Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/58008 
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dc.contributor.authorHein, Oliveren
dc.contributor.authorSchwind, Michaelen
dc.contributor.authorSpiwoks, Markusen
dc.date.accessioned2012-03-21-
dc.date.accessioned2012-05-22T16:44:34Z-
dc.date.available2012-05-22T16:44:34Z-
dc.date.issued2012-
dc.identifier.citation|aJournal of Finance and Investment Analysis|c2241-0996|v1|h1|nInternational Scientific Press|y2012|p199-232en
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
dc.language.isoengen
dc.publisher|aInternational Scientific Pressen
dc.subject.jelD40en
dc.subject.jelD84en
dc.subject.jelD85en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordmicrosimulationen
dc.subject.keywordfinancial marketsen
dc.subject.keywordnetwork topologiesen
dc.subject.keywordmimetic contagionen
dc.subject.keywordherd behavioren
dc.titleNetwork centrality and stock market volatility: The impact of communication topologies on prices-
dc.typeArticleen
dc.identifier.ppn688939953en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
econstor.citation.journaltitleJournal of Finance and Investment Analysisen
econstor.citation.issn2241-0996en
econstor.citation.volume1en
econstor.citation.issue1en
econstor.citation.publisherInternational Scientific Pressen
econstor.citation.year2012en
econstor.citation.startpage199en
econstor.citation.endpage232en

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