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Journal of Finance and Investment Analysis >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/58008
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Hein, Oliver | | en_US |
| dc.contributor.author | | Schwind, Michael | | en_US |
| dc.contributor.author | | Spiwoks, Markus | | en_US |
| dc.date.accessioned | | 2012-03-21 | | en_US |
| dc.date.accessioned | | 2012-05-22T16:44:34Z | | - |
| dc.date.available | | 2012-05-22T16:44:34Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.citation | | Journal of Finance and Investment Analysis 2241-0996 International Scientific Press 1 2012 1 199-232 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/58008 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | International Scientific Press | | en_US |
| dc.subject.jel | | D40 | | en_US |
| dc.subject.jel | | D84 | | en_US |
| dc.subject.jel | | D85 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | microsimulation | | en_US |
| dc.subject.keyword | | financial markets | | en_US |
| dc.subject.keyword | | network topologies | | en_US |
| dc.subject.keyword | | mimetic contagion | | en_US |
| dc.subject.keyword | | herd behavior | | en_US |
| dc.title | | Network centrality and stock market volatility: The impact of communication topologies on prices | | en_US |
| dc.type | | Article | | en_US |
| dc.identifier.ppn | | 688939953 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Journal of Finance and Investment Analysis
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