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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.
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https://hal.inria.fr/hal-01742101
Contributor : Cristal Equipe Smac <>
Submitted on : Friday, March 23, 2018 - 5:48:34 PM
Last modification on : Friday, December 11, 2020 - 6:44:04 PM

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  • HAL Id : hal-01742101, version 1

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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⟩

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