The European Physical Journal Special Topics

, Volume 226, Issue 3, pp 477–488

A multilayer approach for price dynamics in financial markets

  • Alessio Emanuele Biondo
  • Alessandro Pluchino
  • Andrea Rapisarda
Regular Article

DOI: 10.1140/epjst/e2016-60197-4

Cite this article as:
Biondo, A.E., Pluchino, A. & Rapisarda, A. Eur. Phys. J. Spec. Top. (2017) 226: 477. doi:10.1140/epjst/e2016-60197-4
Part of the following topical collections:
  1. Nonlinearity, Nonequilibrium and Complexity: Questions and Perspectives in Statistical Physics

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.

Copyright information

© EDP Sciences and Springer 2017

Authors and Affiliations

  1. 1.Department of Economics and BusinessUniversity of CataniaCataniaItaly
  2. 2.Department of Physics and AstronomyUniversity of Catania and INFN Sezione di CataniaCataniaItaly

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