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.
Article PDF
Similar content being viewed by others
Avoid common mistakes on your manuscript.
References
B.B. Mandelbrot, R.L. Hudson, The (Mis) Behavior of Markets (Basic Books, 2004)
R.N. Mantegna, H.E. Stanley, Introduction to Econophysics: Correlations and Complexity in Finance (Cambridge University Press, 1999)
J.-P. Bouchaud, M. Potters Theory of Financial Risk and Derivative Pricing (Cambridge University Press, 2004)
J.D. Farmer, D. Foley, Nature 460, 685 (2009)
D. Sornette, Why Stock Markets Crash: Critical Events in Complex Financial Systems (Princeton University Press, 2004)
C. Tsallis, Introduction to Nonextensive Statistical Mechanics (Springer, 2009)
A.E. Biondo, A. Pluchino, A. Rapisarda, J. Stat. Phys. 151, 607 (2013)
A.E. Biondo, A. Pluchino, A. Rapisarda, D. Helbing, Phys. Rev. E 88, 062814 (2013)
A.E. Biondo, A. Pluchino, A. Rapisarda, D. Helbing, PloS one 8, e68344 (2013)
A.E. Biondo, A. Pluchino, A. Rapisarda, Contemp. Phys. 55, 318 (2014)
A.E. Biondo, A. Pluchino, A. Rapisarda, Phys. Rev. E 92, 042814 (2015)
A.E. Biondo, A. Pluchino, A. Rapisarda, Chaos, Solitons and Fractals 88, 196 (2016)
F. Caruso, A. Pluchino, V. Latora, S. Vinciguerra, A. Rapisarda, Phys. Rev. E 75, 055101(R) (2007)
F. Caruso, V. Latora, A. Pluchino, A. Rapisarda, B. Tadic, Eur. Phys. J. B 50, 243 (2006)
S. Boccaletti et al., Phys. Rep. 544, 1 (2014)
D. Watts, S. Strogatz, Nature 393, 440 (1998)
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
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
Received:
Revised:
Published:
Issue Date:
DOI: https://doi.org/10.1140/epjst/e2016-60197-4