Listar por autoría "d2d3ca80-b7b7-4811-8145-584d3225a4b8"
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A calibration procedure for analyzing stock price dynamics in an agent-based framework
Recchioni, Maria Cristina; Tedeschi, Gabriele; Gallegati, Mauro Elsevier (2015-11)In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well-known financial model of (Brock and Hommes, 1998), we show how an appropriate calibration enables the model ... -
Agents interaction and price dynamics: evidence from the laboratory
Caferra, Rocco; Tedeschi, Gabriele; MORONE, ANDREA Springer (2022-08-26)Using data collected from an experimental double auction market, we study the dynamics of interaction among traders. Our focus is on the effect the trading network has on price dynamics and price-fundamental convergence. ... -
Alternative approaches for the reformulation of economics
Alfarano, Simone; Camacho Cuena, Eva; Tedeschi, Gabriele Springer (2019-01)In the last decades most of advanced and developing economies have undertaken adeep structural transformation. This profound structural change, caused by the tran-sition from a manufacturing economy to a service-based one, ... -
An approach to identifying micro behavior: How banks’ strategies influence financial cycles
Tedeschi, Gabriele; Recchioni, Maria Cristina; Berardi, Simone Elsevier (2018-12)In this paper, we show that the values of parameters of a well-calibrated model are useful in detecting micro behavior. We use a calibration procedure suitable for validating agent-based models to show how the evolution ... -
Bitcoin: Bubble that bursts or Gold that glitters?
Caferra, Rocco; Tedeschi, Gabriele; MORONE, ANDREA Elsevier (2021-06-03)This paper aims to shed light on the 2017 Bitcoin bubble. Firstly, by applying the dynamic time warping algorithm, we identify among several financial instruments a subsample of five assets with similar characteristics to ... -
Business fluctuations in a behavioral switching model: Gridlock effects and credit crunch phenomena in financial networks
Grilli, Ruggero; Tedeschi, Gabriele; Gallegati, Mauro Elsevier (2020-02-29)In this paper we characterize the evolution over time of a credit network in the most general terms as a system of interacting banks and firms operating in a three-sector economy with goods, credit and interbank market. ... -
Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
Recchioni, Maria Cristina; Sun, Yu; Tedeschi, Gabriele Universitat Jaume I. Economics Departament (2016)The profound financial crisis generated by the collapse of Lehman Brothers and the European sovereign debt crisis in 2011 have caused negative values of government bond yields both in the U.S.A. and in the EURO area. ... -
From banks' strategies to financial (in)stability
Berardi, Simone; Tedeschi, Gabriele Elsevier (2017-01)This paper aims to shed light on the emergence of systemic risk in credit systems. By developing an interbank market with heterogeneous financial institutions granting loans on different network structures, we investigate ... -
From bond yield to macroeconomic instability: A parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele Elsevier (2017-11-01)We present a hybrid Heston model with a common stochastic volatility to describe government bond yield dynamics. The model is analytically tractable and, therefore, can be efficiently estimated using the maximum likelihood ... -
Interaction in agent-based economics: A survey on the network approach
Bargigli, Leonardo; Tedeschi, Gabriele Elsevier (2014)In this paper we aim to introduce the reader to some basic concepts and instruments used in a wide range of economic networks models. In particular, we adopt the theory of random networks as the main tool to describe the ... -
Market power, technical progress and financial fragility
Delli Gatti, Domenico; GALLEGATI, MARCO; Palestrini, Antonio; Tedeschi, Gabriele; Vidal-Tomás, David Elsevier (2024)We explore the nexus of market power, innovation and financial fragility by means of a macroeconomic agent based model whose core is the Dixit-Greenwald-Stiglitz (DGS) theory of firm behaviour, which nests the Greenwald-Stiglitz ... -
Reinforcement learning policy recommendation for interbank network stability
Brini, Alessio; Tedeschi, Gabriele; TANTARI, DANIELE Elsevier (2023-06-07)In this paper, we analyze the effect of a policy recommendation on the performance of an artificial interbank market. Financial institutions stipulate lending agreements following a public recommendation and their individual ... -
Taming financial systemic risk: models, instruments and early warning indicators
Tedeschi, Gabriele; Caccioli, Fabio; Recchioni, Maria Cristina Springer (2019-12-30)In recent decades, most advanced and developing economies have suffered—or are still suffering—from profound and repeated crises. The literature has reflected on the determinants of these perturbations by placing particular ... -
The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele; Ouellette, Michelle S. (2020-12-05)In this paper, we propose two new representation formulas for the conditional marginal probability den- sity of the multi-factor Heston model. The two formulas express the marginal density as a convolution with suitable ... -
The complete gaussian kernel in the multifactor Heston model: option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele; Ouellette, Michelle S. Elsevier (2020-12-05)In this paper, we propose two new representation formulas for the conditional marginal probability density of the multi-factor Heston model. The two formulas express the marginal density as a convolution with suitable ... -
The day after tomorrow: financial repercussions of COVID-19 on systemic risk
Vidal-Tomás, David; Caferra, Rocco; Tedeschi, Gabriele Springer (2022)In this paper, we study the financial repercussions of COVID-19 and the effect of anti-epidemic measures on financial markets. By using a composite dataset con- taining stock market indices of 10 countries characterized ... -
The desertion of rich countries and the mutual support of the poor ones: preferential lending agreements among the PIGS
Vidal-Tomás, David; Tedeschi, Gabriele; Ripollés, Jordi Elsevier (2019-08-09)By using the BIS data, we analyze the evolution of credit relationships among banks of the Euro-zone during the pre-crisis period (2006Q1–2007Q4), the global financial crisis (2008Q1–2010Q4) and the debt sovereign crisis ... -
The macroeconomic effects of default and debt restructuring: An agent based exploration
Tedeschi, Gabriele; Vidal-Tomás, David; Delli Gatti, Domenico; GALLEGATI, MARCO Elsevier (2021-08-20)In this paper we investigate the economic impact of bank reactions to firm financial delinquency. In case of firm liquidity shortage, indeed, the bank commonly proposes two different solutions of debt restructuring to help ...