Order book, financial markets, and self-organized criticality

DOI10.1016/J.CHAOS.2016.03.001MaRDI QIDQ508308zbMATH OpenOpenAlexFDO

Authors Alessio Emanuele Biondo, Alessandro Pluchino, Andrea Rapisarda

Publication date 10 February 2017

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.08270

zbMATH Keywords

self-organized criticalityartificial financial marketorder book mechanism

Mathematics Subject Classification ID

Portfolio theory (91G10)

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.

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Cited in

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• scientific article; zbMATH DE number 2095968 (Why is no real title available?)
• The self-financing equation in limit order book markets
• The role of communication and imitation in limit order markets
• Interacting gaps model, dynamics of order book, and stock-market fluctuations
• Order book model with herd behavior exhibiting long-range memory
• Fundamentalists clashing over the book: a study of order-driven stock markets
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• The waiting-time distribution of trading activity in a double auction artificial financial market
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• Complexity in quantitative finance and economics

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