Financial contagion : evolutionary optimisation of a multinational agent-based model
Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during a crisis are referred to as financial contagion. We simulate crisis transmission in the context of a model of market participants adopting v...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Centre for International Capital Markets, London Metropolitan University
2008
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| Online Access: | https://repository.londonmet.ac.uk/486/1/CentreForInternationalCapitalMarketsDiscussionPapers_2008-18_p01-26.pdf |
| _version_ | 1804071538425593856 |
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| author | Caporale, Guglielmo Maria Serguieva, Antoaneta Wu, Hao |
| author_facet | Caporale, Guglielmo Maria Serguieva, Antoaneta Wu, Hao |
| author_sort | Caporale, Guglielmo Maria |
| collection | LMU |
| description | Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during a crisis are referred to as financial contagion. We simulate crisis transmission in the context of a model of market participants adopting various strategies; this allows testing for financial contagion under alternative scenarios. Using a minority game approach, we develop an agent-based multinational model and investigate the reasons for contagion. Although the phenomenon has been extensively investigated in the financial literature, it has not been studied through computational intelligence techniques. Our simulations shed light on parameter values and characteristics which can be exploited to detect contagion at an earlier stage, hence recognising financial crises with the potential to destabilise crossmarket linkages. In the real world, such information would be extremely valuable in developing appropriate risk management strategies. |
| first_indexed | 2024-07-09T03:44:51Z |
| format | Article |
| id | oai:repository.londonmet.ac.uk:486 |
| institution | London Metropolitan University |
| language | English |
| last_indexed | 2024-07-09T03:44:51Z |
| publishDate | 2008 |
| publisher | Centre for International Capital Markets, London Metropolitan University |
| record_format | eprints |
| spelling | oai:repository.londonmet.ac.uk:4862018-06-08T10:50:08Z http://repository.londonmet.ac.uk/486/ Financial contagion : evolutionary optimisation of a multinational agent-based model Caporale, Guglielmo Maria Serguieva, Antoaneta Wu, Hao 330 Economics Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during a crisis are referred to as financial contagion. We simulate crisis transmission in the context of a model of market participants adopting various strategies; this allows testing for financial contagion under alternative scenarios. Using a minority game approach, we develop an agent-based multinational model and investigate the reasons for contagion. Although the phenomenon has been extensively investigated in the financial literature, it has not been studied through computational intelligence techniques. Our simulations shed light on parameter values and characteristics which can be exploited to detect contagion at an earlier stage, hence recognising financial crises with the potential to destabilise crossmarket linkages. In the real world, such information would be extremely valuable in developing appropriate risk management strategies. Centre for International Capital Markets, London Metropolitan University 2008 Article NonPeerReviewed text en https://repository.londonmet.ac.uk/486/1/CentreForInternationalCapitalMarketsDiscussionPapers_2008-18_p01-26.pdf Caporale, Guglielmo Maria, Serguieva, Antoaneta and Wu, Hao (2008) Financial contagion : evolutionary optimisation of a multinational agent-based model. Centre for International Capital Markets discussion papers, 2008 (18). pp. 1-26. ISSN 1749-3412 http://www.londonmet.ac.uk/media/london-metropolitan-university/london-met-documents/faculties/guildhall-faculty-of-business-and-law/cicm/2008-18.pdf 10.1002/isaf.v16:1/2 |
| spellingShingle | 330 Economics Caporale, Guglielmo Maria Serguieva, Antoaneta Wu, Hao Financial contagion : evolutionary optimisation of a multinational agent-based model |
| title | Financial contagion : evolutionary optimisation of a multinational agent-based model |
| title_full | Financial contagion : evolutionary optimisation of a multinational agent-based model |
| title_fullStr | Financial contagion : evolutionary optimisation of a multinational agent-based model |
| title_full_unstemmed | Financial contagion : evolutionary optimisation of a multinational agent-based model |
| title_short | Financial contagion : evolutionary optimisation of a multinational agent-based model |
| title_sort | financial contagion evolutionary optimisation of a multinational agent based model |
| topic | 330 Economics |
| url | https://repository.londonmet.ac.uk/486/1/CentreForInternationalCapitalMarketsDiscussionPapers_2008-18_p01-26.pdf |
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