This paper presents an agent-based simulation model of carbon emission trading market with heterogeneous agents. The carbon emission reduction strategies available to agents are production output adjustment strategy, carbon market emissions trading strategy, carbon emission abatement technology...

This paper utilizes China’s interbank deposit system under COVID-19 to examine how interbank network changes with considerable uncertainty surrounding exogenous shock. We investigate the interbank network in China by specifying the core-periphery pattern to disentangle the network development...

This paper combines multi-asset pricing model with network theory to study multiasset pricing in the holding-based network. We obtain a new expression of equilibrium price by inducing the network parameter. To testify the practical significance of our model of real asset prices, we fit the...

This paper analyzes the influence of European debt crisis in 2009, suspending IPO in 2012 andmarket crash in 2015 on China's energy stock market in terms of the shareholders' co-holdingbehavior using a three-layer complex network system. Firstly, we construct this three-layercomplex network...

Cryptocurrencies including Bitcoin are known to be vulnerable to so-called “doublespending” attacks, where the same digital currency is used to execute multiple different transactions simultaneously. Little is known, however, about the underlying reasons for this vulnerability. Here we...

This paper proposes an optimal hedging strategy with market frictions using Long Short Term Memory Recurrent Neural Network (LSTM-RNN) method, which is a modification of method proposed in Buehler et al. (2019a). The market frictions are transaction cost, liquidity constraint, trading limit and...

We establish a relatively more complete mechanism for detecting the price bubbles in the cryptocurrency markets, which excludes the external factors as far as possible to focus on the study of the characteristics of the price bubbles. This mechanism detects the abnormal rupture of the...