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Connectivity, Information Jumps, and Market Stability: An Agent-Based Approach
Joint Authors
Khashanah, Khaldoun
Alsulaiman, Talal
Source
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-08-22
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
We propose a metamodel to assess simulated market stability by introducing information connectivity in an agent-based network.
The market is occupied by heterogeneous agents with different behaviors, strategies, and information connectivity.
A jump-diffusion process simulating events that may occur in the market is introduced.
Agents information awareness varies along with agents propensity to respond to the information jump and jump size.
A jump reshuffles market positions based on agents risk preferences determined by behavior and strategy.
We examine the effect of information awareness on the volatility index of the simulated market in a scale-free market network.
The analysis is performed by developing five experiments wherein the first one corresponds to systemic information ignorance state.
Three experiments examine the role of hubs, normal agents, and hermits in the network when intermediate combinations of agent types have information awareness.
The fifth experiment corresponds to the systemic information awareness with all agents being informed.
The results show that the simulated market is driven to instability in a similar manner to patterns observed in a crisis where all agents become homogeneous in information awareness of events.
Hubs contribute to increased connectivity and act as amplifiers of good, bad, or inaccurate information or sentiment.
American Psychological Association (APA)
Khashanah, Khaldoun& Alsulaiman, Talal. 2017. Connectivity, Information Jumps, and Market Stability: An Agent-Based Approach. Complexity،Vol. 2017, no. 2017, pp.1-16.
https://search.emarefa.net/detail/BIM-1143291
Modern Language Association (MLA)
Khashanah, Khaldoun& Alsulaiman, Talal. Connectivity, Information Jumps, and Market Stability: An Agent-Based Approach. Complexity No. 2017 (2017), pp.1-16.
https://search.emarefa.net/detail/BIM-1143291
American Medical Association (AMA)
Khashanah, Khaldoun& Alsulaiman, Talal. Connectivity, Information Jumps, and Market Stability: An Agent-Based Approach. Complexity. 2017. Vol. 2017, no. 2017, pp.1-16.
https://search.emarefa.net/detail/BIM-1143291
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1143291