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A multilayer approach for price dynamics in financial markets

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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 dynamics, 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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Authors and Affiliations

  1. Department of Economics and Business, University of Catania, Catania, Italy

    Alessio Emanuele Biondo

  2. Department of Physics and Astronomy, University of Catania and INFN Sezione di Catania, Catania, Italy

    Alessandro Pluchino & Andrea Rapisarda

Authors
  1. Alessio Emanuele Biondo
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  2. Alessandro Pluchino
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  3. Andrea Rapisarda
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Corresponding author

Correspondence to Andrea Rapisarda.

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Biondo, A.E., Pluchino, A. & Rapisarda, A. A multilayer approach for price dynamics in financial markets. Eur. Phys. J. Spec. Top. 226, 477–488 (2017). https://doi.org/10.1140/epjst/e2016-60197-4

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  • DOI: https://doi.org/10.1140/epjst/e2016-60197-4

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