Modeling Economic Activities and Random Catastrophic Failures of Financial Networks via Gibbs Random Fields

Levent Onural (), Mustafa Çelebi Pınar and Can Fırtına
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Levent Onural: Bilkent University
Mustafa Çelebi Pınar: Bilkent University
Can Fırtına: Bilkent University

Computational Economics, 2021, vol. 58, issue 2, No 2, 203-232

Abstract: Abstract The complicated economic behavior of entities in a population can be modeled as a Gibbs random field (GRF). Even with simple GRF models, which restrict direct statistical interactions with a small number of neighbors of an entity, real life economic and financial activities may be effectively described. A computer simulator is developed to run empirical experiments to assess different coupling structures and parameters of the presented model; it is possible to test many economic and financial models and policies in terms of their transient and steady-state consequences.

Keywords: Economic networks; Financial networks; Gibbs random fields; Markov random fields; Metropolis algorithm (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10614-020-10023-3

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