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
Publisher:	Kiel : Kiel University, Department of Economics
Subject:	Börsenkurs \| Finanzmarkt \| Mikrostrukturanalyse \| Agent-based Model \| Business Network \| Herdenverhalten \| Theorie \| Herding \| networks \| mean-field approach \| N-dependence

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Series:	Economics Working Paper ; 2008-04
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	558663591 [GVK] hdl:10419/22052 [Handle] RePEc:zbw:cauewp:7023 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010296300