title: The evolving cobweb of relations among partially rational investors.
abstract: To overcome the limitations of neoclassical economics, researchers have leveraged tools of statistical physics to build novel theories. The idea was to elucidate the macroscopic features of financial markets from the interaction of its microscopic constituents, the investors. In this framework, the model of the financial agents has been kept separate from that of their interaction. Here, instead, we explore the possibility of letting the interaction topology emerge from the model of the agents' behavior. Then, we investigate how the emerging cobweb of relationship affects the overall market dynamics. To this aim, we leverage tools from complex systems analysis and nonlinear dynamics, and model the network of mutual influence as the output of a dynamical system describing the edge evolution. In this work, the driver of the link evolution is the relative reputation between possibly coupled agents. The reputation is built differently depending on the extent of rationality of the investors. The continuous edge activation or deactivation induces the emergence of leaders and of peculiar network structures, typical of real influence networks. The subsequent impact on the market dynamics is investigated through extensive numerical simulations in selected scenarios populated by partially rational investors.
authors.affiliation: Department of Electrical Engineering and Information Technology, University of Naples Federico II, Naples, Italy.
authors.forename: Pietro
authors.identifier: http://orcid.org/0000-0002-2656-6454
authors.initials: P
authors.lastname: DeLellis
authors.affiliation: Department of Electrical Engineering and Information Technology, University of Naples Federico II, Naples, Italy.
authors.forename: Anna
authors.initials: A
authors.lastname: DiMeglio
authors.affiliation: Department of Electrical Engineering and Information Technology, University of Naples Federico II, Naples, Italy.
authors.forename: Franco
authors.initials: F
authors.lastname: Garofalo
authors.affiliation: Department of Electrical Engineering and Information Technology, University of Naples Federico II, Naples, Italy.
authors.forename: Francesco
authors.initials: F
authors.lastname: Lo Iudice
mesh_terms: D000465:Algorithms; D003198:Computer Simulation; D005376:Financial Management / Q000191:economics* / Q000379:methods; D006801:Humans; D007449:Investments / Q000191:economics*; D040541:Marketing / Q000191:economics* / Q000379:methods; D018803:Models, Economic; D017711:Nonlinear Dynamics