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2016
- handle: 10670/1.x7qkl7
- isbn: 9780081011768
- hal: hal-01397400
info:eu-repo/semantics/OpenAccess
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complex systems systemic risk agent based modelingSujets proches
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Yi-Fang Liu et al., « Onset of financial instability studied via agent-based models », HAL-SHS : économie et finance, ID : 10670/1.x7qkl7
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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.