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Rational learning for risk-averse investors by conditioning on behavioral choices

Costola, Michele; Caporin, Massimiliano - 2015

Persistent link: https://www.econbiz.de/10011632577

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

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

of an artificial market, one of the computer simulations imitating real financial markets. In the simulation, we proposed …

Persistent link: https://www.econbiz.de/10012302643

Simulating fire-sales in a banking and shadow banking system

Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2017

We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact on financial institutions' balance sheets. We...

Persistent link: https://www.econbiz.de/10011976961

Mechanism by which active funds make market efficient investigated with agent-based model

Mizuta, Takanobu; Horie, Sadayuki - In: Evolutionary and institutional economics review 16 (2019) 1, pp. 43-63

Persistent link: https://www.econbiz.de/10012034578

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

Investigation of the rule for investment diversification at the time of a market crash using an artificial market simulation

Yagi, Isao; Nozaki, Atsushi; Mizuta, Takanobu - In: Evolutionary and institutional economics review 14 (2017) 2, pp. 451-465

Persistent link: https://www.econbiz.de/10011770388

Research on the effects of liquidation strategies in the multi-asset artificial market

Luo, Qixuan; Song, Shijia; Li, Handong - In: Computational economics 62 (2023) 4, pp. 1721-1750

Persistent link: https://www.econbiz.de/10014437570

Research on the effects of institutional liquidation strategies on the market based on multi-agent model

Luo, Qixuan; Shi, Yu; Zhou, Xuan; Li, Handong - In: Computational economics 58 (2021) 4, pp. 1025-1049

Persistent link: https://www.econbiz.de/10012697872

Avoiding root-finding in the Krusell-Smith algorithm simulation

Bakota, Ivo - 2020

Persistent link: https://www.econbiz.de/10012523397

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