Graph Models for Capital Markets
نویسندگان
چکیده
The financial crisis of 2008 has heightened the need for more effective and transparent tools in the modelling of capital markets. In this paper we propose to use strategic port-graph rewriting (a particular kind of graph transformation system, where port-graph rewriting rules are controlled by user-defined strategies) as a visual modelling tool to analyse credit derivative markets. We illustrate the methodology by specifying and analysing a “rational negligence” model, whereby investors may choose to trade securities without performing independent evaluations of the underlying assets. The model has been implemented within PORGY — an interactive port-graph rewriting tool that is able to assist with the analysis of simulation results.
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