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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.

Suggested Citation

  • Alfarano, Simone & Milakovic, Mishael, 2009. "Network structure and N-dependence in agent-based herding models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 78-92, January.
  • Handle: RePEc:eee:dyncon:v:33:y:2009:i:1:p:78-92
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    More about this item

    Keywords

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

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • G19 - Financial Economics - - General Financial Markets - - - Other

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