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

Iris Lucas, Michel Cotsaftis and Cyrille Bertelle ()
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Iris Lucas: RI2C - LITIS - Equipe Réseaux d'interactions et Intelligence Collective - LITIS - Laboratoire d'Informatique, de Traitement de l'Information et des Systèmes - ULH - Université Le Havre Normandie - NU - Normandie Université - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université - INSA Rouen Normandie - Institut national des sciences appliquées Rouen Normandie - INSA - Institut National des Sciences Appliquées - NU - Normandie Université
Michel Cotsaftis: ECE Paris
Cyrille Bertelle: RI2C - LITIS - Equipe Réseaux d'interactions et Intelligence Collective - LITIS - Laboratoire d'Informatique, de Traitement de l'Information et des Systèmes - ULH - Université Le Havre Normandie - NU - Normandie Université - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université - INSA Rouen Normandie - Institut national des sciences appliquées Rouen Normandie - INSA - Institut National des Sciences Appliquées - NU - Normandie Université

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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.

Keywords: Self-organization; Multiagent system; Complex behavior; Resilience; Robustness; Collective behavior; Market microstructure (search for similar items in EconPapers)
Date: 2018-03
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Citations: View citations in EconPapers (3)

Published in International journal of bifurcation and chaos in applied sciences and engineering , 2018, 28 (03), pp.1850044. ⟨10.1142/S021812741850044X⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02114928

DOI: 10.1142/S021812741850044X

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