A database driven multi-agent model has been developed with automated access to US bank level FDIC Call Reports which yield data on balance sheet and off balance sheet activity, respectively, in Residential Mortgage Backed Securities (RMBS) and Credit Default Swaps (CDS). The simultaneous...

The new evolutionary computational paradigm of market systems views these as complex adaptive systems. The major premise of 18th century classical political economy was that order in market systems is spontaneous or emergent, in that it is the result of 'human action but not of human design'....

Since its introduction in 2003, volatility indices such as the VIX based on the model-free implied volatility (MFIV) have become the industry standard for assessing equity market volatility. MFIV suffers from estimation bias which typically underestimates volatility during extreme market...

A number of papers predict the imminent demise of currency use in transactions while some make a case for its continued use due to its distinctive feature of anonymity. Notwithstanding the latter, this paper shows on both theoretical and empirical grounds, that cash use is sustainable for the...

The purpose of this Feature is to critically examine and to contribute to the burgeoning multi disciplinary literature on markets as complex adaptive systems (CAS). Three economists, Robert Axtell, Steven Durlauf and Arthur Robson who have distinguished themselves as pioneers in different...

The work of John von Neumann in the 1940's on self-reproducing machines as models for biological systems and self-organized complexity provides the computational legacy for CAS. Following this, the major hypothesis emanating from Wolfram (1984), Langton (1992, 1994), Kaufmann (1993) and Casti...