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Journal Articles International journal of bifurcation and chaos in applied sciences and engineering Year : 2018

Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach

Abstract

This paper introduces the implementation of a computational agent-based financial market model in which the system is described on both microscopic and macroscopic levels. This artificial financial market model is used to study the system response when a shock occurs. Indeed, when a market experiences perturbations, financial systems behavior can exhibit two different properties: resilience and robustness. Through simulations and different scenarios of market shocks, these system properties are studied. The results notably show that the emergence of collective herding behavior when market shock occurs leads to a temporary disruption of the system self-organization. Numerical simulations highlight that the market can absorb strong mono-shocks but can also be led to rupture by low but repeated perturbations.
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hal-02114928 , version 1 (30-04-2019)

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Iris Lucas, Michel Cotsaftis, Cyrille Bertelle. Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach. International journal of bifurcation and chaos in applied sciences and engineering , 2018, 28 (03), pp.1850044. ⟨10.1142/S021812741850044X⟩. ⟨hal-02114928⟩
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