- Complex systems in financial economics: Applications to interbank and stock markets
- Award date
- 17 October 2014
- Number of pages
- Document type
- PhD thesis
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
Complex systems are characterised by strong interaction at the micro level that can induce large changes at the macro level. This thesis applies the theory of complex systems to the interbank market (Part I) and the stock market (Part II). Evidence found in data from the Netherlands and the US makes clear in what sense these markets are complex systems. The observed phenomena are explained by modelling the adaptive behaviour of financial agents, for example how they form their trading relationships or how they choose investment strategies. The applications help to understand the mechanisms behind the emergence of the financial-economic crisis in 2007 and 2008, and relate to the debate on policy measures aiming to prevent a future crisis of this kind.
- Research conducted at: Universiteit van Amsterdam
Series: Tinbergen Institute research series 592
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.