Information contagion within small worlds and changes in kurtosis and volatility in financial prices
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DOI: 10.1016/j.jmacro.2012.01.003
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Cited by:
- Zhao, Laijun & Wang, Jiajia & Huang, Rongbing & Cui, Hongxin & Qiu, Xiaoyan & Wang, Xiaoli, 2014. "Sentiment contagion in complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 17-23.
- Theophilos Papadimitriou & Periklis Gogas & Georgios Sarantitis, 2016.
"Convergence of European Business Cycles: A Complex Networks Approach,"
Computational Economics, Springer;Society for Computational Economics, vol. 47(2), pages 97-119, February.
- Theophilos Papadimitriou & Periklis Gogas & Georgios-Antonios Sarantitis, 2014. "Convergence of European Business Cycles: A Complex Networks Approach," Working Paper series 35_14, Rimini Centre for Economic Analysis.
- Mark Bowden, 2015. "A model of information flows and confirmatory bias in financial markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 197-215, October.
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More about this item
Keywords
Agent based financial markets; Network economics; Information contagion; Volatility; Kurtosis;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
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