Order book, financial markets, and self-organized criticality

Alessio Emanuele Biondo, Alessandro Pluchino and Andrea Rapisarda

Chaos, Solitons & Fractals, 2016, vol. 88, issue C, 196-208

Abstract: We present a simple order book mechanism that regulates an artificial financial market with self-organized criticality dynamics and fat tails of returns distribution. The model shows the role played by individual imitation in determining trading decisions, while fruitfully replicates typical aggregate market behavior as the “self-fulfilling prophecy.” We also address the role of random traders as a possible decentralized solution to dampen market fluctuations.

Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:88:y:2016:i:c:p:196-208

DOI: 10.1016/j.chaos.2016.03.001

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