Should Network Structure Matter in Agent-Based Finance?
AbstractWe 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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Bibliographic InfoPaper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number 2008,04.
Date of creation: 2008
Date of revision:
Herding; networks; mean-field approach; N-dependence;
Other versions of this item:
- Michael Milakovic & Simone Alfarano, 2007. "Should Network Structure Matter in Agent-Based Finance?," Working Papers wp07-02, Warwick Business School, Financial Econometrics Research Centre.
- NEP-ALL-2008-03-08 (All new papers)
- NEP-CMP-2008-03-08 (Computational Economics)
- NEP-NET-2008-03-08 (Network Economics)
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- Thomas Lux, 2008.
"Stochastic Behavioral Asset Pricing Models and the Stylized Facts,"
wp08-03, Warwick Business School, Financial Econometrics Research Centre.
- Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008,08, Christian-Albrechts-University of Kiel, Department of Economics.
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