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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

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

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

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

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

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

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

Herding, trend chasing and market volatility

Di Guilmi, Corrado; He, Xue-Zhong; Li, Kai - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 349-373

We introduce a heterogeneous agent asset pricing model in continuous-time to show that, although trend chasing, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are different. The fluctuations of the market price and return...

Persistent link: https://www.econbiz.de/10011077524

Price Distortions in High-Frequency Markets

Steiner, Jakub; Stewart, Colin - C.E.P.R. Discussion Papers - 2014

We study the effect of frequent trading opportunities and categorization on pricing of a risky asset. Frequent opportunities to trade can lead to large distortions in prices if some agents forecast future prices using a simplified model of the world that fails to distinguish between some states....

Persistent link: https://www.econbiz.de/10011083554

A battle of informed traders and the market game foundations for rational expectations equilibrium

Peck, James - In: Games and Economic Behavior 88 (2014) C, pp. 153-173

Potential manipulation of prices and convergence to rational expectations equilibrium is studied in a game without noise traders. Informed players with initially long and short positions (bulls and bears) seek to manipulate consumer expectations in opposite directions. In equilibrium, period 1...

Persistent link: https://www.econbiz.de/10011117131