80 citations · 234 across the 12 of their papers we have counts for
10 papers
Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement
A. Zaccaria, M. Cristelli, V. Alfi +2
We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis…
Liquidity Crisis, Granularity of the Order Book and Price Fluctuations
M. Cristelli, V. Alfi, L. Pietronero +1
We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored order…
Mechanisms of Self-Organization and Finite Size Effects in a Minimal Agent Based Model
V. Alfi, M. Cristelli, L. Pietronero +1
We present a detailed analysis of the self-organization phenomenon in which the stylized facts originate from finite size effects with respect to the number of agents considered an…
Minimal Agent Based Model for Financial Markets II: Statistical Properties of the Linear and Multiplicative Dynamics
V. Alfi, M. Cristelli, L. Pietronero +1
We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the…
Minimal Agent Based Model for Financial Markets I: Origin and Self-Organization of Stylized Facts
V. Alfi, M. Cristelli, L. Pietronero +1
We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try t…
Minimal Agent Based Model For The Origin And Self-Organization Of Stylized Facts In Financial Markets
V. Alfi, L. Pietronero, A. Zaccaria
We introduce a minimal Agent Based Model with two classes of agents, fundamentalists (stabilizing) and chartists (destabilizing) and we focus on the essential features which can ge…