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A multilayer approach for price dynamics in financial markets (1606.09194v1)
Published 29 Jun 2016 in q-fin.TR and physics.soc-ph
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.