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

artificial financial marketorder book mechanismself-organized criticality

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.

Recommendations

• Fundamentalists clashing over the book: a study of order-driven stock markets
• The role of communication and imitation in limit order markets
• On financial markets trading
• Emergent organization in a model market
• Minimal agent based model for financial markets. I

Cites work

• A Rational Route to Randomness
• Analyzing and modeling 1+1d markets
• Asset price and wealth dynamics under heterogeneous expectations
• Cautious trend-seeking and complex asset price dynamics
• Continuous Auctions and Insider Trading
• Financial markets as nonlinear adaptive evolutionary systems
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• scientific article; zbMATH DE number 3135430 (Why is no real title available?)
• Introduction to Nonextensive Statistical Mechanics
• Macroeconomics from the bottom-up
• Price fluctuations from the order book perspective - empirical facts and a simple model
• Prospect Theory: An Analysis of Decision under Risk
• Quantitative sociodynamics. Stochastic methods and models of social interaction processes. Transl. from the German by Richard Calek and Dirk Helbing
• Statistical properties of stock order books: empirical results and models
• The beneficial role of random strategies in social and financial systems
• The dynamics of speculative behaviour
• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach

Cited in

(17)

• On financial markets trading
• Simple stochastic order-book model of swarm behavior in continuous double auction
• The self-financing equation in limit order book markets
• Emergent organization in a model market
• Modeling surveys effects in political competitions
• Order book model with herd behavior exhibiting long-range memory
• Statistical signatures in times of panic: markets as a self-organizing system
• Fluctuations and response in financial markets: the subtle nature of `random' price changes
• Fundamentalists clashing over the book: a study of order-driven stock markets
• scientific article; zbMATH DE number 2095968 (Why is no real title available?)
• Econophysics of order-driven markets. Proceedings of the 5th Econophys-Kolkata conference, Kolkata, India, March 2010
• Complexity in quantitative finance and economics
• The waiting-time distribution of trading activity in a double auction artificial financial market
• THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS
• Self-organization and the persistence of noise in financial markets
• The role of communication and imitation in limit order markets
• Interacting gaps model, dynamics of order book, and stock-market fluctuations

This page was built for publication: Order book, financial markets, and self-organized criticality

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q508308)