Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro
  Agent-Based Approach   The purpose of this paper is to advance the understanding of the conditions
that give rise to flash crash contagion, particularly with respect to
overlapping asset portfolio crowding. To this end, we designed, implemented,
and assessed a hybrid micro-macro agent-based model, where price impact arises
endogenously through the limit order placement activity of algorithmic traders.
Our novel hybrid microscopic and macroscopic model allows us to quantify
systemic risk not just in terms of system stability, but also in terms of the
speed of financial distress propagation over intraday timescales. We find that
systemic risk is strongly dependent on the behaviour of algorithmic traders, on
leverage management practices, and on network topology. Our results demonstrate
that, for high-crowding regimes, contagion speed is a non-monotone function of
portfolio diversification. We also find the surprising result that, in certain
circumstances, increased portfolio crowding is beneficial to systemic
stability. We are not aware of previous studies that have exhibited this
phenomenon, and our results establish the importance of considering non-uniform
asset allocations in future studies. Finally, we characterise the time window
available for regulatory interventions during the propagation of flash crash
distress, with results suggesting ex ante precautions may have higher efficacy
than ex post reactions.

9
The categories of this paper are: nlin
3
The categories of this paper are: physics
21
The categories of this paper are: adap-org
24
The categories of this paper are: dg-ga
19
The categories of this paper are: eess
8
The categories of this paper are: hep-ex
27
The categories of this paper are: comp-gas
2
The categories of this paper are: math
35
The categories of this paper are: mtrl-th
12
The categories of this paper are: nucl-th
11
The categories of this paper are: hep-lat
10
The categories of this paper are: q-bio
37
The categories of this paper are: supr-con
14
The categories of this paper are: math-ph
15
The categories of this paper are: nucl-ex
5
The categories of this paper are: gr-qc