Agent-based model with multi-level herding for complex financial systems
نویسندگان
چکیده
منابع مشابه
Agent-based model with multi-level herding for complex financial systems
In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet understood. Especially, how to produce these two features in one model remains challenging. We introduce a novel interaction mechanism, i.e., the multi-level her...
متن کاملAgent-Based Model with Asymmetric Trading and Herding for Complex Financial Systems
BACKGROUND For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However, the microscopic origination of the leverage and anti-leverage effects is still not understood, and how to produce these effects in agent-based modeling remains ...
متن کاملa new type-ii fuzzy logic based controller for non-linear dynamical systems with application to 3-psp parallel robot
abstract type-ii fuzzy logic has shown its superiority over traditional fuzzy logic when dealing with uncertainty. type-ii fuzzy logic controllers are however newer and more promising approaches that have been recently applied to various fields due to their significant contribution especially when the noise (as an important instance of uncertainty) emerges. during the design of type- i fuz...
15 صفحه اولA Multi-Level Technique for Modeling Agent-Based Systems
A layered technique is introduced in this paper to examine agentbased systems from three different levels of abstraction. The technique provides analysis capabilities of an agent system from the point of view of roles, agents, and corresponding implementation objects. The core of the technique involves the specification of meta-models for each level. Three different translators are implemented ...
متن کاملComplex Dynamics and Financial Fragility in an Agent Based Model
In this paper, we model an agent-based economy in which heterogeneous agents (firms and a bank) interact in the financial markets. The heterogeneity is due to the balance sheet conditions and to size. In our simulations, at the aggregate level, output displays changes in trend and volatility giving rise to complex dynamics. The average solvency and liquidity ratios peak during recessions as emp...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Scientific Reports
سال: 2015
ISSN: 2045-2322
DOI: 10.1038/srep08399