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Does Basel II destabilize financial markets? An agent-based financial market perspective

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  • O. Hermsen

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  • O. Hermsen, 2010. "Does Basel II destabilize financial markets? An agent-based financial market perspective," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 73(1), pages 29-40, January.
    • Handle: RePEc:spr:eurphb:v:73:y:2010:i:1:p:29-40
    DOI: 10.1140/epjb/e2009-00382-1
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    References listed on IDEAS

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    1. Tesfatsion, Leigh & Judd, Kenneth L., 2006. "Handbook of Computational Economics, Vol. 2: Agent-Based Computational Economics," Staff General Research Papers Archive 10368, Iowa State University, Department of Economics.
    2. Leigh Tesfatsion & Kenneth L. Judd (ed.), 2006. "Handbook of Computational Economics," Handbook of Computational Economics, Elsevier, edition 1, volume 2, number 2.
    3. Alfarano, Simone & Lux, Thomas, 2007. "A Noise Trader Model As A Generator Of Apparent Financial Power Laws And Long Memory," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 80-101, November.
    4. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 19-49, August.
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    Cited by:

    1. Poledna, Sebastian & Thurner, Stefan & Farmer, J. Doyne & Geanakoplos, John, 2014. "Leverage-induced systemic risk under Basle II and other credit risk policies," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 199-212.
    2. Hermsen, Oliver & Witte, Björn-Christopher & Westerhoff, Frank, 2010. "Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-26.
    3. Luis Goncalves de Faria, 2022. "An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation," Papers 2206.09772, arXiv.org.
    4. Yang, G. & Chen, Y. & Huang, J.P., 2016. "The highly intelligent virtual agents for modeling financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 98-108.
    5. Llacay, Bàrbara & Peffer, Gilbert, 2017. "Impact of value-at-risk models on market stability," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 223-256.
    6. Masanori Hirano & Kiyoshi Izumi & Takashi Shimada & Hiroyasu Matsushima & Hiroki Sakaji, 2020. "Impact Analysis of Financial Regulation on Multi-Asset Markets Using Artificial Market Simulations," JRFM, MDPI, vol. 13(4), pages 1-20, April.

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