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• An embedded approach for immiscible multi-fluid problems

  P. Ryzhakov, A. Jarauta

  International journal for numerical methods in fluids (2015). Vol. 81 (6), pp. 357-376 (Preprint)

  
  

  Abstract

  An embedded formulation for the simulation of immiscible multi-fluid problems is proposed. The method is particularly designed for handling gas-liquid systems. Gas and liquid are modeled using the Eulerian and the Lagrangian formulation, respectively. The Lagrangian domain (liquid) moves on top of the fixed Eulerian mesh. The location of the material interface is exactly defined by the position of the boundary mesh of the Lagrangian domain. The individual fluid problems are solved in a partitioned fashion and are coupled using a Dirichlet-Neumann algorithm. Representation of the pressure discontinuity across the interface does not require any additional techniques being an intrinsic feature of the method. The proposed formulation is validated, and its potential applications are shown.

  Abstract
  An embedded formulation for the simulation of immiscible multi-fluid problems is proposed. The method is particularly designed for handling gas-liquid systems. Gas and liquid [...]

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• Método de puntos finitos. Un análisis sobre el efecto de los parámetros que definen las nubes en aproximaciones de segundo y cuarto orden

  E. Ortega

  Mecánica Computacional (2004). Vol. 23 (30), pp. 3273-3291

  
  

  Abstract

  Se investiga en el presente trabajo la influencia de los distintos parámetros que definen la aproximación local en el Método de Puntos Finitos y su relación con la calidad de la misma. Este análisis se realiza sobre la solución de un problema de Poisson tridimensional el cual se emplea como caso testigo. Haciendo uso de este último se propone un método para ajustar los parámetros de la aproximación local mediante la definición individual de la función de ponderación en cada nube de puntos. Ello posibilita flexibilizar la definición de parámetros y lograr la mejor aproximación para el problema planteado. El análisis se extiende a funciones de aproximación de segundo y cuarto orden y distribuciones estructuradas y no estructuradas de puntos.

  Abstract
  Se investiga en el presente trabajo la influencia de los distintos parámetros que definen la aproximación local en el Método de Puntos Finitos y su relación [...]

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• Solución de las ecuaciones de flujo compresible mediante el método de puntos finitos

  E. Ortega, C. Sacco

  Mecánica Computacional (2003). Vol. 22 (2), pp. 162-176

  
  

  Abstract

  El trabajo desarrollado consiste en la resolución numérica de las ecuaciones de flujo bidimensional, compresible y no viscoso; mediante el Método de Puntos Finitos (FPM). Este último se ubica dentro del conjunto de métodos “meshless” cuya característica principal es prescindir de una malla o grilla a efectos de realizar la discretización numérica. En FPM, la función incógnita y derivadas de la misma se obtienen exclusivamente a partir de las coordenadas de un conjunto de puntos pertenecientes al dominio de análisis. Esto último, sumado a un procedimiento de colocación puntual para la derivación del sistema de ecuaciones discreto, convierten a FPM en un verdadero método sin malla. La discretización temporal de las ecuaciones se lleva a cabo mediante un esquema explícito de segundo orden del tipo Lax-Wendroff en dos pasos. Difusión artificial de Jameson, de segundo y cuarto orden, se introduce en las ecuaciones. Se implementa además un esquema corrector de los flujos difusivos o ‘Flux-Corrected Transport’, con la finalidad de regular la cantidad de difusión agregada al esquema y lograr una mayor precisión y calidad de la solución numérica. La performance del algoritmo desarrollado se ilustra mediante la resolución de distintos ejemplos numéricos.

  Abstract
  El trabajo desarrollado consiste en la resolución numérica de las ecuaciones de flujo bidimensional, compresible y no viscoso; mediante el Método de Puntos [...]

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• Impact of short-sales in stock market efficiency

  B. Llacay, G. Peffer

  Algorithmic Finance (2019). Vol. 8 (1-2), pp. 5-26

  
  

  Abstract

  In the last two decades, the hedge fund sector has experienced a spectacular growth, up to the point that it is currently estimated to move more than 50% of the daily volume of stock markets. In contrast to other financial institutions, hedge funds are subject to less restrictive regulations which, in particular, allow them to sell short. As they exploit the asset mispricings, their action is thought to contribute to market efficiency. In this paper we aim at studying the impact that short sales have on the informational efficiency of a financial market. This can be used not only to assess the effect that hedge fund actions have in financial markets, but also the consequences of regulatory measures such as short-selling restrictions or bans. Building on an agent-based market, the simulation results indicate that short sales are beneficial to market efficiency, although the market does not become completely efficient even when all the population can sell short.

  Abstract
  In the last two decades, the hedge fund sector has experienced a spectacular growth, up to the point that it is currently estimated to move more than 50% of the daily volume [...]

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• Impact of Basel III Countercyclical Measures on Financial Stability: An Agent-Based Model

  B. Llacay, G. Peffer

  Journal of Artificial Societies and Social Simulation (2019). Vol. 22 (1), pp. 1-35

  
  

  Abstract

  The financial system is inherently procyclical, as it amplifies the course of economic cycles, and precisely one of the factors that has been suggested to exacerbate this procyclicality is the Basel regulation on capital requirements. After the recent credit crisis, international regulators have turned their eyes to countercyclical regulation as a solution to avoid similar episodes in the future. Countercyclical regulation aims at preventing excessive risk taking during booms to reduce the impact of losses suffered during recessions, for example increasing the capital requirements during the good times to improve the resilience of financial institutions at the downturn. The Basel Committee has already moved forward towards the adoption of countercyclical measures on a global scale: the Basel III Accord, published in December 2010, revises considerably the capital requirement rules to reduce their procyclicality. These new countercyclical measures will not be completely implemented until 2019, so their impact cannot be evaluated yet, and it is a crucial question whether they will be effective in reducing procyclicality and the appearance of crisis episodes such as the one experienced in 2007-08. For this reason,we present in this article an agent-based model aimed at analysing the effect of two countercyclical mechanisms introduced in Basel III: the countercyclical buffer and the stressed VaR. In particular, we focus on the impact of these mechanisms on the procyclicality induced by market risk requirements and, more specifically, by value-at-risk models, as it is a issue of crucial importance that has received scant attention in the modeling literature. The simulation results suggest that the adoption of both of these countercyclical measures improves market stability and reduces the emergence of crisis episodes

  Abstract
  The financial system is inherently procyclical, as it amplifies the course of economic cycles, and precisely one of the factors that has been suggested to exacerbate this [...]

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• Using realistic trading strategies in an agent-based stock market model

  B. Llacay, G. Peffer

  Computational and MAthematical Organization Theory (2018). Vol. 24 (3), pp. 308-350

  
  

  Abstract

  The use of agent-based models (ABMs) has increased in the last years to simulate social systems and, in particular, financial markets. ABMs of financial markets are usually validated by checking the ability of the model to reproduce a set of empirical stylised facts. However, other common-sense evidence is available which is often not taken into account, ending with models which are valid but not sensible. In this paper we present an ABM of a stock market which incorporates this type of common-sense evidence and implements realistic trading strategies based on practitioners literature. We next validate the model using a comprehensive approach consisting of four steps: assessment of face validity, sensitivity analysis, calibration and validation of model outputs.

  Abstract
  The use of agent-based models (ABMs) has increased in the last years to simulate social systems and, in particular, financial markets. ABMs of financial markets are usually [...]

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• Impact of value-at-risk models on market stability

  B. Llacay, G. Peffer

  Journal of Economic Dynamics and Control (2017). Vol. 82, pp. 223-256

  
  

  Abstract

  Financial institutions around the world use value-at-risk (VaR) models to manage their market risk and calculate their capital requirements under Basel Accords. VaR models, as any other risk management system, are meant to keep financial institutions out of trouble by, among other things, guiding investment decisions within established risk limits so that the viability of a business is not put unduly at risk in a sharp market downturn. However, some researchers have warned that the widespread use of VaR models creates negative externalities in financial markets, as it can feed market instability and result in what has been called endogenous risk, that is, risk caused and amplified by the system itself, rather than being the result of an exogenous shock. This paper aims at analyzing the potential of VaR systems to amplify market disturbances with an agent-based model of fundamentalist and technical traders which manage their risk with a simple VaR model and must reduce their positions when the risk of their portfolio goes above a given threshold. We analyse the impact of the widespread use of VaR systems on different financial instability indicators and confirm that VaR models may induce a particular price dynamics that rises market volatility. These dynamics, which we have called `VaR cycles’, take place when a sufficient number of traders reach their VaR limit and are forced to simultaneously reduce their portfolio; the reductions cause a sudden price movement, raise volatility and force even more traders to liquidate part of their positions. The model shows that market is more prone to suffer VaR cycles when investors use a short-term horizon to calculate asset volatility or a not-too-extreme value for their risk threshold.  

  Abstract
  Financial institutions around the world use value-at-risk (VaR) models to manage their market risk and calculate their capital requirements under Basel Accords. [...]

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• Higher-order simulations: Strategic investment under model-induced price patterns

  G. Peffer, B. Llacay

  Journal of Artificial Societies and Social Simulation (2007). Vol. 10 (2), p. 6

  
  

  Abstract

  The trading and investment decision processes in financial markets become ever more dependent on the use of valuation and risk models. In the case of risk management for instance, modelling practice has become quite homogeneous and the question arises as to the effect this has on the price formation process. Furthermore, sophisticated investors who have private information about the use and characteristics of these models might be able to make superior gains in such an environment. The aim of this article is to test this hypothesis in a stylised market, where a strategic investor trades on information about the valuation and risk management models used by other market participants. Simulation results show that under certain market conditions, such a'higher-order'strategy generates higher profits than standard fundamental and momentum strategies that do not draw on information about model use.

  Abstract
  The trading and investment decision processes in financial markets become ever more dependent on the use of valuation and risk models. In the case of risk management for instance, [...]

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• Simulación basada en agentes del efecto inestabilizador de las técnicas VaR

  B. Llacay, G. Peffer

  Quaderns de Política Econòmica (2005). Vol. 10, pp. 30-49

  
  

  Abstract

  En los últimos años ha habido un gran número de crisis financieras con graves efectos en la economía de los países afectados. Para evitar o minimizar estos efectos negativos es necesario entender qué factores pueden desencadenar una crisis financiera. Sin embargo, la literatura sólo ofrece explicaciones de tipo cualitativo o modelos analíticos muy estilizados que resultan poco operativos. Proponemos en este artículo un modelo basado en agentes que permite estudiar, mediante simulación, los efectos agregados que emergen de la interacción de los inversores de un mercado financiero. Nuestro objetivo es analizar con este modelo la influencia en la dinámica de un mercado del uso generalizado de modelos basados en técnicas VaR de gestión de riesgo. Los resultados de la simulación corroboran la tesis que señala el uso homogéneo de estos modelos como uno de los factores que pueden inducir episodios de inestabilidad financiera.

  Abstract
  En los últimos años ha habido un gran número de crisis financieras con graves efectos en la economía de los países afectados. Para evitar [...]

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• A new formulation for air-blast fluid–structure interaction using an immersed approach: part II—coupling of IGA and meshfree discretizations

  Y. Bazilevs, G. Moutsanidis, J. Bueno, K. Kamran, D. Kamensky, M. Hillman, H. Gómez, J. Chen

  Computational Mechanics (2017). Vol. 60 (1), pp. 101-116

  
  

  Abstract

  In this two-part paper we begin the development of a new class of methods for modeling fluid–structure interaction (FSI) phenomena for air blast. We aim to develop accurate, robust, and practical computational methodology, which is capable of modeling the dynamics of air blast coupled with the structure response, where the latter involves large, inelastic deformations and disintegration into fragments. An immersed approach is adopted, which leads to an a-priori monolithic FSI formulation with intrinsic contact detection between solid objects, and without formal restrictions on the solid motions. In Part I of this paper, the core air-blast FSI methodology suitable for a variety of discretizations is presented and tested using standard finite elements. Part II of this paper focuses on a particular instantiation of the proposed framework, which couples isogeometric analysis (IGA) based on non-uniform rational B-splines and a reproducing-kernel particle method (RKPM), which is a meshfree technique. The combination of IGA and RKPM is felt to be particularly attractive for the problem class of interest due to the higher-order accuracy and smoothness of both discretizations, and relative simplicity of RKPM in handling fragmentation scenarios. A collection of mostly 2D numerical examples is presented in each of the parts to illustrate the good performance of the proposed air-blast FSI framework.

  Abstract
  In this two-part paper we begin the development of a new class of methods for modeling fluid–structure interaction (FSI) phenomena for air blast. We aim to develop [...]

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