Network topology and the behavior of socially-embedded financial markets - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Conference Papers Year : 2018

Network topology and the behavior of socially-embedded financial markets

Abstract

We study the impact of the network topology on various market parameters (volatility, liquidity and efficiency) when three populations or artificial trades interact (Noise, Informed and Social Traders). We show, using an agent-based set of simulations that choosing a Regular, a Erdos-Renyi or a scale free network and locating on each vertex one Noise, Informed or Social Trader, substantially modifies the dynamics of the market. The overall level of volatility, the liquidity and the resulting efficiency are impacted by this initial choice in various ways which also depends upon the proportion of Informed vs. Noise Traders.
No file

Dates and versions

hal-01742101 , version 1 (23-03-2018)

Identifiers

  • HAL Id : hal-01742101 , version 1

Cite

Olivier Brandouy, Philippe Mathieu. Network topology and the behavior of socially-embedded financial markets. Workshop on Agent-Based Artificial Markets Computational Economics (ABAM), Jun 2018, Toledo, Spain. pp.93-104. ⟨hal-01742101⟩
304 View
0 Download

Share

Gmail Facebook X LinkedIn More