2019
DOI: 10.1590/0101-7438.2019.039.01.0057
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Abstract: This study explores the self-fulfilling dynamic between sovereign debt risk and rational choices of neutral, risk-seeking and risk-averse investors, with implications to the systemic risk emergence. The agent-based model parameterization includes investment strategy (randomly selected assets, stock exchange participation, economic segment, and technical analysis), portfolio rebalance period, and stop gain/loss option. We use Brazilian markets data from 2006 to 2017 to simulate stochastic distributions of inves… Show more

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