Related papers: Implementation of a Port-graph Model for Finance
We present strategic portgraph rewriting as a basis for the implementation of visual modelling and analysis tools. The goal is to facilitate the specification, analysis and simulation of complex systems, using port graphs. A system is…
This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the…
This paper describes simulations and analysis of flash crash scenarios in an agent-based modelling framework. We design, implement, and assess a novel high-frequency agent-based financial market simulator that generates realistic…
In real-world stock markets, certain chart patterns -- such as price declines near historical highs -- cannot be fully explained by fundamentals alone. These phenomena suggest the presence of path dependence in price formation, where…
This paper investigates the use of graph rewriting systems as a modelling tool, and advocates the embedding of such systems in an interactive environment. One important application domain is the modelling of biochemical systems, where…
Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial…
Although financial models violate ergodicity in general, observing the ergodic behavior in the markets is not rare. Policymakers and market participants control the market behavior in critical and emergency states, which leads to some…
Fault detection has a long tradition: the necessity to provide the most accurate diagnosis possible for a process plant criticality is somehow intrinsic in its functioning. Continuous monitoring is a possible way for early detection.…
The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…
Machine learning models used for high-stakes predictions in domains like credit risk face critical degradation due to concept drift, requiring robust and transparent adaptation mechanisms. We propose an architecture, where a dedicated…
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…
We present an agent based model of a single asset financial market that is capable of replicating several non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. While previous…
After the shocking series of bankruptcies started in 2008, the public does not trust anymore the classical methods of assessing business risks. The global economic severe downturn caused demand for both developed and emerging economies'…
We propose a novel symbolic modeling framework for decision-making under risk that merges interpretability with the core insights of Prospect Theory. Our approach replaces opaque utility curves and probability weighting functions with…
The aim of this study is to investigate quantitatively whether share prices deviated from company fundamentals in the stock market crash of 2008. For this purpose, we use a large database containing the balance sheets and share prices of…
Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situation. In particular, much attention has been devoted to the…
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a…
The analysis of system reliability has often benefited from graphical tools such as fault trees and Bayesian networks. In this article, instead of conventional graphical tools, we apply a probabilistic graphical model called the chain event…