This paper introduces different costs into the Dutta-Madhavan model of implicit collusion between market makers. It will be shown how different costs of market making influence the possibility of implicit collusion and the price setting. The derived model will then be applied to the case of...

We model a stylized banking system where banks are characterized by the amount of capital, cash reserves and their exposure to the interbank loan market as borrowers as well as lenders. A network of interbank lending is established that is used as a transmission mechanism for the failure of...

Purpose –Financial institutions have been subject to minimum capital requirements for considerable time while other companies do not face any such regulation. This paper investigates the capital requirements of companies and how it should relate to the assets of a company....

We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with different memory lengths using the strategies' past performance. Based on the chosen trading strategy they determine their prediction of the movement for the...

We simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatility exhibit first order autocorrelation, but trading volume and daily return volatility are not correlated, while...

It has been widely accepted that herding is the consequence of mimetic responses by agents interacting locally on a communication network. In extant models, this communication network linking agents, by and large, has been assumed to be fixed. In this paper we allow it to evolve endogenously by...

We have developed an agent-based model for competition among payment cards networks. In our model the competitors in the payment card market learn by observing model-based interactions between costumers and merchants at the point of sale (POS). The interactions are represented on lattice with...