In this paper, we introduce models of sequential decision making in consumer lending. From the definition of adverse selection in static lending models, we show that homogenous borrowers take-up offers at different instances of time when faced with a sequence of loan offers. We postulate that...

In this paper, we introduce models of sequential decision making in consumer lending. From the definition of adverse selection in static lending models, we show that homogenous borrowers take-up offers at different instances of time when faced with a sequence of loan offers. We postulate that...

We propose a near zero-intelligence agent-based model of the E-Mini S&P 500 futures market that allows for a close examination of market microstructure in the context of a flash crash. Several classes of agents are characterized by how fast they trade and where they place trades in the limit...

Electronic markets have emerged as popular venues for the trading of a wide variety of financial assets, and computer based algorithmic trading has also asserted itself as a dominant force in financial markets across the world. Identifying and understanding the impact of algorithmic trading on...

The advent of electronic financial markets and associated technologies has dramatically improved the trading functions that are available to market participants in terms of speed, capacity and sophistication. Advanced data feed and audit trail information from market operators also make the full...

An agent-based model (ABM) has a structure, which includes a set of agents, a topology and an environment. A simplified conception of a financial market includes a set of market participants, a trading mechanism, and a set of securities. In a typical ABM of a financial market, the market...

Regulators and policy makers, facing a complicated, fast-paced and quickly evolving marketplace, require new tools and decision aides to inform policy. Agent-based models, which are capable of capturing the organization of exchanges, intricacies of market mechanisms, and the heterogeneity of...

Using an agent-based model of the limit order book, we explore how the levels of information available to participants, exchanges, and regulators can be used to improve our understanding of the stability and resiliency of a market. Ultimately, we want to know if electronic market data contains...

We propose a novel approach for studying optimal capital structure under the prevalent corporate income tax regime where full tax deductibility of interest is permitted. Then, following the OECD proposed BEPS (Base Erosion and Profit Shifting) framework, we impose an EBITDA-based limit on the...

We model the term structure of Corporate Credit based on Competitive Advantage. Our approach dispenses with the volatility based Geometric Brownian Motion prevalent in most structural-form models. Instead we consider the competitive advantage enjoyed by a firm as the central tenet of our model...