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The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies

Citations

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Cited by:

  1. Fischer, Thomas, 2011. "News reaction in financial markets within a behavioral finance model with heterogeneous agents," Darmstadt Discussion Papers in Economics 205, Darmstadt University of Technology, Department of Law and Economics.
  2. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
  3. Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2020. "Non-Value-Added Tax to Improve Market Fairness," Working Papers hal-02881064, HAL.
  4. Luca Riccetti & Alberto Russo & Mauro Gallegati, 2015. "An agent based decentralized matching macroeconomic model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(2), pages 305-332, October.
  5. Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2022. "Non-Value-Added Tax to improve market fairness and quality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-30, December.
  6. Jang, Tae-Seok & Sacht, Stephen, 2012. "Identification of animal spirits in a bounded rationality model: An application to the euro area," Economics Working Papers 2012-12, Christian-Albrechts-University of Kiel, Department of Economics.
  7. Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou, 2014. "An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-10, April.
  8. Filip Stanek & Jiri Kukacka, 2018. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
  9. 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.
  10. Matthias Lengnick & Hans-Werner Wohltmann, 2013. "Agent-based financial markets and New Keynesian macroeconomics: a synthesis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 1-32, April.
  11. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
  12. Anufriev, Mikhail & Tuinstra, Jan, 2013. "The impact of short-selling constraints on financial market stability in a heterogeneous agents model," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1523-1543.
  13. Daniel Fricke & Thomas Lux, 2015. "The effects of a financial transaction tax in an artificial financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
  14. 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.
  15. Alexandru Mandes, 2020. "Impact of Electronic Liquidity Providers Within a High-Frequency Agent-Based Modeling Framework," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 407-450, February.
  16. Scheffknecht, Lukas & Geiger, Felix, 2011. "A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis," FZID Discussion Papers 37-2011, University of Hohenheim, Center for Research on Innovation and Services (FZID).
  17. Tae-Seok Jang & Stephen Sacht, 2016. "Animal Spirits and the Business Cycle: Empirical Evidence from Moment Matching," Metroeconomica, Wiley Blackwell, vol. 67(1), pages 76-113, February.
  18. Filippo Gusella & Engelbert Stockhammer, 2021. "Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
  19. Yeh, Chia-Hsuan & Yang, Chun-Yi, 2010. "Examining the effectiveness of price limits in an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2089-2108, October.
  20. 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.
  21. Veryzhenko, Iryna & Harb, Etienne & Louhichi, Waël & Oriol, Nathalie, 2017. "The impact of the French financial transaction tax on HFT activities and market quality," Economic Modelling, Elsevier, vol. 67(C), pages 307-315.
  22. Sandrine Jacob Leal & Mauro Napoletano, 2017. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01768876, HAL.
  23. Franke, Reiner, 2010. "On the specification of noise in two agent-based asset pricing models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1140-1152, June.
  24. repec:hal:spmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k is not listed on IDEAS
  25. LeBaron Blake & Winker Peter, 2008. "Introduction to the Special Issue on Agent-Based Models for Economic Policy Advice," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 141-148, April.
  26. Martin Carolin & Westerhoff Frank, 2019. "Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
  27. Johann Lussange & Stefano Vrizzi & Stefano Palminteri & Boris Gutkin, 2024. "Modelling crypto markets by multi-agent reinforcement learning," Papers 2402.10803, arXiv.org.
  28. Chia-Hsuan Yeh & Chun-Yi Yang, 2013. "Do price limits hurt the market?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 125-153, April.
  29. Cafferata, Alessia & Tramontana, Fabio, 2022. "Disposition Effect and its outcome on endogenous price fluctuations," MPRA Paper 113904, University Library of Munich, Germany.
  30. Johann Lussange & Boris Gutkin, 2023. "Order book regulatory impact on stock market quality: a multi-agent reinforcement learning perspective," Papers 2302.04184, arXiv.org.
  31. d’Andria, D. & Savin, I., 2018. "A Win-Win-Win? Motivating innovation in a knowledge economy with tax incentives," Technological Forecasting and Social Change, Elsevier, vol. 127(C), pages 38-56.
  32. 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.
  33. Bernardo A. Furtado & Miguel A. Fuentes & Claudio J. Tessone, 2019. "Policy Modeling and Applications: State-of-the-Art and Perspectives," Complexity, Hindawi, vol. 2019, pages 1-11, February.
  34. Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
  35. Emiliano Brancaccio & Mauro Gallegati & Raffaele Giammetti, 2022. "Neoclassical influences in agent‐based literature: A systematic review," Journal of Economic Surveys, Wiley Blackwell, vol. 36(2), pages 350-385, April.
  36. Westerhoff, Frank & Franke, Reiner, 2012. "Agent-based models for economic policy design: Two illustrative examples," BERG Working Paper Series 88, Bamberg University, Bamberg Economic Research Group.
  37. Ricetti, Luca & Russo, Alberto & Gallegati, Mauro, 2013. "Unemployment benefits and financial leverage in an agent based macroeconomic model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 7, pages 1-44.
  38. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yongjie Zhang & Wei Chen & Wei-Xing Zhou, 2021. "An empirical behavioral order-driven model with price limit rules," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
  39. Kotb, Naira & Proaño Acosta, Christian, 2020. "Capital-constrained loan creation, stock markets and monetary policy in a behavioral new Keynesian model," BERG Working Paper Series 158, Bamberg University, Bamberg Economic Research Group.
  40. in ׳t Veld, Daan, 2016. "Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 45-67.
  41. Witte, Björn-Christopher, 2013. "Fundamental traders' ‘tragedy of the commons’: Information costs and other determinants for the survival of experts and noise traders in financial markets," Economic Modelling, Elsevier, vol. 32(C), pages 377-385.
  42. repec:spo:wpmain:info:hdl:2441/3utlh0ehcn860pus6p2p683ade is not listed on IDEAS
  43. Doris Neuberger & Roger Rissi, 2014. "Macroprudential Banking Regulation: Does One Size Fit All?," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(1), pages 5-28, May.
  44. Takanobu Mizuta & Shintaro Kosugi & Takuya Kusumoto & Wataru Matsumoto & Kiyoshi Izumi & Isao Yagi & Shinobu Yoshimura, 2016. "Effects of Price Regulations and Dark Pools on Financial Market Stability: An Investigation by Multiagent Simulations," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 97-120, January.
  45. Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2014. "One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(1), pages 27-51, April.
  46. Reiner Franke, 2020. "Heterogeneity in the Harrodian sentiment dynamics, entailing also some scope for stability," Journal of Evolutionary Economics, Springer, vol. 30(2), pages 347-374, April.
  47. repec:hal:journl:hal-04790290 is not listed on IDEAS
  48. Westerhoff, Frank, 2009. "A simple agent-based financial market model: Direct interactions and comparisons of trading profits," BERG Working Paper Series 61, Bamberg University, Bamberg Economic Research Group.
  49. Johann Lussange & Stefano Vrizzi & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin, 2023. "Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1523-1544, April.
  50. repec:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k is not listed on IDEAS
  51. Lengnick, Matthias & Wohltmann, Hans-Werner, 2016. "Optimal monetary policy in a new Keynesian model with animal spirits and financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 148-165.
  52. Markus Demary, 2011. "Transaction taxes, greed and risk aversion in an agent-based financial market model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 1-28, May.
  53. Gudehus Timm, 2010. "Logik des Marktes Marktordnung, Marktverhalten und Marktergebnisse / Logic of Markets Market Rules, Behaviour of Actors, and Market Outcome," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(5), pages 601-629, October.
  54. Markus Demary, 2017. "Yield curve responses to market sentiments and monetary policy," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 309-344, July.
  55. repec:hal:spmain:info:hdl:2441/3utlh0ehcn860pus6p2p683ade is not listed on IDEAS
  56. Todd Feldman & Gabriele Lepori, 2016. "Asset price formation and behavioral biases," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 8(2), pages 137-155, November.
  57. Concetta Sorropago, 2014. "Behavioral Finance and Agent Based Model: the new evolving discipline of quantitative behavioral finance ?," DIAG Technical Reports 2014-13, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".
  58. Zhu, Mei & Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2009. "Does the market maker stabilize the market?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3164-3180.
  59. Dercole, Fabio & Radi, Davide, 2020. "Does the “uptick rule” stabilize the stock market? Insights from adaptive rational equilibrium dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
  60. Dieci, Roberto & Gardini, Laura & Westerhoff, Frank, 2022. "On the destabilizing nature of capital gains taxes," International Review of Financial Analysis, Elsevier, vol. 83(C).
  61. Riccetti, Luca & Russo, Alberto & Mauro, Gallegati, 2013. "Financial Regulation in an Agent Based Macroeconomic Model," MPRA Paper 51013, University Library of Munich, Germany.
  62. Andreas Röthig, 2012. "Cross‐Speculation In Currency Futures Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(3), pages 272-278, July.
  63. Demary, Markus, 2010. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-44.
  64. Ali Taherizadeh & Shiva Zamani, 2023. "Winner Strategies in a Simulated Stock Market," IJFS, MDPI, vol. 11(2), pages 1-17, May.
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