An agent-based model of dynamics in corporate bond trading
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Citations
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Cited by:
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020.
"Crowded trades, market clustering, and price instability,"
Tinbergen Institute Discussion Papers
20-007/II, Tinbergen Institute.
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Papers 2002.03319, arXiv.org.
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Working Papers 668, DNB.
- Farmer, J Doyne & Kleinnijenhuis, Alissa M & Nahai-Williamson, Paul & Wetzer, Thom, 2020.
"Foundations of system-wide financial stress testing with heterogeneous institutions,"
Bank of England working papers
861, Bank of England.
- Farmer, J. Doyne & Kleinnijenhuis, Alissa & Nahai-Williamson, Paul & Wetzer, Thom, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," INET Oxford Working Papers 2020-14, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Joeri Schasfoort & Antoine Godin & Dirk Bezemer & Alessandro Caiani & Stephen Kinsella, 2017.
"Monetary Policy Transmission In A Macroeconomic Agent-Based Model,"
Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-35, December.
- Schasfoort, Joeri & Godin, Antoine & Bezemer, Dirk & Caiani, Alessandro & Kinsella, Stephen, 2017. "Monetary Policy Transmission in a Macroeconomic Agent-Based Model," Research Report 17010-GEM, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Takanobu Mizuta & Sadayuki Horie, 2019. "Mechanism by which active funds make market efficient investigated with agent-based model," Evolutionary and Institutional Economics Review, Springer, vol. 16(1), pages 43-63, June.
- Romain Plassard, 2020. "Making a Breach: The Incorporation of Agent-Based Models into the Bank of England's Toolkit," GREDEG Working Papers 2020-30, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Aikman, David & Haldane, Andrew & Hinterschweiger, Marc & Kapadia, Sujit, 2018. "Rethinking financial stability," Bank of England working papers 712, Bank of England.
- Rohan Arora & Guillaume Bédard-Pagé & Guillaume Ouellet Leblanc & Ryan Shotlander, 2019. "Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach," Technical Reports 115, Bank of Canada.
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"More is different ... and complex! the case for agent-based macroeconomics,"
Journal of Evolutionary Economics, Springer, vol. 29(1), pages 1-37, March.
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More about this item
Keywords
Agent-based model; corporate bond market; trading strategies;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2016-04-23 (Computational Economics)
- NEP-FMK-2016-04-23 (Financial Markets)
- NEP-MST-2016-04-23 (Market Microstructure)
- NEP-ORE-2016-04-23 (Operations Research)
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