A Port-graph Model for Finance

Author: Nneka Ene

Paper Information

Title:A Port-graph Model for Finance
Authors:Nneka Ene
Proceedings:TERMGRAPH Pre-proceedings
Editors: Maribel Fernandez and Ian Mackie
Keywords:graph rewriting systems, strategy languages, simulation, securitisation

ABSTRACT. We examine the process involved in the design and implementation of a port-graph model to be used for the analysis of an agent-based "rational negligence" model, rational negligence being the term used to describe the phenomenon that occurred during the financial crisis of 2008 where investors chose to trade asset-backed securities without performing independent evaluations of the underlying assets thus aiding in heightening the need for more effective and transparent tools in the modelling of the capital markets.

Graph Transformation Systems (GTS) are natural verification and validation tools: they provide visual, intuitive representations of complex systems while specifying the dynamic behaviour of the system in a formal way. In this paper we propose to use a declarative language, based on strategic port-graph rewriting, a particular kind of graph transformation system where port-graph rewriting rules are controlled by user-defined strategies, as a visual modelling tool to analyse a credit derivative market.

Talk:Jul 07 16:30 (Session 31Q: Applications)