Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network
Risk contagion is becoming a research hotspot in the field of econophysics with the rise of interdisciplinary studies and gains more and more attention from theoretical circles and practical departments. This paper proposes a new research frame to discuss the microscopic mechanism of risk contagion...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2019-01-01
|
| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2019/2946018 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1849690949225021440 |
|---|---|
| author | Binghui Wu Tingting Duan |
| author_facet | Binghui Wu Tingting Duan |
| author_sort | Binghui Wu |
| collection | DOAJ |
| description | Risk contagion is becoming a research hotspot in the field of econophysics with the rise of interdisciplinary studies and gains more and more attention from theoretical circles and practical departments. This paper proposes a new research frame to discuss the microscopic mechanism of risk contagion based on agent modeling technology and complex network theory and reveals nonlinear dynamics characteristic of risk contagion from the perspective of market participants in financial market. Based on the proposed SICM model, financial risk can transmit from susceptible agents to infected agents, to contagious agents, or to immune agents. With the increases of contagious probabilities, the simulation experiments show that (1) the amount of susceptible agents continuously decreases; (2) the amount of infected agents increases first and then decreases; (3) the amount of contagious agents increases first and then decreases with a lower speed, relative to the amount of infected agents; and (4) the amount of immune agents continuously increases. The major contribution of this paper is a new method for studying nonlinear dynamics characteristic of risk contagion, which can be used as a theoretic basis for further researches on the behavioral features of microcosmic subject and the inner mechanisms of risk contagion. |
| format | Article |
| id | doaj-art-e8c9db49cbe54f8caa32b136dd369ac9 |
| institution | DOAJ |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-e8c9db49cbe54f8caa32b136dd369ac92025-08-20T03:21:10ZengWileyComplexity1076-27871099-05262019-01-01201910.1155/2019/29460182946018Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex NetworkBinghui Wu0Tingting Duan1International Business School, Shaanxi Normal University, Xi’an 710119, ChinaSchool of Marxism, Northwestern Polytechnical University, Xi’an 710072, ChinaRisk contagion is becoming a research hotspot in the field of econophysics with the rise of interdisciplinary studies and gains more and more attention from theoretical circles and practical departments. This paper proposes a new research frame to discuss the microscopic mechanism of risk contagion based on agent modeling technology and complex network theory and reveals nonlinear dynamics characteristic of risk contagion from the perspective of market participants in financial market. Based on the proposed SICM model, financial risk can transmit from susceptible agents to infected agents, to contagious agents, or to immune agents. With the increases of contagious probabilities, the simulation experiments show that (1) the amount of susceptible agents continuously decreases; (2) the amount of infected agents increases first and then decreases; (3) the amount of contagious agents increases first and then decreases with a lower speed, relative to the amount of infected agents; and (4) the amount of immune agents continuously increases. The major contribution of this paper is a new method for studying nonlinear dynamics characteristic of risk contagion, which can be used as a theoretic basis for further researches on the behavioral features of microcosmic subject and the inner mechanisms of risk contagion.http://dx.doi.org/10.1155/2019/2946018 |
| spellingShingle | Binghui Wu Tingting Duan Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network Complexity |
| title | Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network |
| title_full | Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network |
| title_fullStr | Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network |
| title_full_unstemmed | Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network |
| title_short | Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network |
| title_sort | nonlinear dynamics characteristic of risk contagion in financial market based on agent modeling and complex network |
| url | http://dx.doi.org/10.1155/2019/2946018 |
| work_keys_str_mv | AT binghuiwu nonlineardynamicscharacteristicofriskcontagioninfinancialmarketbasedonagentmodelingandcomplexnetwork AT tingtingduan nonlineardynamicscharacteristicofriskcontagioninfinancialmarketbasedonagentmodelingandcomplexnetwork |