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Should Network Structure Matter in Agent-Based Finance?

  • Michael Milakovic
  • Simone Alfarano

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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File URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/rsrchcentres/ferc/wrkingpaprseries/fwp07-02.pdf
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Paper provided by Warwick Business School, Finance Group in its series Working Papers with number wp07-02.

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Date of creation: 2007
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Handle: RePEc:wbs:wpaper:wp07-02
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  1. 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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  3. Lux, Thomas & Schornstein, Sascha, 2002. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Discussion Paper Series 1: Economic Studies 2002,29, Deutsche Bundesbank, Research Centre.
  4. I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, EconWPA, revised 26 Sep 1996.
  5. Brock, W.A. & Hommes, C.H., 1996. "A Rational Route to Randomness," Working papers 9530r, Wisconsin Madison - Social Systems.
  6. Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2003. "Thy Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trades of Money Managers," Harvard Institute of Economic Research Working Papers 2006, Harvard - Institute of Economic Research.
  7. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  8. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
  9. P. Gopikrishnan & M. Meyer & L.A.N. Amaral & H.E. Stanley, 1998. "Inverse cubic law for the distribution of stock price variations," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 3(2), pages 139-140, July.
  10. repec:cup:cbooks:9780521637695 is not listed on IDEAS
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