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A multilayer approach for price dynamics in financial markets

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  • Alessio Emanuele Biondo
  • Alessandro Pluchino
  • Andrea Rapisarda

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 dy- namics, 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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  • Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda, 2016. "A multilayer approach for price dynamics in financial markets," Papers 1606.09194, arXiv.org.
    • Handle: RePEc:arx:papers:1606.09194
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    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871, January.
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