Footnote:
In: Journal of Economic Dynamics and Control, Forthcoming, doi:10.1016/j.jedc.2013.06.015
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 20, 2013 erstellt
Description:
In this paper we investigate the effects of network topologies on asset price dynamics. We introduce network communications into a simple asset pricing model with heterogeneous beliefs. The agents may switch between several belief types according to their performance. The performance information is available to the agents only locally through their own experience and the experience of other agents directly connected to them. We model the communications with four commonly considered network topologies: a fully connected network, a regular lattice, a small world, and a random graph. The results show that the network topologies influences asset price dynamics in terms of the regions of stability, amplitudes of fluctuations and statistical properties