Article ID Journal Published Year Pages File Type
5099184 Journal of Economic Dynamics and Control 2009 15 Pages PDF
Abstract
We derive microscopic foundations for a well-known probabilistic herding model in the agent-based finance literature. While the model is quite robust with respect to behavioral heterogeneity, the network structure describing the very feasibility of agent interaction turns out to have a crucial and non-trivial impact on the macroscopic properties of the model.
Related Topics
Physical Sciences and Engineering Mathematics Control and Optimization
Authors
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