Prices, debt and market structure in an agent-based model of the financial market

DOI10.1016/J.JEDC.2014.08.013MaRDI QIDQ1991937zbMATH OpenOpenAlexFDO

Authors Thomas Fischer, Jesper Riedler

Publication date 2 November 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2014.08.013

zbMATH Keywords

agent-based modelcredit frictionsfinancial marketsleveragesystemic risk

Mathematics Subject Classification ID

Heterogeneous agent models (91B69) Financial applications of other theories (91G80)

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Cites work

• A dynamic analysis of moving average rules
• Bank Runs, Deposit Insurance, and Liquidity
• Contagion and risk-sharing on the inter-bank market
• Empirical properties of asset returns: stylized facts and statistical issues
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• scientific article; zbMATH DE number 1495246 (Why is no real title available?)
• scientific article; zbMATH DE number 3793969 (Why is no real title available?)
• Interactions between the real economy and the stock market: a simple agent-based approach
• Leverage causes fat tails and clustered volatility
• Market procyclicality and systemic risk
• Network models and financial stability
• Power-law behaviour, heterogeneity, and trend chasing
• The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach
• Time series properties of an artificial stock market
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Cited in

(9)

• The dynamics of the leverage cycle
• Interbank loans, collateral and modern monetary policy
• An agent-based model of corporate bond trading
• COMPLEX DYNAMICS AND FINANCIAL FRAGILITY IN AN AGENT-BASED MODEL
• Good speciation and endogenous business cycles in a constraint satisfaction macroeconomic model
• An agent-based model for the assessment of LTV caps
• scientific article; zbMATH DE number 2209539 (Why is no real title available?)
• Multiagent systems for modeling the information game in a financial market
• Financial frictions and the wealth distribution

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