https://doi.org/10.1140/epjst/e2016-60197-4
Regular Article
A multilayer approach for price dynamics in financial markets
1 Department of Economics and Business, University of Catania, Catania, Italy
2 Department of Physics and Astronomy, University of Catania and INFN Sezione di Catania, Catania, Italy
a e-mail: andrea.rapisarda@ct.infn.it
Received: 29 June 2016
Revised: 14 October 2016
Published online: 6 March 2017
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.
© EDP Sciences, Springer-Verlag, 2017
