Authors
Simone Alfarano, Mishael Milaković
Publication date
2007/4/24
Issue
07-
Publisher
Warwick Business School, Financial Econometrics Research Centre
Description
We derive microscopic foundations for a well-known probabilistic herding model in the agent-based finance literature. Lo and behold, the model is quite robust with respect to behavioral heterogeneity, yet structural heterogeneity, in the sense of an underlying network structure that describes the very feasibility of agent interaction, has a crucial and non-trivial impact on the macroscopic properties of the model.
Scholar articles
S Alfarano, M Milaković - 2007