Graduate student of the Department of mathematical methods of economic analysis, Lomonosov Moscow State University

The urgency of the problem is caused by the need to study the processes in the financial market, which significantly affect the volatility of the market and lead to a sharp and significant drop in asset prices. The purpose of the article is to study the question of the positive or negative effect of short selling on stock price volatility. The leading method to investigate this problem is agent-based modeling, which allows simulating the joint effect of short sales and margin lending on the volatility of asset prices when participating in trading of noise traders and investment funds. Repeated observations resulting from multiple of controlled simulations revealed significant differences in asset price fluctuations in the presence of financial market agents and instruments for trading, such as short selling and collateralized loans with margin calls. Noted feature of the model: the ability to reproduce the asymmetric volatility spikes. A comparison with econometric models GARCH(1,1)and GJR-GARCH(1,1). Software implementation of the model was carried out in the language of Python. The developed model complex can be used for further research and testing hypotheses about the impact of other financial instruments and agents on the volatility of the financial market.

Keywords: financial market, volatility of financial market, short selling, margin lending, agent-based model.

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