Name
Title | ||
|---|---|---|
Financial contagion simulation through modelling behavioural characteristics of market participants and capturing cross-market linkages |
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 financial crises are referred to as financial contagion. We simulate the transmission of financial crises in the context of a model of market participants adopting various strategies; this allows testing for financial contagion under alternative scenarios. Using a comprehensive approach, we develop an agent-based multinational model and identify factors contributing to contagion. Although contagion has been investigated in the financial literature, it has not yet been studied extensively through computational intelligence techniques. The first steps in that direction are taken in. We extend these studies and introduce GARCH model and Clayton copula to better capture markets interdependence and to improve the evolutionary optimization technique. Our model further comprises four rather than three types of traders: technical, game, herd, and noise traders, respectively. The different types of traders use different strategies to make now three rather than two kinds of decisions: “buy”, “sell”, or ”hold”. Our simulations shed light on parameter values and characteristics which can be exploited in further research to detect contagion at an earlier stage, hence recognizing financial crises with the potential to destabilize cross-market linkages. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1109/CIFER.2011.5953569 | Computational Intelligence for Financial Engineering and Economics |
Keywords | Field | DocType |
autoregressive processes,evolutionary computation,financial data processing,multi-agent systems,Clayton copula,GARCH model,agent-based multinational model,behavioural characteristic modeling,computational intelligence techniques,cross-market linkages,evolutionary optimization technique,financial contagion simulation,financial market crises,identify factors,market participants,Claytion copula,contagion,multiple-market model | Economics,Financial economics,Multinational corporation,Financial contagion,Linkage (mechanical),Computational intelligence,Copula (linguistics),Multi-agent system,Financial market,Autoregressive conditional heteroskedasticity | Conference |
ISSN | ISBN | Citations |
pending | 978-1-4244-9933-5 | 1 |
PageRank | References | Authors |
0.36 | 4 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Antoaneta Serguieva | 1 | 23 | 5.05 |
| Fang Liu | 2 | 1188 | 125.46 |
| Paresh Date | 3 | 1 | 0.70 |