Should Network Structure Matter in Agent-Based Finance?

Simone Alfarano and Mishael Milaković

No 2008-04, Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics

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.

Keywords: Herding; networks; mean-field approach; N-dependence (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-cmp and nep-net
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cauewp:7023

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