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Network structure and N-dependence in agent-based herding models

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  • Alfarano, Simone
  • Milakovic, Mishael

Abstract

We derive microscopic foundations for a well-known probabilistic herding model in the agent-based finance literature. While the model is quite robust with respect to behavioral heterogeneity, the network structure describing the very feasibility of agent interaction turns out to have a crucial and non-trivial impact on the macroscopic properties of the model.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 33 (2009)
Issue (Month): 1 (January)
Pages: 78-92

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Handle: RePEc:eee:dyncon:v:33:y:2009:i:1:p:78-92

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Related research

Keywords: CO2 D84 D85 G19 Herding Networks Mean-field approach N-dependence;

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References

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Citations

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Cited by:
  1. Adri\'an Carro & Ra\'ul Toral & Maxi San Miguel, 2013. "Signal amplification in an agent-based herding model," Papers 1302.6477, arXiv.org.
  2. Chen, Shu-heng & Chang, Chia-ling, 2012. "Interactions in the New Keynesian DSGE models: The Boltzmann-Gibbs machine and social networks approach," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 6(26), pages 1-32.
  3. Domenico Delli Gatti & Corrado Di Guilmi & Mauro Gallegati & Simone Landini, 2012. "Reconstructing Aggregate Dynamics in Heterogeneous Agents Models. A Markovian Approach," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 117-146.
  4. S. Alfarano & M. Milakovic & M. Raddant, 2013. "A note on institutional hierarchy and volatility in financial markets," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 449-465, July.
  5. Milaković, Mishael & Raddant, Matthias & Birg, Laura, 2009. "Persistence of a network core in the time evolution of interlocking directorates," Economics Working Papers 2009,10, Christian-Albrechts-University of Kiel, Department of Economics.
  6. Huang, Weihong & Zheng, Huanhuan & Chia, Wai-Mun, 2010. "Financial crises and interacting heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1105-1122, June.
  7. Gerasymchuk, S. & Pavlov, O.V., 2010. "Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs," CeNDEF Working Papers 10-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  8. Aleksejus Kononovicius & Vygintas Gontis, 2013. "Control of the socio-economic systems using herding interactions," Papers 1309.6105, arXiv.org, revised Feb 2014.
  9. Schütz, Gunter M. & de Almeida Prado, Fernando Pigeard & Harris, Rosemary J. & Belitsky, Vladimir, 2009. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4126-4144.
  10. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2013. "Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions," Discussion Papers 2013-18, School of Economics, The University of New South Wales.
  11. Panchenko, Valentyn & Gerasymchuk, Sergiy & Pavlov, Oleg V., 2013. "Asset price dynamics with heterogeneous beliefs and local network interactions," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2623-2642.
  12. H. Lamba, 2009. "A queueing theory description of fat-tailed price returns in imperfect financial markets," Papers 0908.0949, arXiv.org, revised Aug 2010.
  13. Sengupta, Abhijit & Greetham, Danica Vukadinovic, 2010. "Dynamics of brand competition: Effects of unobserved social networks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2391-2406, December.
  14. Gunter M. Sch\"utz & Fernando Pigeard de Almeida Prado & Rosemary J. Harris & Vladimir Belitsky, 2007. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Papers 0801.0003, arXiv.org, revised Jun 2009.
  15. Simone Alfarano & Thomas Lux & Mishael Milakovic, 2008. "The Small Core of the German Corporate Board Network," Kiel Working Papers 1446, Kiel Institute for the World Economy.
  16. Bowden, Mark P., 2012. "Information contagion within small worlds and changes in kurtosis and volatility in financial prices," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 553-566.
  17. Albrecht Irle & Jonas Kauschke & Thomas Lux & Mishael Milakovic, 2010. "Switching Rates and the Asymptotic Behavior of Herding Models," Kiel Working Papers 1595, Kiel Institute for the World Economy.

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