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Should network structure matter in agent-based finance?

By Simone Alfarano and Mishael Milaković

Abstract

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

Topics: HB, QA
Publisher: Warwick Business School, Financial Econometrics Research Centre
Year: 2007
OAI identifier: oai:wrap.warwick.ac.uk:1743

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