… In The End of Theory, Richard Bookstaber discusses why the … Instead, Bookstaber argues
for a new approach called agent-… Bookstaber's groundbreaking paradigm promises to do a far …

This paper introduces a generalized distribution, called the GB2 distribution, for describing
security returns. The distribution is extremely flexible, containing a large number of well-…

… W(r) can be thought of as the set of actions of risk greater than r. We show that for any model
the agent may have, we can introduce extended uncertainty by way of an e perturbation of …

This article describes the agent-based approach to modeling financial crises. It focuses on
the interactions of agents and on how these interactions feed back to change the financial …

This study addresses a critical regulatory shortfall by developing a platform to extend stress
testing from a microprudential approach to a dynamic, macroprudential approach. This paper …

Existing models of financial instability tend to be based on top-down, partial-equilibrium views
of markets and their interactions; they are unable to incorporate the complexity of behavior …

Stress testing, which has its roots in risk management, should be adapted to support financial
stability monitoring and to incorporate the interconnections and dynamics of the financial …

… The algorithm has also been tested in Bookstaber and Clarke (1983a) by using Monte Carlo
… Bookstaber, R., and Clarke, R. 1983b. An algorithm to calculate the return distribution of …

As call options are written on a stock portfolio, the portfolio's return distribution shifts to the
right, reflecting the receipt of premniums from writing the calls; the portfolio's upside return …

… This paper was produced while Richard Bookstaber was employed by the OFR. This brief
benefited from helpful comments by Amir Bashan, Sergey Buldyrev, Jill Cetina, Shlomo Havlin, …