Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach

DOI10.1016/J.JEDC.2018.12.008zbMath1411.91525arXiv1805.08454OpenAlexW2803962760MaRDI QIDQ1734547

James Paulin, Anisoara Calinescu, Michael Wooldridge

Publication date: 27 March 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.08454

zbMATH Keywords

systemic riskagent-based modellimit order bookalgorithmic tradingflash crashesportfolio crowding

Mathematics Subject Classification ID

Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Actuarial science and mathematical finance (91G99)

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