EconPapers    
Economics at your fingertips  
 

Network Centrality and Stock Market Volatility: The Impact of Communication Topologies on Prices

Oliver Hein, Michael Schwind and Markus Spiwoks

Journal of Finance and Investment Analysis, 2012, vol. 1, issue 1, 9

Abstract: We investigate the impact of agent communication networks on prices in an artificial stock market. Networks with different centralization measures are tested for their effect on the volatility of prices. Trading strategies diffuse through the different network topologies, mimetic contagion arises through the adaptive behavior of the heterogeneous agents. Short trends may trigger cascades of buy and sell orders due to increased diffusion speed within highly centralized communication networks. Simulation results suggest a correlation between the network centralization measures and the volatility of the resulting stock prices.

Date: 2012
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.scienpress.com/Upload/JFIA%2fVol%201_1_9.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spt:fininv:v:1:y:2012:i:1:f:1_1_9

Access Statistics for this article

More articles in Journal of Finance and Investment Analysis from SCIENPRESS Ltd
Series data maintained by Eleftherios Spyromitros-Xioufis ().

 
Page updated 2017-10-01
Handle: RePEc:spt:fininv:v:1:y:2012:i:1:f:1_1_9