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Simulating fire sales in a system of banks and asset managers
Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2020
We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to fire sales and balance sheet interactions. We take a structural approach to the price formation in fire sales as in Bluhm et al. (2014) and introduce a market clearing mechanism...
Persistent link: https://www.econbiz.de/10012163949
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On the evolution of product portfolio of cooperatives versus IOFs : an agent-based analysis of the single origin constraint
Deng, Wendong; Hendrikse, George W. J. - 2022
Persistent link: https://www.econbiz.de/10013359132
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Multi-agent modelling of electricity markets : transaction processes and generation capacity expansion under competition
Lahlou, Abdelaziz - 2007
Persistent link: https://www.econbiz.de/10003636513
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Heterogeneity, market mechanism, and asset price dynamics
Chiarella, Carl; Dieci, Roberto; He, Xue-zhong - In: Handbook of financial markets : dynamics and evolution, (pp. 277-344). 2009
Persistent link: https://www.econbiz.de/10003820633
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Explaining equity excess return by means of an agent-based financial market
Teglio, Andrea; Raberto, Marco; Cincotti, Silvano - In: Artificial economics : the generative method in …, (pp. 145-156). 2009
Persistent link: https://www.econbiz.de/10003889448
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Determining the optimal market structure using near-zero intelligence traders
Li, Xinyang; Krause, Andreas - In: Journal of economic interaction and coordination : JEIC 5 (2010) 2, pp. 155-167
Persistent link: https://www.econbiz.de/10008822693
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Portfolio selection in an artificial stock market
Dermietzel, Jörn (contributor) - In: Information management and market engineering, (pp. 155-164). 2006
Persistent link: https://www.econbiz.de/10003391760
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Heterogeneity, market mechanisms, and asset price dynamics
Chiarella, Carl; Dieci, Roberto; He, Xue-zhong - 2008
Persistent link: https://www.econbiz.de/10003857135
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Asset return predictability in a heterogeneous agent equilibrium model
Carlson, Murray; Chapman, David A.; Kaniel, Ron; Yan, Hong - In: The quarterly journal of finance 5 (2015) 2, pp. 1-45
Persistent link: https://www.econbiz.de/10011300998
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Program trading and its risk analysis based on agent-based computational finance
Xiong, Xiong; Yuan, Hailiang; Zhang, Wei; Zhang, Yongjie - In: International journal of financial engineering 2 (2015) 2, pp. 1-13
Persistent link: https://www.econbiz.de/10011333457