbiz.de/10011048696
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Structural contagion and vulnerability to unexpected liquidity shortfalls
Giansante, Simone; Chiarella, Carl; Sordi, Serena; … - In: Journal of Economic Behavior & Organization 83 (2012) 3, pp. 558-569
This paper assumes that financial fluctuations are the result of the dynamic interaction between liquidity and solvency conditions of individual economic units. The framework is an extention of Sordi and Vercelli (2012) designed as an heterogeneous agent model which proceeds through discrete...
Persistent link: https://www.econbiz.de/10010594597
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Unemployment benefits and financial leverage in an agent based macroeconomic model
Ricetti, Luca; Russo, Alberto; Gallegati, Mauro - 2013
This paper is aimed at investigating the effects of government intervention through unemployment benefits on macroeconomic dynamics in an agent based decentralized matching framework. The major result is that the presence of such a public intervention in the economy stabilizes the aggregate...
Persistent link: https://www.econbiz.de/10010210551
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Price discovery through options
Malamud, Semyon - 2014
How does private information get incorporated into option prices? To study this question, I develop a non-linear, noisy rational expectations equilibrium model with asymmetric information and a full menu of call and put options available for trading. The model allows for an arbitrary...
Persistent link: https://www.econbiz.de/10010412683
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Strategic Trading in Informationally Complex Environments
Ostrovsky, Michael; Lambert, Nicolas S.; Panov, Mikhail - National Bureau of Economic Research (NBER) - 2014
We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the value of...
Persistent link: https://www.econbiz.de/10010951327
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Profitability of time series momentum
He, Xue-Zhong; Li, Kai - In: Journal of Banking & Finance 53 (2015) C, pp. 140-157
We propose a continuous-time heterogeneous agent model consisting of fundamental, momentum, and contrarian traders to explain the significant time series momentum. We show that the performance of momentum strategy is determined by both time horizon and the market dominance of momentum traders....
Persistent link: https://www.econbiz.de/10011209842