Price dynamics, social networks and communication
Lijia Wang and
Finance Research Letters, 2017, vol. 22, issue C, 197-201
A stock price dynamics model is developed in consideration of social network communication in financial markets. Considering a nonlinear feedback effect of price returns, we establish a self-organising system of price dynamics. Results show that the movement of prices depends on the topologies of networks and the communication effect. Furthermore, the self-reinforcing feature of price dynamics is explored and bubbles and crashes are explained as alternate strong positive and negative self-reinforcing processes of prices.
Keywords: Price dynamics; Social networks; Bubbles and crashes (search for similar items in EconPapers)
JEL-codes: G14 D83 D85 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:22:y:2017:i:c:p:197-201
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