A biological approach for financial network contagion based on the Susceptible - Infected - Recovered (SIR) model

Autores/as

  • Eloy Fisher

Palabras clave:

Financial crises, Epidemiological models of financial networks, Agent-based modeling, Credit Default Swaps

Resumen

We will present the purpose, structure and prospective extensions of the Susceptible–Infected–Recovered (SIR) Approach for Financial Network Contagion Model (version 2, finsir for short) for NetLogo version 4.1.2. This model seeks to model the behavior and dynamics of Credit Default Swaps (cds) markets. After framing the finsir model, its agents, variables and interactions within a broader set of questions regarding financial markets and the current literature, within this highly restrictive toy computational model, we find that shocks in this financial market exhibit complex evolutionary dynamics that either tend to increasingly fragile states or the elimination of a high number of competitors, in detriment to a more decentralized market order. Given the current incompleteness of the model, we must acknowledge that some of the design assumptions will be approximate and tentative.

JEL Codes: B52, G02.

Descargas

Los datos de descargas todavía no están disponibles.

Biografía del autor/a

Eloy Fisher

Candidato doctoral en Macroeconomía y Econometría en New School for Social Research, New York

Descargas

Publicado

2018-06-20

Cómo citar

Fisher, E. (2018). A biological approach for financial network contagion based on the Susceptible - Infected - Recovered (SIR) model. Análisis Económico, 28(69), 109–128. Recuperado a partir de https://analisiseconomico.azc.uam.mx/index.php/rae/article/view/146