Search Results - subject:"arbitrageurs"

How market intervention can prevent bubbles and crashes : an agent based modelling approach

Westphal, Rebecca; Sornette, Didier - In: Computational economics 64 (2024) 3, pp. 1315-1356

Persistent link: https://www.econbiz.de/10015143925

Multi-asset financial bubbles in an agent-based model with noise traders' herding described by an n-vector Ising model

Cividino, Davide; Westphal, Rebecca; Sornette, Didier - 2021

We present an agent-based model (ABM) of a financial market with n 1 risky assets, whose price dynamics result from the interaction between rational fundamentalists and trend following imitative noise traders. The interactions and opinion formation of the noise traders are described by an...

Persistent link: https://www.econbiz.de/10012799633

How market intervention can prevent bubbles and crashes

Westphal, Rebecca; Sornette, Didier - 2020

Using an agent-based model (ABM) with fundamentalists and chartists, prone to develop bubbles and crashes, we demonstrate the usefulness of direct market intervention by a policy maker, documenting strong performance in preventing bubbles and drawdowns and augmenting significantly the welfare of...

Persistent link: https://www.econbiz.de/10012271219

Financing Harmful Bubbles

Matsushima, Hitoshi - Institute of Economic Research, Kyoto University - 2010

We model the stock market as a timing game, in which arbitrageurs who are not expected to be certainly rational compete … arbitrageurs use leverage. If leverage is weakly regulated, it is the unique Nash equilibrium that the bubble persists for a long … time. This holds even if the euphoria is negligible and all arbitrageurs are expected to be almost certainly rational. This …

Persistent link: https://www.econbiz.de/10008489842

Strategic pricing of commodities

Jörnsten, Kurt; Ubøe, Jan - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2006

In this paper we will consider a setting where a large number of agents are trading commodity bundles. Assuming that agents of the same type have a certain utility attached to each transaction, we construct a statistical equilibrium which in turn implies prices on the different commodities. Our...

Persistent link: https://www.econbiz.de/10005419344