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Record W4389098717 · doi:10.37394/232032.2023.1.32

Financial Engineering in Complex Dynamic Systems

2023· article· en· W4389098717 on OpenAlexaff
Rossitsa Yalamova

Bibliographic record

VenueFinancial Engineering · 2023
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicComplex Systems and Time Series Analysis
Canadian institutionsUniversity of Lethbridge
Fundersnot available
KeywordsFinancial marketComplex adaptive systemPortfolioSystemic riskComplex systemRisk managementVolatility (finance)Risk analysis (engineering)Financial riskFinancial engineeringPsychological resilienceFinanceFinancial crisisEconomicsBusinessComputer science

Abstract

fetched live from OpenAlex

This paper explores the dynamic nature of financial markets through the lens of complex adaptive systems (CAS) theory, aiming to provide a comprehensive understanding of how financial markets deviate from the Efficient Market Hypothesis in extreme events such as bubbles and crashes. Traditional economic models often struggle to capture the intricate dynamics of 'self-organizing' financial markets, particularly the interaction between supply and demand in the face of evolving risks. CAS theory offers a promising framework for modeling asset prices, emphasizing the interconnectedness and adaptability of various agents within the system. The literature review highlights the significance of CAS theory in understanding the collective adaptation that emerges from interactions among heterogeneous agents. Notably, researchers such as Holland (1995) and Axelrod (1997) have demonstrated how simple agent-level rules can lead to sophisticated, self-organizing behaviors at the system level, resulting in more efficient outcomes. This paper also discusses the pivotal role of financial engineering in enhancing the adaptive capacity of socioeconomic systems under extreme stress. In an increasingly unpredictable world characterized by natural disasters, economic crises, and other unforeseen events, risk management serves as a vital mechanism for volatility mitigation and financial protection. By spreading risk collectively through hedging strategies, financial engineering not only provides portfolio security but also contributes to the resilience of financial and economic systems. By merging insights from CAS theory and the role of financial engineering in increasing adaptive capacity, this paper contributes to a more comprehensive understanding of the risk dynamics in financial markets impacting economic activities. Financial engineering tools mitigate negative shocks and reduce the severity of recessionary cycles. An attempt is made to explain how collective adaptation can lead to more efficient risk management and pricing, ultimately helping policymakers, fund managers, and researchers navigate the complexities of modern financial markets and fortify socioeconomic systems against extreme stressors.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.000
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMeta-epidemiology (narrow), Insufficient payload (model declined to judge)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Simulation or modeling · Consensus signal: Simulation or modeling
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.317
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0000.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0010.002
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0000.001

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.018
GPT teacher head0.187
Teacher spread0.168 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one teacher head, not a consensus.

Study designSimulation or modeling
Domainnot available
GenreEmpirical

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations1
Published2023
Admission routes1
Has abstractyes

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