Informative Contagion Dynamics in a Multilayer Network Model of Financial Markets

Alessio Emanuele Biondo (), Alessandro Pluchino and Andrea Rapisarda
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Alessio Emanuele Biondo: Università degli Studi di Catania
Alessandro Pluchino: Università degli Studi di Catania
Andrea Rapisarda: Università degli Studi di Catania

Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, 2017, vol. 3, issue 3, No 4, 343-366

Abstract: Abstract In this paper we present a multilayer network model with contagion dynamics which is able to simulate the spreading of information and the transactions phase of a typical financial market. A rudimental order book dynamics is embedded in a framework where the trading decisions of investors and the information dynamics occur in two separated layers with different network topologies. The analysis addresses and compares the behaviour of an isolated one-asset market and a corresponding two-assets version, with different correlation degrees. Despite some simplifying assumptions, results show compliance to stylized facts exhibited by density functions of true financial returns.

Keywords: Financial market; Self organized criticality; Multilayer networks; Agent-based models; Informative contagion (search for similar items in EconPapers)
JEL-codes: C40 G1 G12 G17 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (9)

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DOI: 10.1007/s40797-017-0052-4

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