291 research outputs found
Reduction of systemic risk by means of Pigouvian taxation
We analyze the possibility of reduction of systemic risk in financial markets through Pigouvian taxation of financial institutions, which is used to support the rescue fund. We introduce the concept of the cascade risk with a clear operational definition as a subclass and a network related measure of the systemic risk. Using financial networks constructed from real Italian money market data and using realistic parameters, we show that the cascade risk can be substantially reduced by a small rate of taxation and by means of a simple strategy of the money transfer from the rescue fund to interbanking market subjects. Furthermore, we show that while negative effects on the return on investment (ROI) are direct and certain, an overall positive effect on risk adjusted return on investments (ROIRA) is visible. Please note that the taxation is introduced as a monetary/regulatory, not as a _scal measure, as the term could suggest. The rescue fund is implemented in a form of a common reserve fund
An Experimental Study of Cryptocurrency Market Dynamics
As cryptocurrencies gain popularity and credibility, marketplaces for
cryptocurrencies are growing in importance. Understanding the dynamics of these
markets can help to assess how viable the cryptocurrnency ecosystem is and how
design choices affect market behavior. One existential threat to
cryptocurrencies is dramatic fluctuations in traders' willingness to buy or
sell. Using a novel experimental methodology, we conducted an online experiment
to study how susceptible traders in these markets are to peer influence from
trading behavior. We created bots that executed over one hundred thousand
trades costing less than a penny each in 217 cryptocurrencies over the course
of six months. We find that individual "buy" actions led to short-term
increases in subsequent buy-side activity hundreds of times the size of our
interventions. From a design perspective, we note that the design choices of
the exchange we study may have promoted this and other peer influence effects,
which highlights the potential social and economic impact of HCI in the design
of digital institutions.Comment: CHI 201
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area
The Impact of the Basel III Liquidity Coverage Ratio on Macroeconomic Stability: An Agent-Based Approach
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