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- W2185055600 abstract "We study the effects on single good market price time series induced by various types of agents’ social interactions and information propagation between them. We model them by different topologies of agents network and diverse levels of asymmetry in the information transfer. Agents can buy or sell one unit of a good (small investors) or more units of a good (big investors) or do not take any action at all in the single time step. We generalize existing models by not taking all the interactions between the agents to be strictly positive, but just constraining them to be mainly positive: agents are mainly following their neighbors, but not necessary in all of the cases (in some situations they can form the oppinion that the prices are on the exploding path and decide not to follow the decisions of the other agents he is in contact with). By the means of the previous concepts, we extend the model used in [1] and other similar models in the literature. We emphasize that the model possesses the information asymmetry in the sense that some agents are influenced more by the others and interactions are not symmetric (for example, bigger investors will have more influence on small ones than vice versa). In this framework, using the standard miocrostructure bid and ask rules, we generate as output price time-series and calculate their volatilities and corresponding correlation functions. We study them using the different instruments from statistics and statistical physics and we compare them with the real market price time series properties. FIRST DRAFT, 26th September 2006. For internal use only. Do not distribute, please." @default.
- W2185055600 created "2016-06-24" @default.
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- W2185055600 date "2007-01-01" @default.
- W2185055600 modified "2023-09-27" @default.
- W2185055600 title "Local Compatibility Constrained Financial Market Dynamics with Asymmetric Agent Interactions" @default.
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