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)

Related Items (4)

The high frequency trade off between speed and sophistication ⋮ Systemic risk of optioned portfolio: controllability and optimization ⋮ A model for evolution of investors behavior in stock market based on reinforcement learning in network ⋮ Implicit government guarantees and the externality of portfolio diversification: a complex network approach

Cites Work

• Structural stochastic volatility in asset pricing dynamics: estimation and model contest
• Subsampling high frequency data
• Network models and financial stability
• The impact of systemic and illiquidity risk on financing with risky collateral
• Overlapping portfolios, contagion, and financial stability
• Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
• Agent-based computational finance: Suggested readings and early research
• Leveraging the network: a stress-test framework based on debtrank
• RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
• Limit order books
• Emergence of Scaling in Random Networks
• Microeconomic Models for Long Memory in the Volatility of Financial Time Series
• Contagion in financial networks
• The Structure and Function of Complex Networks
• Where the Risks Lie: A Survey on Systemic Risk*
• What really causes large price changes?
• Empirical properties of asset returns: stylized facts and statistical issues
• A simulation analysis of the microstructure of double auction markets*
• The power of patience: a behavioural regularity in limit-order placement
• The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response *
• Common risk factors in the returns on stocks and bonds

This page was built for publication: Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach