Order book, financial markets, and self-organized criticality
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Publication:508308
DOI10.1016/J.CHAOS.2016.03.001zbMATH Open1415.91252arXiv1602.08270OpenAlexW2963766115MaRDI QIDQ508308FDOQ508308
Authors: Alessio Emanuele Biondo, Alessandro Pluchino, Andrea Rapisarda 
Publication date: 10 February 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1602.08270
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