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Network Topology and the Behaviour of Socially-Embedded Financial Markets

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Highlights of Practical Applications of Agents, Multi-Agent Systems, and Complexity: The PAAMS Collection (PAAMS 2018)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 887))

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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.

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Notes

  1. 1.

    Notice that if \(g_t\), which stands for the approximation of \(G_t\) follows a Normal distribution, it only allows agents to determine a framing for the possible price. As such, these latter must choose a “target” between the upper and the lower boundaries. This is the reason why they rely on a Uniform PDF for doing so.

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Author information

Authors and Affiliations

  1. GREThA UMRS 5113 – U. Bordeaux, Bordeaux, France

    Olivier Brandouy & Philippe Mathieu

  2. CRISTAL UMR 9189 – U. Lille, Lille, France

    Olivier Brandouy & Philippe Mathieu

Authors
  1. Olivier Brandouy
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  2. Philippe Mathieu
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Corresponding author

Correspondence to Philippe Mathieu .

Editor information

Editors and Affiliations

  1. Universidad Politécnica de Madrid, Madrid, Spain

    Javier Bajo

  2. Departamento de Informática y Automática, Universidad de Salamanca, Salamanca, Spain

    Juan M. Corchado

  3. Departamento de Sistemas Informáticos, University of Castilla-La Mancha, Albacete, Spain

    Elena María Navarro Martínez

  4. TECNALIA, Derio, Spain

    Eneko Osaba Icedo

  5. Lille University of Science and Technology, Villeneuve d’Ascq, France

    Philippe Mathieu

  6. Poznan University of Technology, Poznan, Poland

    Patrycja Hoffa-Dąbrowska

  7. Polytechnic University of Valencia, Valencia, Spain

    Elena del Val

  8. Faculté des Sciences, Université de Sherbrooke, Sherbrooke, Québec, Canada

    Sylvain Giroux

  9. University of Porto, Porto, Portugal

    Antonio J.M. Castro

  10. Rio de Janeiro State University, Rio de Janeiro, Brazil

    Nayat Sánchez-Pi

  11. Polytechnic University of Valencia, Valencia, Spain

    Vicente Julián

  12. Informatica e Estatistica, Universidade Federal de Santa Catar, Florianopolis, Santa Catarina, Brazil

    Ricardo Azambuja Silveira

  13. Universidad Rey Juan Carlos, Móstoles, Madrid, Spain

    Alberto Fernández

  14. ICB, Universität Duisburg-Essen, Essen, Germany

    Rainer Unland

  15. Facultad de Informática, Universidad Complutense de Madrid, Madrid, Spain

    Rubén Fuentes-Fernández

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Brandouy, O., Mathieu, P. (2018). Network Topology and the Behaviour of Socially-Embedded Financial Markets. In: Bajo, J., et al. Highlights of Practical Applications of Agents, Multi-Agent Systems, and Complexity: The PAAMS Collection. PAAMS 2018. Communications in Computer and Information Science, vol 887. Springer, Cham. https://doi.org/10.1007/978-3-319-94779-2_9

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  • DOI: https://doi.org/10.1007/978-3-319-94779-2_9

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-94778-5

  • Online ISBN: 978-3-319-94779-2

  • eBook Packages: Computer ScienceComputer Science (R0)

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