Simulation of a financial market: The possibility of catastrophic disequilibrium

Autor:	Amit K. Sinha, Tyler Beason, K. R. Roos, Philip A. Horvath
Rok vydání:	2019
Předmět:	General Mathematics Applied Mathematics Disequilibrium Financial market General Physics and Astronomy Statistical and Nonlinear Physics Crash Monetary economics 01 natural sciences 010305 fluids & plasmas 0103 physical sciences medicine Economics medicine.symptom 010301 acoustics
Zdroj:	Chaos, Solitons & Fractals. 125:13-16
ISSN:	0960-0779
DOI:	10.1016/j.chaos.2019.05.011
Popis:	We use kinetic Monte Carlo simulations to produce solutions of an agent-based, rate equation model of an informationally efficient, closed financial market. The simulations produce a crash in the market that is forewarned through the observation of a market instability from which the market temporarily recovers. The market remained in a quasi-stable state for a relatively large amount of time between the warning and the crash, raising the prospect that some mitigating action can be taken in time to avert the impending crash. This result has strong ramifications for the future of predicting calamitous market events, especially if some observable aspect of financial markets can be positively identified and associated with simulation parameters.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2b5f5c97562836b3232ce9fc3cd6ab8f https://doi.org/10.1016/j.chaos.2019.05.011 Zobrazit plný text záznamu Full Text from ScienceDirect