1. From agent-based modeling to actor-based reactive systems in the analysis of financial networks
- Author
-
Silvia Crafa
- Subjects
Agent-based models ,Flexibility (engineering) ,Economics and Econometrics ,Computational model ,Computer science ,Financial networks ,Distributed computing ,05 social sciences ,Distributed systems ,Asset (computer security) ,01 natural sciences ,Decentralised system ,010305 fluids & plasmas ,Computational models ,Reactive systems ,Systemic risk ,Shock (economics) ,0502 economics and business ,0103 physical sciences ,050207 economics ,Business and International Management ,Reactive system - Abstract
We present a new framework for the analysis of financial networks, called Actor-based Reactive Systems (ARS), that pushes further the Agent-Based approach (ABM) by resorting to ideas coming from the study of distributed systems in computer science. Two distinctive features, namely a fundamentally different management of time and a fully decentralized control logic, have a profound impact in terms of expressiveness of analysis, flexibility of modeling, and efficiency of experimentation. To illustrate the feasibility of the framework, we develop a realistic case study by analyzing the systemic risk of a model of the European banking network with a nontrivial contagion procedure, that combines an initial asset shock with the negative feedback loop triggered by asset fire sales. We show that, compared to ABMs, ARSs bring about finer-grained analyses, with a greater degree of heterogeneity and adaptivity of economic agents. Moreover, the very low computational cost and the detailed account of the system’s execution support the design and the development of very flexible stress tests to rapidly experiment with many hypothetical scenarios in a test-oriented style.
- Published
- 2021
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