Understanding flash crash contagion and systemic risk: a micro–macro agent-based approach
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a hybrid micro–macro agent-based model, where price impact arise...
| मुख्य लेखकों: | , , |
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| स्वरूप: | Journal article |
| भाषा: | English |
| प्रकाशित: |
Elsevier
2019
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