An agent-based model of corporate bond trading
构建了一个包含做市商、三类基金和现金投资者的异质性主体模型，校准于美国数据，发现做市商对需求的敏感性和动量交易者的活跃度显著影响收益率对冲击的过度反应，并模拟了赎回限制和被动投资策略对收益率错位的影响。
We construct an heterogeneous agent-based model of the corporate bond market and calibrate it against US data. The model includes the interactions between a market maker, three types of fund, and cash investors. In general, the sensitivity of the market maker to demand and the degree to which momentum traders are active strongly influence the over- and under-shooting of yields in response to shocks, while investor behaviour plays a comparatively smaller role. Using the model, we simulate experiments of relevance to two topical issues in this market. Firstly, we show that measures to reduce the speed with which investors can redeem investments can reduce the extent of yield dislocation. Secondly, we find the unexpected result that a larger fraction of funds using passive investment strategies increases the tail risk of large yield dislocations after shocks.