[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v3y2003i2p71-87.html
   My bibliography  Save this article

Financial networks with electronic transactions: modelling, analysis and computations

Author

Listed:
  • Anna Nagurney
  • Ke Ke
Abstract
Advances in telecommunication networks, and, in particular, the Internet have transformed the economic landscape for financial decision-making. In this paper, we focus on financial networks with electronic transactions and with different tiers of decision-makers and we develop an integrated framework for the modelling, analysis and computation of solutions to such problems. Specifically, we consider an economy consisting of three types of decision-makers: those with sources of funds; intermediary ones, and consumers associated with the financial products at the demand markets. Those with sources of funds can transact with the intermediaries either physically or electronically as well as directly in an electronic manner with the consumers. The intermediaries, in turn, can also transact with the consumers either in a physical or an electronic fashion. We address the behaviour of the decision-makers, identify the network structure of the problem, derive the equilibrium conditions, and establish the variational inequality formulation. In addition, we propose a continuous time adjustment process for the study of the disequilibrium dynamics and prove that the set of stationary points of the resulting projected dynamical system coincides with the set of solutions of the variational inequality. We then utilize variational inequality theory to derive qualitative properties of the equilibrium price and financial flow pattern. Finally, we apply an algorithm for the determination of equilibrium prices and financial flows in several examples.

Suggested Citation

  • Anna Nagurney & Ke Ke, 2003. "Financial networks with electronic transactions: modelling, analysis and computations," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 71-87.
    • Handle: RePEc:taf:quantf:v:3:y:2003:i:2:p:71-87
    DOI: 10.1088/1469-7688/3/2/302
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1088/1469-7688/3/2/302
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1088/1469-7688/3/2/302?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Helen Allen & John Hawkins & Setsuya Sato, 2001. "Electronic trading and its implications for financial systems," BIS Papers chapters, in: Bank for International Settlements (ed.), Electronic finance: a new perspective and challenges, volume 7, pages 30-52, Bank for International Settlements.
    2. Setsuya Sato & John Hawkins, 2001. "Electronic finance: an overview of the issues," BIS Papers chapters, in: Bank for International Settlements (ed.), Electronic finance: a new perspective and challenges, volume 7, pages 1-12, Bank for International Settlements.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nagurney, Anna & Ke, Ke, 2006. "Financial networks with intermediation: Risk management with variable weights," European Journal of Operational Research, Elsevier, vol. 172(1), pages 40-63, July.
    2. Zugang Liu, 2013. "The co-evolution of integrated corporate financial networks and supply chain networks with insolvency risk," Computational Management Science, Springer, vol. 10(2), pages 253-275, June.
    3. Anna Nagurney & Tina Wakolbinger & Li Zhao, 2006. "The Evolution and Emergence of Integrated Social and Financial Networks with Electronic Transactions: A Dynamic Supernetwork Theory for the Modeling, Analysis, and Computation of Financial Flows and R," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 353-393, May.
    4. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    5. Qiang Qiang & Ke Ke & Yihong Hu, 2013. "Financial networks with socially responsible investing," Computational Management Science, Springer, vol. 10(2), pages 231-252, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Guntram B. Wolff & Alexander Schulz, 2008. "Sovereign bond market integration: the euro, trading platforms and globalisation," European Economy - Economic Papers 2008 - 2015 332, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    2. Steven Li & Andrew C. Worthington, 2004. "The relationship between the adoption of Internet banking and electronic connectivity: - An international comparison," School of Economics and Finance Discussion Papers and Working Papers Series 176, School of Economics and Finance, Queensland University of Technology.
    3. Ricardo Lagos & Guillaume Rocheteau, 2009. "Liquidity in Asset Markets With Search Frictions," Econometrica, Econometric Society, vol. 77(2), pages 403-426, March.
    4. Jie Huang & Yixin Shen & Jianjun Chen & Ying Zhou, 2022. "Regional Digital Economy Development and Enterprise Productivity: A Study of the Chinese Yangtze River Delta," Regional Science Policy & Practice, Wiley Blackwell, vol. 14(S2), pages 118-137, November.
    5. Emilia Bonaccorsi di Patti & Giorgio Gobbi & Paolo Emilio Mistrulli, 2004. "The interaction between face-to-face and electronic delivery: the case of the Italian banking industry," Temi di discussione (Economic working papers) 508, Bank of Italy, Economic Research and International Relations Area.
    6. Richards, Daniel W. & Willows, Gizelle D., 2018. "Who trades profusely? The characteristics of individual investors who trade frequently," Global Finance Journal, Elsevier, vol. 35(C), pages 1-11.
    7. V. Uma Maheswari & Uma Chandrasekaran, 2018. "Buying Insurance Online: Are we there yet?," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 9(2), pages 30-41, May.
    8. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Staff Working Papers 02-9, Bank of Canada.
    9. Qi Luo & Dantong Zhang & Hao Wang, 2023. "Digital Economy, Industrial Structure, and Regional Trade Dependence: Mechanism Analysis Based on Chinese City Data," Sustainability, MDPI, vol. 15(17), pages 1-12, August.
    10. Schulz, Alexander & Wolff, Guntram B., 2009. "Sovereign bond market integration: the euro, trading platforms and financial crises," MPRA Paper 16900, University Library of Munich, Germany.
    11. Mr. Marco Arnone & Mr. Luca Bandiera, 2004. "Monetary Policy, Monetary Areas, and Financial Development with Electronic Money," IMF Working Papers 2004/122, International Monetary Fund.
    12. Franklin Allen & James McAndrews & Philip Strahan, 2002. "E-Finance: An Introduction," Journal of Financial Services Research, Springer;Western Finance Association, vol. 22(1), pages 5-27, August.
    13. Valentina Michelangeli & Eliana Viviano, 2024. "Can Internet Banking Affect Households' Participation in Financial Markets and Financial Awareness?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(4), pages 705-739, June.
    14. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in asset markets," Staff Report 375, Federal Reserve Bank of Minneapolis.
    15. Glaesnner, Thomas G. & Kantur, Zeynep, 2004. "Two case studies on electronic distribution of government securities: the U.S. Treasury Direct System and the Philippine Expanded Small Investors Program," Policy Research Working Paper Series 3372, The World Bank.
    16. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    17. Yu, Binbin, 2022. "The Impact of the Internet on Industrial Green Productivity: Evidence from China," Technological Forecasting and Social Change, Elsevier, vol. 177(C).
    18. Ji-Yong Seo & Sangmi Chai, 2013. "The role of algorithmic trading systems on stock market efficiency," Information Systems Frontiers, Springer, vol. 15(5), pages 873-888, November.
    19. Fujii, Hiroshi & Okano, Taeko & Madnick, Stuart & Siegel, Michael, 2003. "E-Aggregation: The Present and Future of Online Financial Services in Asia-Pacific," Working papers 4405-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:3:y:2003:i:2:p:71-87. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.