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Heterogeneous agent models in economics and finance

Hommes, Cars H. - 2005

This paper surveys work on dynamic heterogeneous agent models (HAMs) in economics and finance. Emphasis is given to simple models that, at least to some extent, are tractable by analytic methods in combination with computational tools. Most of these models are behavioral models with boundedly...

Persistent link: https://www.econbiz.de/10011343261

A Numerical Simulation Approach to Study Systemic Risk in Banking Systems

Cifuentes, Arturo - 2016

Banking systems are at the center of the financial infrastructure of any country. It has become apparent after the subprime crisis that such systems cannot be studied by looking at their components individually (that is, in isolation). Thus, an integrated approach is needed.In this paper we...

Persistent link: https://www.econbiz.de/10013005537

Efficient simulation of affine forward variance models

Gatheral, Jim - 2021

We propose efficient and easy-to-implement Riemann sum and hybrid quadratic- exponential schemes for the simulation of …

Persistent link: https://www.econbiz.de/10013220256

DeepPricing : pricing convertible bonds based on financial time-series generative adversarial networks

Tan, Xiaoyu; Zhang, Zili; Zhao, Xuejun; Wang, Shuyi - In: Financial innovation : FIN 8 (2022), pp. 1-38

Convertible bonds are an important segment of the corporate bond market, however, as hybrid instruments, convertible bonds are difficult to value because they depend on variables related to the underlying stock, the fixed-income part, and the interaction between these components. Besides,...

Persistent link: https://www.econbiz.de/10013272634

Measuring tanker market future risk with the use of FORESIM

Lyridis, Dimitrios; Manos, Nikolaos; Zacharioudakis, … - In: Spoudai : journal of economics and business 67 (2017) 1, pp. 38-53

Future market risk has always been a critical question in decision support processes. FORESIM is a simulation technique …

Persistent link: https://www.econbiz.de/10011661763

Implementation rationality : the nexus of psychology and economics at the RAND logistics systems laboratory, 1956-1966s

Klein, Judy L. - 2015 - Version 3

simulation to translate the broad findings of normative microeconomics into detailed, implementable pr ocedures for US Air Force … oper ations. The laboratory was housed in the training simulation facilities that had been recently vacated by … problems. Economists went from using simulation to demonstrate the superiority of optimal policies derived from deductive …

Persistent link: https://www.econbiz.de/10011600635

Escape from model-land

Thompson, Erica L.; Smith, Leonard A. - 2019

Both mathematical modelling and simulation methods in general have contributed greatly to understanding, insight and …

Persistent link: https://www.econbiz.de/10012110757

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

Research method for management of thermoplastics production improvement in rubber industry with the use of 3D simulation modeling

Forrai, Sándor; Ludanyi, Balázs; Szabó, István Péter; … - In: Foundations of Management : the journal of Warsaw … 13 (2021) 1, pp. 21-34

literature, observation of the studied process, and the accomplished computer simulation experiments. The proposed activities … assignment to the specific tasks. The results of the simulation experiments confirm the implementation of the proposed … improvements. The theoretical contribution to the research field development is the proposal of the simulation modeling methodology …

Persistent link: https://www.econbiz.de/10012597685

The Cross-Entropy Method with Patching for Rare-Event Simulation of Large Markov Chains

Kaynar, Bahar; Ridder, Ad - 2009

There are various importance sampling schemes to estimate rare event probabilities in Markovian systems such as Markovian reliability models and Jackson networks. In this work, we present a general state dependent importance sampling method which partitions the state space and applies the...

Persistent link: https://www.econbiz.de/10014203542