Abstract
This paper adopts the Kinetic Theory for Active Particles (KTAP) approach to model the dynamics of liquidity profiles on a complex adaptive network system that mimic a stylized financial market. Individual incentives of investors to form or delete a link is driven, in our modelling framework, by stochastic game-type interactions modelling the phenomenology related to policy rules implemented under Basel III, and it is exogeneously and dynamically influenced by a measure of overnight interest rate. The strategic network formation dynamics that emerges from the introduced transition probabilities modelling individual incentives of investors to form or delete links, provides a wide range of measures using which networks might be considered “best” from the point of view of the overall welfare of the system. We use the time evolution of the aggregate degree of connectivity to measure the time evolving network efficiency in two different scenarios, suggesting a first analysis of the stability of the arising and evolving network structures.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
