Name
Abstract | ||
|---|---|---|
Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during a crisis are referred to as financial contagion. We simulate crisis transmission in the context of a model of market participants adopting various strategies; this allows testing for financial contagion under alternative scenarios. Using a minority game approach, we develop an agent-based multinational model and investigate the reasons for contagion. Although the phenomenon has been extensively investigated in the financial literature, it has not been studied through computational intelligence techniques. Our simulations shed light on parameter values and characteristics which can be exploited to detect contagion at an earlier stage, hence recognizing financial crises with the potential to destabilize cross-market linkages. In the real world, such information would be extremely valuable in developing appropriate risk management strategies. Copyright © 2009 John Wiley & Sons, Ltd. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1002/isaf.v16:1/2 | Int. Syst. in Accounting, Finance and Management |
Keywords | Field | DocType |
financial market crisis,minority/majority game,evolutionary parameter optimisation,market participant,evolutionary optimization,financial contagion,crisis transmission,cross-market linkage,agent-based model,agent-based multinational model,financial crisis,financial literature,real world,unstable cross-market linkage,multinational agent-based model,computational intelligence,financial market | Multinational corporation,Financial economics,Economics,Financial contagion,Actuarial science,Agent-based model,Risk management,Artificial intelligence,Phenomenon,Financial market,Linkage (mechanical),Computational intelligence,Machine learning | Journal |
Volume | Issue | Citations |
16 | 1‐2 | 4 |
PageRank | References | Authors |
0.68 | 4 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Guglielmo Maria Caporale | 1 | 8 | 2.19 |
| Antoaneta Serguieva | 2 | 23 | 5.05 |
| Hao Wu | 3 | 4 | 0.68 |