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arXiv · 1606.09194

A multilayer approach for price dynamics in financial markets

Alessio Emanuele Biondo·Alessandro Pluchino·Andrea Rapisarda
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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.

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Alessio Emanuele Biondo, Alessandro Pluchino, Andrea Rapisarda. 2016-06-29. A multilayer approach for price dynamics in financial markets. https://arxiv.org/abs/1606.09194

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