An agent-based model of corporate bond trading

DOI10.1080/14697688.2017.1380310zbMath1400.91643OpenAlexW2768554883MaRDI QIDQ4554442

Zijun Liu, A. E. Turrell, K. Braun-Munzinger

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1380310

zbMATH Keywords

agent-based modellingfinancial instabilitycorporate bondsbond funds

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Structural stochastic volatility in asset pricing dynamics: estimation and model contest
• Simple agent-based dynamical system models for efficient financial markets: theory and examples
• Information-based multi-assets artificial stock market with heterogeneous agents
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• The dynamics of the leverage cycle
• Prices, debt and market structure in an agent-based model of the financial market
• Leverage causes fat tails and clustered volatility
• Continuous Auctions and Insider Trading
• Market Microstructure Invariance: Empirical Hypotheses
• Empirical properties of asset returns: stylized facts and statistical issues

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