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Chapitre D'ouvrage Année : 2016

Onset of financial instability studied via agent-based models

Résumé

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.
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Dates et versions

hal-01397400 , version 1 (15-11-2016)

Identifiants

  • HAL Id : hal-01397400 , version 1

Citer

Yi-Fang Liu, Jørgen Vitting Andersen, Philippe de Peretti. Onset of financial instability studied via agent-based models. Monica Billio, Loriana Pelizzon and Roberto Savona Systemic Risk Tomography: Signals, Measurement and Transmission Channels, ISTE Press Ltd, pp.95-123, 2016, 9780081011768. ⟨hal-01397400⟩
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