Analysis, of micro-macro structure of financial markets via agent-based model: Risk management and dynamics of asset pricing

In this research the authors use an agent-based approach to analyze the effects risk management has on a market overall. First, they confirm the validity of the risk management methods reported in the field of financial engineering. Then they confirm that under particular conditions, such as when there are a large number of investors who take into consideration the tendencies of other investors or when excessive risk management is used, risk management can cause market prices to deviate from standard levels. (C) 2004 Wiley Periodicals, Inc.