Connectivity, Information Jumps, and Market Stability: An Agent-Based Approach

<div>Time series of volatility index (a), prices (b), and returns (c) when <svg height="11.7782pt" id="M441" style="vertical-align:-3.42938pt" version="1.1" viewbox="-0.0498162 -8.34882 49.8978 11.7782" width="49.8978pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M546 430L539 434C529 434 505 438 495 440C473 444 450 448 430 448C352 448 265 412 213 366C145 306 96 203 96 103C96 22 135 -12 160 -12C190 -12 238 14 262 32C310 68 368 120 411 184H413C403 117 396 75 384 21C353 -118 325 -158 291 -184C270 -200 241 -205 208 -205C133 -205 90 -164 74 -110C70 -98 58 -100 49 -107C34 -119 23 -140 23 -155C23 -190 74 -261 166 -261C219 -261 280 -233 314 -208C383 -157 446 -79 470 81C491 223 529 388 546 430ZM456 386C452 357 433 283 420 252C402 216 366 174 325 129C288 88 239 56 212 56C192 56 182 77 182 120C182 165 199 242 226 292C256 348 281 377 311 389C327 395 353 402 375 402C408 402 436 394 456 386Z" id="g113-104"></path></g><g transform="matrix(.013,0,0,-0.013,11.03,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z" id="g117-34"></path></g><g transform="matrix(.013,0,0,-0.013,22.293,0)"><path d="M285 378C315 398 338 416 353 432C373 451 384 474 384 503C384 579 325 635 236 635H235C182 635 136 610 108 579L65 516L85 496C110 533 150 575 205 575C258 575 300 543 300 481C300 407 232 369 141 339L147 310C163 315 188 321 211 321C268 321 338 284 338 192C338 94 288 40 217 40C160 40 119 68 93 91C85 98 77 97 69 91C60 84 47 71 46 58C44 46 48 35 62 22C75 10 116 -12 162 -12C234 -12 424 62 424 224C424 297 373 359 285 376V378Z" id="g113-52"></path></g><g transform="matrix(.013,0,0,-0.013,32.165,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z" id="g117-34"></path></g><g transform="matrix(.013,0,0,-0.013,43.428,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z" id="g113-49"></path></g></svg> and <svg height="11.7782pt" id="M442" style="vertical-align:-3.42938pt" version="1.1" viewbox="-0.0498162 -8.34882 93.4326 11.7782" width="93.4326pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M546 430L539 434C529 434 505 438 495 440C473 444 450 448 430 448C352 448 265 412 213 366C145 306 96 203 96 103C96 22 135 -12 160 -12C190 -12 238 14 262 32C310 68 368 120 411 184H413C403 117 396 75 384 21C353 -118 325 -158 291 -184C270 -200 241 -205 208 -205C133 -205 90 -164 74 -110C70 -98 58 -100 49 -107C34 -119 23 -140 23 -155C23 -190 74 -261 166 -261C219 -261 280 -233 314 -208C383 -157 446 -79 470 81C491 223 529 388 546 430ZM456 386C452 357 433 283 420 252C402 216 366 174 325 129C288 88 239 56 212 56C192 56 182 77 182 120C182 165 199 242 226 292C256 348 281 377 311 389C327 395 353 402 375 402C408 402 436 394 456 386Z" id="g113-104"></path></g><g transform="matrix(.013,0,0,-0.013,11.03,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z" id="g117-34"></path></g><g transform="matrix(.013,0,0,-0.013,22.293,0)"><path d="M384 0V27C293 34 287 42 287 114V635C232 613 172 594 109 583V559L157 557C201 555 205 550 205 499V114C205 42 199 34 109 27V0H384Z" id="g113-50"></path></g><g transform="matrix(.013,0,0,-0.013,32.165,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z" id="g117-34"></path></g><g transform="matrix(.013,0,0,-0.013,43.428,0)"><path d="M546 430L539 434C529 434 505 438 495 440C473 444 450 448 430 448C352 448 265 412 213 366C145 306 96 203 96 103C96 22 135 -12 160 -12C190 -12 238 14 262 32C310 68 368 120 411 184H413C403 117 396 75 384 21C353 -118 325 -158 291 -184C270 -200 241 -205 208 -205C133 -205 90 -164 74 -110C70 -98 58 -100 49 -107C34 -119 23 -140 23 -155C23 -190 74 -261 166 -261C219 -261 280 -233 314 -208C383 -157 446 -79 470 81C491 223 529 388 546 430ZM456 386C452 357 433 283 420 252C402 216 366 174 325 129C288 88 239 56 212 56C192 56 182 77 182 120C182 165 199 242 226 292C256 348 281 377 311 389C327 395 353 402 375 402C408 402 436 394 456 386Z" id="g113-104"></path></g><g transform="matrix(.013,0,0,-0.013,54.458,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z" id="g117-34"></path></g><g transform="matrix(.013,0,0,-0.013,65.721,0)"><path d="M412 140C382 77 369 73 315 73H129L270 222C362 320 402 379 402 466C402 571 322 635 234 635C177 635 130 609 99 576L42 495L64 475C90 514 133 568 201 568C274 568 318 519 318 435C318 349 255 267 193 193C144 135 87 78 32 23V0H405C417 45 427 89 440 131L412 140Z" id="g113-51"></path></g><g transform="matrix(.013,0,0,-0.013,75.592,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z" id="g117-34"></path></g><g transform="matrix(.013,0,0,-0.013,86.855,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z" id="g113-49"></path></g></svg>.</div>

Complexity

fig10

Figure 10

Figure 10: Connectivity, Information Jumps, and Market Stability: An Agent-Based Approach 