The 1987 stock market crash, the LTCM debacle, the Asian Crisis, the bursting of the high technology Dot-Com bubble of 2001-2 with 30% losses of equity values, events such as 9/11 and sudden corporate collapses of the magnitude of Enron - have radically changed the view that extreme events have...

When studying a time series of implied Risk Neutral Densities (RNDs) or other implied statistics, one is faced with the problem of maturity dependence, given that option contracts have a fixed expiry date. Therefore, estimates from consecutive days are not directly comparable. Further, we can...

It has been widely accepted that herding is the consequence of mimetic responses by agents interacting locally on a communication network. In extant models, this communication network linking agents, by and large, has been assumed to be fixed. In this paper we allow it to evolve endogenously by...

Crisis events such as the 1987 stock market crash, the Asian Crisis and the bursting of the Dot-Com bubble have radically changed the view that extreme events in financial markets have negligible probability. This paper argues that the use of the Generalized Extreme Value (GEV) distribution to...

To control and price negative externalities in passenger road transport, we develop an innovative and integrated computational agent based economics (ACE) model to simulate a market oriented "cap" and trade system. (i) First, there is a computational assessment of a digitized road network model...

Systemic risk is a key concern for central banks charged with safeguarding overall financial stability. In this paper we investigate how systemic risk is affected by the structure of the financial system. We construct banking systems that are composed of a number of banks that are connected by...