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Communication Dans Un Congrès Année : 2020

A Strategic Graph Rewriting Model of Rational Negligence in Financial Markets

Résumé

We propose to use strategic port graph rewriting as a visual modelling tool to analyse financial market processes. We illustrate the approach by specifying a basic "rational negligence" model in which investors may choose to trade securities without performing independent evaluations of the underlying assets. We show that our model is correct with respect to the equational model and can be used to simulate simple market behaviours. The model has been implemented within PORGY, a graph-based specification and simulation environment.
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Dates et versions

hal-02905501 , version 1 (23-07-2020)

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Nneka Ene, Maribel Fernández, Bruno Pinaud. A Strategic Graph Rewriting Model of Rational Negligence in Financial Markets. 4th International Conference on Applications of Mathematics and Informatics in Natural Sciences and Engineering (AMINSE 2019), Sep 2019, Tbilisi, Georgia. ⟨10.1007/978-3-030-56356-1_8⟩. ⟨hal-02905501⟩

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