Network Topology and the Behaviour of Socially-Embedded Financial Markets

12 Pages Posted: 21 Feb 2018

See all articles by Olivier Brandouy

Olivier Brandouy

University of Angers - Groupe de Recherche en Économie Théorique et Appliquée (GREThA)

Philippe Mathieu

University of Lille I

Date Written: February 10, 2018

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 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.

Keywords: Agent based artificial markets, Networks

JEL Classification: G10

Suggested Citation

Brandouy, Olivier and Mathieu, Philippe, Network Topology and the Behaviour of Socially-Embedded Financial Markets (February 10, 2018). Available at SSRN: https://ssrn.com/abstract=3121575 or http://dx.doi.org/10.2139/ssrn.3121575

Olivier Brandouy (Contact Author)

University of Angers - Groupe de Recherche en Économie Théorique et Appliquée (GREThA) ( email )

Avenue Léon Duguit
Aveneu Duguit
Pessac, 33 608
France

Philippe Mathieu

University of Lille I ( email )

104, avenue du peuple Belge
Villeneuve d'Ascq Cedex, 59655
France

HOME PAGE: http://lifl.fr/~mathieu

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