Network topology and the behaviour of socially-embedded financial markets
Language
EN
Chapitre d'ouvrage
This item was published in
Highlights of Practical Applications of Agents, Multi-Agent Systems, and Complexity: The PAAMS Collection. 2018, vol. 887, p. 93-104
Springer, Cham
English 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 ...Read more >
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 Erdös-Rényi 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.Read less <
English Keywords
Agent based
Commerce
Efficiency
Financial data processing
Financial markets
Multi agent systems
Network topology
Topology