System Dynamics: When the Crash Becomes Its Own Engine

说明与用途

Crash Simulator中的保证金螺旋模型展示了杠杆如何放大价格下跌，以及流动性注入如何打破反馈循环。

问题

Traditional risk models miss the self‑reinforcing nature of leveraged market crashes, leading to underestimation of tail risk.

结果

The simulator captures the endogeneity of crashes, showing how leverage accelerates downside and how interventions break the loop, improving risk management.

工作流

• 1. Define state variables: price, margin‑debt stock, margin threshold.
• 2. Model iteration: price drop → equity falls below threshold → forced selling flow activates → further price drop.
• 3. Iterate until de‑leveraging or external intervention occurs.
• 4. Calibrate model using historical crash data (2008, 2020).
• 5. Use simulator to test intervention scenarios (e.g., liquidity injections).

证据

A crash is a process, not a point.

来源

In 2020 and 2008 rescues were not about fixing the news, they were about breaking the loop.

来源