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q-fin.TR2016
A multilayer approach for price dynamics in financial markets
Alessio Emanuele Biondo, Alessandro Pluchino, Andrea Rapisarda
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…
q-fin.TR2016
Order Book, Financial Markets and Self-Organized Criticality
Alessio Emanuele Biondo, Alessandro Pluchino, Andrea Rapisarda
We present a simple order book mechanism that regulates an artificial financial market with self-organized criticality dynamics and fat tails of returns distribution. The model sho…