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

  • Alfarano, Simone
  • Milakovic, Mishael

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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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  18. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Society for Computational Economics, vol. 26(1), pages 19-49, August.
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