Analysis, of micro-macro structure of financial markets via agent-based model: Risk management and dynamics of asset pricing

Authored by H Takahashi, T Terano

Date Published: 2004

DOI: 10.1002/ecjb.20100

Sponsors: No sponsors listed

Platforms: No platforms listed

Model Documentation: Other Narrative Mathematical description

Model Code URLs: Model code not found

Abstract

In this research the authors use an agent-based approach to analyze the effects risk management has on a market overall. First, they confirm the validity of the risk management methods reported in the field of financial engineering. Then they confirm that under particular conditions, such as when there are a large number of investors who take into consideration the tendencies of other investors or when excessive risk management is used, risk management can cause market prices to deviate from standard levels. (C) 2004 Wiley Periodicals, Inc.

Tags

herd behavior agent-based approach portfolio insurance risk management valuated risk