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Finding Equilibrium in a Financial Model by Solving a Variational Inequality Problem

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Modelling, Computation and Optimization in Information Systems and Management Sciences

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 359))

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Abstract

In this paper, a general multi-sector, multi-instrument model of financial flows and prices is developed, in which the utility function for each sector is assumed to be quadratic and constraints satisfy a certain accounting identity that appears in flow-of-funds accounts. Each sector uses conjectures of its influence upon the prices of instruments. The equilibrium conditions are first derived, and then the governing variational inequality is presented. Subsequently, a qualitative analysis of the model is conducted, and a concept of consistent conjectures is introduced and examined.

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Authors and Affiliations

  1. Department of Systems and Industrial Engineering, Tecnológico de Monterrey (ITESM), Campus Monterrey, Ave. Eugenio Garza Sada 2501 Sur, Monterrey, Nuevo León, Mexico, 64849

    Vyacheslav V. Kalashnikov & Felipe J. Castillo-Pérez

  2. Department of Physics and Mathematics, Universidad Autónoma de Nuevo León, San Nicolás de los Garza, Nuevo León, Mexico, 66450

    Nataliya I. Kalashnykova

Authors
  1. Vyacheslav V. Kalashnikov
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  2. Nataliya I. Kalashnykova
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  3. Felipe J. Castillo-Pérez
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Corresponding author

Correspondence to Vyacheslav V. Kalashnikov .

Editor information

Editors and Affiliations

  1. Laboratory of Theoretical and Applied Computer Science, University of Lorraine-Metz, Metz, France

    Hoai An Le Thi

  2. Laboratory of Mathematics, National Institute for Applied Sciences-Rouen, Rouen, France

    Tao Pham Dinh

  3. Division of Knowledge Management Systems Institute of Informatics (I-32), Wroclaw University of Technology, Wroclaw, Poland

    Ngoc Thanh Nguyen

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Kalashnikov, V.V., Kalashnykova, N.I., Castillo-Pérez, F.J. (2015). Finding Equilibrium in a Financial Model by Solving a Variational Inequality Problem. In: Le Thi, H., Pham Dinh, T., Nguyen, N. (eds) Modelling, Computation and Optimization in Information Systems and Management Sciences. Advances in Intelligent Systems and Computing, vol 359. Springer, Cham. https://doi.org/10.1007/978-3-319-18161-5_24

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  • DOI: https://doi.org/10.1007/978-3-319-18161-5_24

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-18160-8

  • Online ISBN: 978-3-319-18161-5

  • eBook Packages: EngineeringEngineering (R0)

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