A multilayer approach for price dynamics in financial markets

Alessio Emanuele Biondo, Alessandro Pluchino and Andrea Rapisarda

Papers from arXiv.org

Abstract: We introduce a new Self-Organized Criticality (SOC) model for simulating price evolution in an artificial financial market, based on a multilayer network of traders. The model also implements, in a quite realistic way with respect to previous studies, the order book dy- namics, by considering two assets with variable fundamental prices. Fat tails in the probability distributions of normalized returns are observed, together with other features of real financial markets.

Date: 2016-06
New Economics Papers: this item is included in nep-cmp, nep-fmk, nep-hme and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1606.09194

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