کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5098481 1478704 2014 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Heterogeneous beliefs in over-the-counter markets
ترجمه فارسی عنوان
اعتقادات ناهمگونی در بازارهای غیرمستقیم
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
چکیده انگلیسی

The behavior and stability of over-the-counter markets is of central concern to regulators. Little is known, however, about how the structure of these markets determine their properties. In this paper we consider an over-the-counter market populated by boundedly rational heterogeneous traders in which the structure is represented by a network. Stability is found to decrease as the market becomes less well connected, however, the configuration of connections has a significant effect. The presence of hubs, such as those found in scale free networks increases stability and decreases volatility whilst small-world short-cut links have the opposite effect. Volatility in the fundamental value increases market volatility, however, volatility in the riskless asset returns has an ambiguous effect.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 41, April 2014, Pages 50-68
نویسندگان
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