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Onset of financial instability studied via agent-based models

Author

Listed:
  • Yi-Fang Liu

    (College of Management and Economics - TJU - Tianjin University)

  • Jørgen Vitting Andersen

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Philippe de Peretti

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

The mere complexity of scenarios which could lead tothe onset of financial market instability seems to demand new tools, in particular concerning the role of human decision-making during crises. Here we present agent-based models that could provide new insights into the wayperiods of market turmoil unfold. We illustrate the method through a well-controlled setup in a series of experiments. We are thereby able to:i) validate the impact of model parameters and test their relevance by predicting the average outcome of an experiment; andii) consider each individual experiment and predict outcomes through a scenario analysis. These illustrations should show the appeal of the method in applications to real market situations.

Suggested Citation

  • Yi-Fang Liu & Jørgen Vitting Andersen & Philippe de Peretti, 2016. "Onset of financial instability studied via agent-based models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01397400, HAL.
    • Handle: RePEc:hal:cesptp:hal-01397400
    Note: View the original document on HAL open archive server: https://hal.science/hal-01397400
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    Citations

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    Cited by:

    1. Naji Massad & Jørgen Vitting Andersen, 2017. "Three different ways synchronization can cause contagion in financial markets," Documents de travail du Centre d'Economie de la Sorbonne 17059, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2. Naji Massad & Jørgen Vitting Andersen, 2018. "Three Different Ways Synchronization Can Cause Contagion in Financial Markets," Post-Print hal-01951164, HAL.
    3. Naji Massad & J{o}rgen Vitting Andersen, 2019. "Three Different Ways Synchronization Can Cause Contagion in Financial Markets," Papers 1902.10800, arXiv.org.
    4. Naji Massad & Jørgen Vitting Andersen, 2017. "Three different ways synchronization can cause contagion in financial markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01673333, HAL.
    5. Naji Massad & Jørgen Vitting Andersen, 2017. "Three different ways synchronization can cause contagion in financial markets," Post-Print halshs-01673333, HAL.
    6. Naji Massad & Jørgen Vitting Andersen, 2018. "Three Different Ways Synchronization Can Cause Contagion in Financial Markets," Risks, MDPI, vol. 6(4), pages 1-13, September.
    7. Naji Massad & Jørgen Vitting Andersen, 2018. "Three Different Ways Synchronization Can Cause Contagion in Financial Markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01951164, HAL.

    More about this item

    Keywords

    complex systems; systemic risk; agent based modeling;
    All these keywords.

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