The unprecedented financial crisis in 2007 and 2008 and the largest bankruptcy in US
history prompted expedited regulation in the financial industry. A new Basel Accord has been …

Agent-based simulation models are an important methodology for explaining social behavior
and forecasting social change. However, a major drawback to using such models is that …

… FILONUK, David T. CMU-ISR-14-105 …

… FILONUK, David CMU-ISR-11-122 …

The Taiwan Emerging Stock Market (TESM) is a decentralized, over-the-counter (OTC)
broker-dealer market, in which trading information is more asymmetric and the stocks are …

… t are assumed to follow a geometric Brown motion with mean μ w and volatility σ w . … In
reality, the liquid asset value A t and the economic fundamentals W t are unobserved; this …

… Assuming a company's asset values which don't have any liquidity discount (V) follow the
Black-Scholes model: (2) d V V = μ V d t + σ V d w where w is Brownian motion and μ V and σ …

During the recent financial crisis, we witnessed unprecedented compressions of asset prices.
In a recent paper, Chen [2012] proposed a liquidity discount model that can successfully …

Computer simulation models, in particular agent-‐based models and system dynamic
models, are a critical methodology for supporting human reasoning about complex socio-‐cultural …

This paper explores the liquidity risk characteristics in the Taiwanese financial institutions,
including domestic bank, financial holding, insurance, and securities subsectors. The liquidity …