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Staggered updating in an artificial financial market
Georges, Christophre - In: Journal of economic dynamics & control 32 (2008) 9, pp. 2809-2825
Persistent link: https://www.econbiz.de/10003775099
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Information interaction, behavioral synchronization and asset market volatility
Wang, Chengjin; Gao, Yudong; Li, Honggang - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012821883
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Information Tradeoffs in Dynamic Financial Markets
Avdis, Efstathios - 2016
In dynamic financial markets the stochastic supply of risky assets has a significant informational role. Contrary to static models, where it acts as “noise,” in dynamic markets stochastic supply contains information about risk premiums. Acquiring private dividend information helps investors...
Persistent link: https://www.econbiz.de/10013008223
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Incentives and Adaptive Expectations in a Financial Market with Heterogenous Agents
Wang, Juanxi - 2015
This paper establishes an agent-based model to describe the dynamic behaviour of the financial market with mutual fund managers and investors under two types of compensation contracts: asset-based fees and performance-based fees, and using two types of adaptive expectation: trend chaser and...
Persistent link: https://www.econbiz.de/10013010701
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Leverage and Evolving Heterogeneous Beliefs in a Simple Agent-Based Financial Market
Gaffeo, Edoardo - 2018
Recent research has acknowledged the crucial role of financial intermediaries' balance sheet variables – namely, wealth and leverage – in the dynamics of asset prices. In this paper we use a prototypical “small-type” artificial financial market model with heterogeneous interacting...
Persistent link: https://www.econbiz.de/10012928178
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Asset Prices and Wealth Dynamics in a Financial Market with Endogenous Liquidation Risk
Dindo, Pietro - 2018
Within a financial market where a risk-free bond and a long-lived risky asset are exchanged by investors with heterogeneous trading rules, we assume that the investors most exposed to the risky asset are subject to joint liquidation needs. The latter encompass a risk whenever the market impact...
Persistent link: https://www.econbiz.de/10012930535
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Information tradeoffs in dynamic financial markets
Avdis, Efstathios - In: Journal of financial economics 122 (2016) 3, pp. 568-584
Persistent link: https://www.econbiz.de/10011591132
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Market stability vs. market resilience : regulatory policies experiments in an agent based model with low- and high-frequency trading
Jacob Leal, Sandrine; Napoletano, Mauro - 2016
We investigate the effects of different regulatory policies directed towards high-frequency trading (HFT) through an agent-based model of a limit order book able to generate flash crashes as the result of the interactions between low- and high-frequency (HF) traders. We analyze the impact of the...
Persistent link: https://www.econbiz.de/10011457384
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Financial Regulation in an Agent-Based Macroeconomomic Model
Riccetti, Luca - 2019
the effects of banking regulation on macroeconomic dynamics. In particular, we study the overall credit exposure and the … overall exposure for banking stability, even if both features are very important. We show that a too tight regulation is …
Persistent link: https://www.econbiz.de/10012905161
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Impact analysis of financial regulation on multi-asset markets using artificial market simulations
Hirano, Masanori; Izumi, Kiyoshi; Shimada, Takashi; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/75, pp. 1-20
In this study, we assessed the impact of capital adequacy ratio (CAR) regulation in the Basel regulatory framework …. This regulation was established to make the banking network robust. However, a previous work argued that CAR regulation has …, one type of portfolio trading agent was under regulation. From the simulations, we found that portfolio optimization as …
Persistent link: https://www.econbiz.de/10012302643