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dc.contributor.authorHein, Oliveren_US
dc.contributor.authorSchwind, Michaelen_US
dc.contributor.authorSpiwoks, Markusen_US
dc.date.accessioned2012-03-21en_US
dc.date.accessioned2012-05-22T16:44:34Z-
dc.date.available2012-05-22T16:44:34Z-
dc.date.issued2012en_US
dc.identifier.citationJournal of Finance and Investment Analysis 2241-0996 International Scientific Press 1 2012 1 199-232en_US
dc.identifier.urihttp://hdl.handle.net/10419/58008-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherInternational Scientific Pressen_US
dc.subject.jelD40en_US
dc.subject.jelD84en_US
dc.subject.jelD85en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordmicrosimulationen_US
dc.subject.keywordfinancial marketsen_US
dc.subject.keywordnetwork topologiesen_US
dc.subject.keywordmimetic contagionen_US
dc.subject.keywordherd behavioren_US
dc.titleNetwork centrality and stock market volatility: The impact of communication topologies on pricesen_US
dc.typeArticleen_US
dc.identifier.ppn688939953en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Journal of Finance and Investment Analysis

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