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Italian Economic Journal

, Volume 3, Issue 3, pp 343–366 | Cite as

Informative Contagion Dynamics in a Multilayer Network Model of Financial Markets

  • Alessio Emanuele Biondo
  • Alessandro Pluchino
  • Andrea Rapisarda
Research Paper

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 

JEL Classification

G1 G12 G17 C40 

Notes

Acknowledgements

This study was partially supported by the FIR Research Project 2014 N.ABDD94 of the University of Catania.

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Copyright information

© Società Italiana degli Economisti (Italian Economic Association) 2017

Authors and Affiliations

  1. 1.Dipartimento di Economia e ImpresaUniversità degli Studi di CataniaCataniaItaly
  2. 2.Dipartimento di Fisica e AstronomiaUniversità degli Studi di CataniaCataniaItaly

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