Should Network Structure Matter in Agent-Based Finance?

We derive microscopic foundations for a well-known probabilistic herding model in the agent-based finance literature. Lo and behold, the model is quite robust with respect to behavioral heterogeneity, yet structural heterogeneity, in the sense of an underlying network structure that describes the very feasibility of agent interaction, has a crucial and non-trivial impact on the macroscopic properties of the model.

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Year of publication:	2008
Authors:	Alfarano, Simone ; Milaković, Mishael
Institutions:	Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
Subject:	Herding \| networks \| mean-field approach \| N-dependence

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Extent:	application/pdf
Series:	Economics Working Papers. - ISSN 2193-2476.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2008,04
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005082916