Using Agent-Based Models for Analyzing Threats to Financial Stability

Using Agent-Based Models for Analyzing Threats to Financial Stability
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使用基于代理的模型分析金融稳定的威胁

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发表时间:
2012
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通讯作者:
Richard M. Bookstaber
Richard M. Bookstaber
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作者:
Richard M. Bookstaber

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现有的金融不稳定模型往往基于对市场及其相互作用的自上而下、部分均衡的观点;他们无法将异质企业之间行为的复杂性或所有类型企业在危机期间改变行为的趋势结合起来。本文认为,基于代理的模型(ABM)——旨在解释单个公司或“代理”的行为如何影响复杂系统的结果——可以为我们理解潜在的脆弱性以及风险在整个金融体系中传播的路径做出重要贡献。
Existing models of financial instability tend to be based on top-down, partial-equilibrium views of markets and their interactions; they are unable to incorporate the complexity of behavior among heterogeneous firms or the tendency for all types of firms to change their behavior during a crisis. This paper argues that agent-based models (ABMs)--which seek to explain how the behavior of individual firms or "agents" can affect outcomes in complex systems--can make an important contribution to our understanding of potential vulnerabilities and paths through which risks can propagate across the financial system.