Related papers: Agent Simulation of Chain Bankruptcy
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…
Stochastic models in which agents interact with their neighborhood according to a network topology are a powerful modeling framework to study the emergence of complex dynamic patterns in real-world systems. Stochastic simulations are often…
Operational disruptions in retail payments can induce behavioral responses that outlast technical recovery and may amplify liquidity stress. We propose a multi-agent model linking card payment outages to trust dynamics, channel avoidance,…
We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking…
We study multidimensional Cram\'er-Lundberg risk processes where agents, located on a large sparse network, receive losses form their neighbors. To reduce the dimensionality of the problem, we introduce classification of agents according to…
We present an exploration of a reputation system based on explicit ratings weighted by the values of corresponding financial transactions from the perspective of its ability to grant "security" to market participants by protecting them from…
The right performance of a supply chain depends on the pattern of relationships among firms. Although there is not a general consensus among researchers yet, many studies point that scale-free topologies, where few highly related firms are…
The paper gives picture of enrichment to economic and financial system analysis using agent-based models as a form of advanced study for financial economic data post-statistical-data analysis and micro-simulation analysis. Theoretical…
This theoretical model contains concept, equations, and graphical results for venture banking. A system of 27 equations describes the behavior of the venture-bank and underwriter system allowing phase-space type graphs that show where…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…
In this paper, we propose a method that provides a useful technique to compare relationship between risks involved that takes customer become defaulter and debt collection process that might make this defaulter recovered. Through estimation…
Realistic credit risk assessment, the estimation of losses from counterparty's failure, is central for the financial stability. Credit risk models focus on the financial conditions of borrowers and only marginally consider other risks from…
The emergence and evolution of real-world systems have been extensively studied in the last few years. However, equally important phenomena are related to the dynamics of systems' collapse, which has been less explored, especially when they…
An important aspect in jointly analysing networked control systems and their communication is to model the networking in a sufficiently rich but at the same time mathematically tractable way. As such, this paper improves on a recently…
The premise of this working paper is based around agent-based simulation models and how to go about creating them from given incomplete information. Agent-based simulations are stochastic simulations that revolve around groups of agents…
Dynamical systems with components whose sizes evolve according to multiplicative stochastic rules have been recently combined with entry and exit processes. We show that the assumptions usually made in modeling exits are at odds with the…
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provide realistic simulated price impact curves. This is possible…
Lattice investment projects support process model with corruption is formulated and analyzed. The model is based on the Ising lattice model of ferromagnetic but takes deal with the social phenomenon. Set of corruption agents is considered.…
Context: Financial system stability is determined by the condition of the banking system. A bank failure can destroy the stability of the financial system, as banks are subject to systemic risk, affecting not only individual banks but also…
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes…