Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1891154 | Chaos, Solitons & Fractals | 2016 | 11 Pages |
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.
Related Topics
Physical Sciences and Engineering
Physics and Astronomy
Statistical and Nonlinear Physics
Authors
Alessio Emanuele Biondo, Alessandro Pluchino, Andrea Rapisarda,