Abstract
In year 2009, Thurner, Farmer and Geanakoplos construct an agent-based model of leverage asset purchases with margin calls. The interesting research shows that leverage could cause fat tails and clustered volatility. In this paper, we study the effects of leverage regulation regimes on financial markets based on their model, by introducing two types of leverage regulation policy: risk-based policy and incentive-based policy. Besides examining fat tails and clustered volatility stylized facts, we analyze macroeconomic indicators such as bankruptcy ratio, total social wealth and the efficiency of banking system for identifying prudential leverage regulation regimes.
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© 2013 ICST Institute for Computer Science, Social Informatics and Telecommunications Engineering
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Sun, C., Ding, W., Han, R. (2013). In Search of Prudential Leverage Regulation Regimes. In: Glass, K., Colbaugh, R., Ormerod, P., Tsao, J. (eds) Complex Sciences. Complex 2012. Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering, vol 126. Springer, Cham. https://doi.org/10.1007/978-3-319-03473-7_29
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DOI: https://doi.org/10.1007/978-3-319-03473-7_29
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-03472-0
Online ISBN: 978-3-319-03473-7
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