Course Project Agent-based modeling
Systemic Liquidity-Crisis Agent-Based Model
Summary
A computational laboratory for systemic liquidity stress. The model connects heterogeneous market participants, stochastic shocks, margin constraints, forced liquidation, stress metrics, and network fragmentation without fixing a public market description that remains under review.
$$ \text{stress}+\text{leverage}+\text{margin constraints}\longrightarrow\text{liquidation cascades}\longrightarrow\text{liquidity fragmentation} $$
Context
Simple balance-sheet rules and margin constraints generate aggregate crisis patterns that are difficult to express through a representative-agent model.
Main contributions
- Implemented a stylized agent-based model with heterogeneous market participants and leveraged traders.
- Modeled stochastic returns, exogenous shocks, margin constraints, and forced liquidation.
- Defined health, stress, contagion, fragility, liquidity, and network-fragmentation indicators.
- Produced visual diagnostics for crisis regimes, liquidation cascades, volatility shifts, and agent networks.