We investigate the impact of agent communication networks on prices in an artificial stock market. Networks with different centralization measures are tested for their effect on the volatility of prices. Trading strategies diffuse through the different network topologies, mimetic contagion...

In the presence of dispersed information, agents may decide to take into account the actions of other agents because of the possible additional information conveyed by these actions. We call the act of using other agents' actions in the individual decision process social learning. This paper...

This paper derives and tests the cross-sectional predictions of an intertemporal equilibrium asset pricing model with generalized disappointment aversion and time-varying macroeconomic uncertainty. To the contrary of the existing literature, disappointment may result not only from a fall in the...

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...