Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099184 | Journal of Economic Dynamics and Control | 2009 | 15 Pages |
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
Simone Alfarano, Mishael Milaković,