Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/58008
Authors: 
Hein, Oliver
Schwind, Michael
Spiwoks, Markus
Year of Publication: 
2012
Citation: 
[Journal:] Journal of Finance and Investment Analysis [ISSN:] 2241-0996 [Publisher:] International Scientific Press [Volume:] 1 [Year:] 2012 [Issue:] 1 [Pages:] 199-232
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.
Subjects: 
microsimulation
financial markets
network topologies
mimetic contagion
herd behavior
JEL: 
D40
D84
D85
G12
Document Type: 
Article

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