The Strategic Exploitation of Limited Information and Opportunity in Networked Markets

Ladley, Dan; Bullock, Seth

doi:10.1007/s10614-008-9140-8

Cited by 6 publications

(6 citation statements)

References 25 publications

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“…As well as examining markets as distributed networks (see e.g. Ladley and Bullock 2008), there are a range of other spatio-temporal ideas to investigate. For instance, in this paper, while agents' decisions are independent, they are still embedded within a timing structure where all agents decide 'daily'.…”

Section: Discussionmentioning

confidence: 99%

An agent model of urban economics: Digging into emergence

Olner

Evans

Heppenstall

2015

Computers, Environment and Urban Systems

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This paper presents an agent-based 'monocentric' model: assuming only a fixed location for firms, outcomes closely parallel those found in classical urban economic models, but emerge through 'bottom-up' interaction in an agent-based model. Agents make buying and movement decisions based on a set of simple costs they face from their current location. These spatial costs are reduced to two types: the costs of moving people and goods across geographical distances and the costs (and benefits) of 'being here' (the effects of being at a particular location such as land costs, amenities or disamenities). Two approaches to land cost are compared: landlords and a 'density cost' proxy. Emergent equilibrium outcomes are found to depend on the interaction of externalities and time. These findings are produced by looking at how agents react to changing four types of cost, two spatial and two non-spatial: commuting, wage, good cost and good delivery. The models explore equilibrium outcomes, the effect of changing costs and the impact of heterogeneous agents, before focusing in on one example to find the source of emergence in the externalities of agent choice. The paper finishes by emphasising the importance of thinking about emergence as a tool, not an end in itself.

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Section: Discussionmentioning

confidence: 99%

An agent model of urban economics: Digging into emergence

Olner

Evans

Heppenstall

2015

Computers, Environment and Urban Systems

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“…Therefore, speculative bubbles appear. Under a fixed network with ZIP learning traders, Ladley and Bullock [47] consider two different networks, i.e., a fully-connected network and a SF network, upon which trade and information are built. The results show that traders with more connections have higher abilities to profit and to identify the equilibrium price.…”

Section: Literaturementioning

confidence: 99%

“…Several studies on financial networks demonstrate that the topology of traders' social networks has a significant impact on information diffusion and aggregation, and thus on price dynamics, see [35], [40], [47], [51]. In [40], they mention that network structures with higher centrality or shorter average path length (e.g., a SW network) transmit information more quickly than those without these characteristics (e.g., a RL).…”

Section: Information Networkmentioning

confidence: 99%

Social Networks and Asset Price Dynamics

Yeh

Yang

2015

IEEE Trans. Evol. Computat.

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In this paper, we investigate how behavioral contagion in terms of mimetic strategy learning within a social network would affect the asset price dynamics. The characteristics of this paper are as follows. First, traders are characterized by bounded rationality and their adaptive learning behavior is represented by the genetic programming algorithm. The use of the genetic programming algorithm allows traders to freely form forecasting strategies with a great potential of variety in functional forms, which are not predetermined but may be fundamental or technical or any mix of these two broad categories, as they need to adapt to the time-varying market environment. The evolutionary nature of the genetic programming algorithm has its merit for modeling mimetic behavior in the context of information transmission in that, other than making duplicates of an entire trading rule as if a mind-reading technique exists, strategy imitation could take place down to the level of building blocks that genetic operators work out or pieces of information that constitute a strategy and are more ready to be transmitted via word-of-mouth communication, which is more intuitive compared to the existing literature. Second, the traders are spatially heterogeneous based on their positions in social networks. Mimetic learning thus takes part in local interactions among traders that are directly tied with each other when they evolve their trading strategies according to the relative performance of their own and their neighbors'. Therefore, specifically, we aim to analyze the effect of network topologies, i.e., a regular lattice, a small-world, a random network, a fully connected network, and a preferential attachment network, on market dynamics regarding price distortion, volatility, and trading volume, as information diffuses across these different social network structures.Index Terms-Agent-based modeling, artificial stock market, genetic programming, social network.

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“…For instance, Wilhite (2001) shows that 'small world' connections, those connecting otherwise distantly separated sections of the market, have a large effect on reducing search costs. The behavior of traders within these markets has also been shown to vary with their location (Ladley and Bullock, 2008). Importantly, this is not just dependent on their trading opportunities but also on their information linkages (Ladley and Bullock, 2007).…”

Section: Related Literaturementioning

confidence: 99%

“…This finding supports previous work in this area. Both Ladley and Bullock (2008) and Wilhite (2001) find that small world type short cut connections can reduce search costs and make the price formation process quicker, whilst Georg (2013) finds that the configuration of an inter-bank market, not just the connectivity, is important in determining the susceptibility to systemic shocks.…”

Section: Configurationmentioning

confidence: 99%

Heterogeneous beliefs in over-the-counter markets

Kamps¹,

Ladley²,

Simaitis³

2014

Journal of Economic Dynamics and Control

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The behavior and stability of over-the-counter markets is of central concern to regulators. Little is known, however, about how the structure of these markets determine their properties. In this paper we consider an over-the-counter market populated by boundedly rational heterogeneous traders in which the structure is represented by a network. Stability is found to decrease as the market becomes less well connected, however, the configuration of connections has a significant effect. The presence of hubs, such as those found in scale free networks increases stability and decreases volatility whilst small-world short-cut links have the opposite effect. Volatility in the fundamental value increases market volatility, however, volatility in the riskless asset returns has an ambiguous effect.

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The Strategic Exploitation of Limited Information and Opportunity in Networked Markets

Cited by 6 publications

References 25 publications

An agent model of urban economics: Digging into emergence

An agent model of urban economics: Digging into emergence

Social Networks and Asset Price Dynamics

Heterogeneous beliefs in over-the-counter markets

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