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Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models

Schmitt, Noemi; Westerhoff, Frank H. - 2016

We propose a novel agent-based financial market framework in which speculators usually follow their own individual technical and fundamental trading rules to determine their orders. However, there are also sunspot-initiated periods in which their trading behavior is correlated. We are able to...

Persistent link: https://www.econbiz.de/10011514740

Market Stability with Machine Learning Agents

Georges, Christophre - 2020

We consider the effect of adaptive model selection and regularization by agents on price volatility and market stability in a simple agent-based model of a financial market. The agents base their trading behavior on forecasts of future returns, which they update adaptively and asynchronously...

Persistent link: https://www.econbiz.de/10012849509

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

Bubbles and crashes: Escape dynamics in financial markets

Friedman, Daniel; Abraham, Ralph - 2007

We develop a financial market model focused on fund managers who continuously adjust their exposure to risk in response to the payoff gradient. The base model has a stable equilibrium with classic properties. However, bubbles and crashes occur in extended models incorporating an endogenous...

Persistent link: https://www.econbiz.de/10010285342

Humans, robots and market crashes: A laboratory study

Feldman, Todd; Friedman, Daniel - 2008

We introduce human traders into an agent based financial market simulation prone to bubbles and crashes. We find that human traders earn lower profits overall than do the simulated agents (robots) but earn higher profits in the most crash-intensive periods. Inexperienced human traders tend to...

Persistent link: https://www.econbiz.de/10010288144

Bubbles and crashes : gradient dynamics in financial markets

Friedman, Daniel; Abraham, Ralph - 2009

Fund managers respond to the payoff gradient by continuously adjusting leverage in our analytic and simulation models … been small for a long time, asset prices inflate as fund managers increase leverage. Then slight losses can trigger a crash …

Persistent link: https://www.econbiz.de/10003921532

Bubbles and crashes : escape dynamics in financial markets

Friedman, Daniel; Abraham, Ralph - 2007

Persistent link: https://www.econbiz.de/10003854958

Automated and distributed statistical analysis of economic agent-based models

Vandin, Andrea; Giachini, Daniele; Lamperti, Francesco; … - 2020

We propose a novel approach to the statistical analysis of simulation models and, especially, agent-based models (ABMs). Our main goal is to provide a fully automated and model-independent tool-kit to inspect simulations and perform counter-factual analysis. Our approach: (i) is easy-to-use by...

Persistent link: https://www.econbiz.de/10012308914

Prices, debt and market structure in an agent-based model of the financial market

Fischer, Thomas; Riedler, Jesper - 2012

emerges and that higher levels of leverage lead to a greater inequality among agents. When further analyzing the relationship … between leverage and balance sheets, we observe that decreasing credit frictions result in an increasingly procyclical … behavior of leverage, which is typical for investment banks. We show how decreasing credit frictions increase volatility but …

Persistent link: https://www.econbiz.de/10009565743

Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Market

Makarewicz, Tomasz - 2016

The paper studies the emergence of contrarian behavior in information networks in an asset pricing market. Financial traders coordinate on similar behavior, but have heterogeneous price expectations and are influenced by friends. According to a popular belief, they are prone to herding. However,...

Persistent link: https://www.econbiz.de/10012995192