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• W3124401069 abstract "This paper investigates the effect of network structure on the asset price dynamics. We propose a simple present value discounted asset pricing model with heterogeneous agents. Every period the agents choose a predictor of the future price on the basis of past performance of their own and alternative strategies and form their demands for a risky asset. The information about the performance of an alter∗We thank the participants of the workshop “Ten years of CeNDEF” for their comments and suggestions. We are also grateful to the organizers of the Seventh Trento Summer School in Agent-Based Computational Economics during which we began to work on this paper, for creating stimulating environment and for the opportunity to present our work. We thank Mikhail Anufriev, William Brock, John Duffy, Cars Hommes, Alan Kirman and Marco LiCalzi for their encouragements and suggestions. Authors are responsible for possible errors and omissions. ∗∗Corresponding author. Telephone: +61 2 93853363; E-mail: v.panchenko@unsw.edu.au. 1 native strategy is available only locally from the directly connected agents. Using the rewiring procedure we produce four types of commonly considered networks: a fully connected network, a regular lattice, a small world, and a random network. The results show that the network structure influences asset price dynamics in terms of the region of stability and volatility. This is mostly due to the different speed of information transmission in the different networks." @default.
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• W3124401069 date "2007-01-01" @default.
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• W3124401069 title "Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs" @default.
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• W3124401069 doi "https://doi.org/10.2139/ssrn.1288281" @default.
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