Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market
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- Fischer, Thomas & Riedler, Jesper, 2014. "Prices, debt and market structure in an agent-based model of the financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 95-120.
- Fischer, Thomas & Riedler, Jesper, 2013. "Prices, debt and market structure in an agent-based model of the financial market," ZEW Discussion Papers 12-045 [rev.], ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung GmbH Mannheim / Leibniz Centre for European Economic Research.
- Fischer, Thomas & Riedler, Jesper, 2012. "Prices, debt and market structure in an agent-based model of the financial market," ZEW Discussion Papers 12-045, ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung GmbH Mannheim / Leibniz Centre for European Economic Research.
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Citations
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- Edoardo Gaffeo, 2018. "Leverage and evolving heterogeneous beliefs in a simple agent-based financial market," DEM Working Papers 2018/03, Department of Economics and Management.
- Wolski, Marcin & van de Leur, Michiel, 2016.
"Interbank loans, collateral and modern monetary policy,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 73(C), pages 388-416.
- Wolski, Marcin & van de Leur, Michiel, 2016. "Interbank loans, collateral and modern monetary policy," Working Paper Series 1959, European Central Bank.
- Yuri Biondi & Feng Zhou, 2017. "Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability," Papers 1702.08774, arXiv.org.
- repec:spr:jeicoo:v:12:y:2017:i:3:d:10.1007_s11403-016-0173-0 is not listed on IDEAS
- Fischer, Thomas, 2015. "Market structure and rating strategies in credit rating markets – A dynamic model with matching of heterogeneous bond issuers and rating agencies," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 39-56.
- Victor Olkhov, 2017. "Econophysics Macroeconomic Model," Papers 1701.06625, arXiv.org.
- Schasfoort, Joeri & Stockermans, Christopher, 2017. "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers 2017-63, Kiel Institute for the World Economy (IfW).
- Braun-Munzinger, Karen & Liu, Zijun & Turrell, Arthur, 2016. "An agent-based model of dynamics in corporate bond trading," Bank of England working papers 592, Bank of England.
- Alexandru Mandes & Peter Winker, 2017.
"Complexity and model comparison in agent based modeling of financial markets,"
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Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 469-506, October.
- Alexandru Mandes & Peter Winker, 2015. "Complexity and Model Comparison in Agent Based Modeling of Financial Markets," MAGKS Papers on Economics 201528, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Riedler, Jesper & Brueckbauer, Frank, 2017. "Evaluating regulation within an artificial financial system: A framework and its application to the liquidity coverage ratio regulation," ZEW Discussion Papers 17-022, ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung GmbH Mannheim / Leibniz Centre for European Economic Research.
- repec:bla:rdevec:v:21:y:2017:i:3:p:713-730 is not listed on IDEAS
- Wood, Aaron D. & Mason, Charles F. & Finnoff, David, 2016. "OPEC, the Seven Sisters, and oil market dominance: An evolutionary game theory and agent-based modeling approach," Journal of Economic Behavior & Organization, Elsevier, vol. 132(PB), pages 66-78.
- Matteo Serri & Guido Caldarelli & Giulio Cimini, 2016. "How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation," Papers 1611.04311, arXiv.org.
- Cavalli, Fausto & Naimzada, Ahmad & Pecora, Nicolò & Pireddu, Marina, 2018. "Market sentiment and heterogeneous fundamentalists in an evolutive financial market mode," MPRA Paper 90289, University Library of Munich, Germany.
More about this item
Keywords
agent-based model; financial markets; leverage; systemic risk; credit frictions;JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2014-12-03 (All new papers)
- NEP-CMP-2014-12-03 (Computational Economics)
- NEP-FMK-2014-12-03 (Financial Markets)
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