Order book, financial markets, and self-organized criticality

Abstract

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 shows the role played by individual imitation in determining trading decisions, while fruitfully replicates typical aggregate market behavior as the "self-fulfilling prophecy". We also address the role of random traders as a possible decentralized solution to dampen market fluctuations.

A multilayer approach for price dynamics in financial markets

“…The recent use of agent-based approaches in financial markets models has also given very useful insights in understanding the often counterintuitive interactions among heterogeneous agents operating in realistic markets [4]. Recently, herding and imitative behavior among agents has been successfully simulated with Self-Organized-Criticality (SOC) models and the adoption of random strategies has been shown to be an efficient and powerful way to moderate dangerous avalanche effects, diminishing the occurrence of extreme events [7,8,9,10,11,12]. Often these models have adopted topologies like scale-free and small world networks to describe the social interaction among agents.…”

Economics and Finance: q-Statistical Stylized Features Galore

“…Illustrations in artificial systems include signal and image processing [97,98] and (asymptotically) scale-free networks [99][100][101]. In the realm of social systems, from now on, we focus on economics and financial theory [102][103][104][105][106][107][108][109][110][111][112][113][114][115][116][117][118].…”

Modeling surveys effects in political competitions

“…The main motivation of this paper is to show, by means of agent-based simulations, whether and to which extent, the informative signals can effectively play a role in political competitions among participating parties or coalitions. During these last years, agent-based models have been extensively adopted in order to investigate emergent behavior and describe the implications of complexity in several socio-economic phenomena as in [8,19,10,17,18,11,12,13,14,9,15,16,59,58,60] among many others.…”