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首页> 外文期刊>Journal of Economic Dynamics and Control >Understanding flash crash contagion and systemic risk: A micro-macro agent-based approach
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Understanding flash crash contagion and systemic risk: A micro-macro agent-based approach

机译：了解闪存崩溃的蔓延性和系统性风险：一种基于微宏代理的方法

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The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a hybrid micro-macro agent-based model, where price impact arises endogenously through the limit order placement activity of algorithmic traders. Our novel hybrid microscopic and macroscopic model allows us to characterise systemic risk not just in terms of system stability, but also in terms of the speed of financial distress propagation over intraday timescales. We find that systemic risk is strongly dependent on the behaviour of algorithmic traders, on leverage management practices, and on network topology. Our results demonstrate that, for high-crowding regimes, contagion speed is a non-monotone function of portfolio diversification. We also find the surprising result that, in certain circumstances, increased portfolio crowding is beneficial to systemic stability. We are not aware of previous studies that have exhibited this phenomenon, and our results establish the importance of considering non-uniform asset allocations in future studies. Finally, we characterise the time window available for regulatory interventions during the propagation of flash crash distress, with results suggesting ex ante precautions may have higher efficacy than ex post reactions. (C) 2019 Elsevier B.V. All rights reserved.
机译：本文的目的是加深对引起快速崩溃蔓延的条件的理解，尤其是在重叠资产组合拥挤方面。为此，我们设计，实施和评估了一种基于微型宏代理的混合模型，该模型中，价格影响是通过算法交易者的限价单下达活动内生的。我们新颖的微观和宏观混合模型使我们不仅可以根据系统稳定性来表征系统性风险，而且可以根据日间时间范围内的财务困境传播速度来表征系统性风险。我们发现系统风险很大程度上取决于算法交易者的行为，杠杆管理实践以及网络拓扑。我们的结果表明，对于高度拥挤的政权，传染速度是投资组合多样化的非单调函数。我们还发现令人惊讶的结果，在某些情况下，增加投资组合的拥挤有利于系统稳定性。我们不知道以前的研究已显示出这种现象，并且我们的结果确立了在未来的研究中考虑资产分配不均的重要性。最后，我们描述了在闪速事故困扰扩散期间可用于监管干预的时间窗，结果表明事前预防措施可能比事后反应具有更高的功效。 （C）2019 Elsevier B.V.保留所有权利。

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