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Strategic default in financial networks
Allouch, Nizar; Jalloul, Maya; Duncan, Alfred - 2021
This paper investigates a model of default in financial networks where the decision by one agent on whether or not to default impacts the incentives of other agents to escape default. Agents' payoffs are determined by the clearing mechanism introduced in the seminal contribution of Eisenberg and...
Persistent link: https://www.econbiz.de/10012655559
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Network formation and heterogeneous risks
Cabrales, Antonio; Gottardi, Piero - 2024
We study a new model to study the effect of contract externalities that arise through shock transmission. We model a financial network where good firms enjoy direct and indirect benefits from linking with one another. Bad risks benefit from having a connection with a good firm, but they are a...
Persistent link: https://www.econbiz.de/10014534063
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The formation of a core periphery structure in heterogeneous financial networks
Veld, Daan in 't; Leij, Marco van der; Hommes, Cars H. - 2014
at giving an economic explanation for the emergence of such a structure using network formation theory. Focusing on …
Persistent link: https://www.econbiz.de/10010384387
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Liquidity Runs
Matta, Rafael - 2016
asset liquidity risk arises even under minimal fundamental risk. To study the role of illiquidity we introduce realistic … not available in a run, asset liquidity risk has a concave effect on run incentives, quite unlike fundamental risk. Runs … are rare when asset liquidity is abundant, become more frequent as it falls and decrease again under very low asset …
Persistent link: https://www.econbiz.de/10012980992
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A Game of Co-Evolution of Networks and Behaviour
Ghosh, Papiya - 2017
This paper analyses a simultaneous game of network formation and information acquisition where the benefit structure is such that the benefit that an agent derives from the network she is located in depends on the maximum information that someone in her neighbourhood, including herself,...
Persistent link: https://www.econbiz.de/10012963047
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Fictitious Play in Networks
Ewerhart, Christian - 2019
This paper studies fictitious play in networks of noncooperative two-person games. We show that continuous-time fictitious play converges to the set of Nash equilibria if the overall n-person game is zero-sum. Moreover, the rate of convergence is 1/T, regardless of the size of the network. In...
Persistent link: https://www.econbiz.de/10012902571
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Coordination with Constrained Network Formation
Cui, Zhiwei - 2019
e study whether maximum efficiency can be obtained in a stochastic learning model where players can actively form links with a limited number of peers to play a size-dependent minimum-effort game. The long-run equilibrium is contingent on the linking constraint and the marginal payoff from...
Persistent link: https://www.econbiz.de/10012859146
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Locally Bayesian Learning in Networks
Li, Wei - 2019
Agents in a network want to learn the true state of the world from their own signals and their neighbors' reports. Agents know only their local networks, consisting of their neighbors and the links among them. Every agent is Bayesian with the (possibly misspecified) prior belief that her local...
Persistent link: https://www.econbiz.de/10012859161
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Social Learning in Networks : Theory and Experiments
Mueller-Frank, Manuel - 2014
This paper presents a non-Bayesian model of social learning in networks in an environment with a finite set of actions. We conduct a laboratory experiment in which participants play an urn-guessing game over several decision rounds while observing the previous choices of the network members to...
Persistent link: https://www.econbiz.de/10013062835
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Network structure and naive sequential learning
Dasaratha, Krishna; He, Kevin - In: Theoretical economics : TE ; an open access journal in … 15 (2020) 2, pp. 415-444
We study a sequential-learning model featuring a network of naive agents with Gaussian information structures. Agents apply a heuristic rule to aggregate predecessors' actions. They weigh these actions according the strengths of their social connections to different predecessors. We show this...
Persistent link: https://www.econbiz.de/10012308406