Informative Contagion Dynamics in a Multilayer Network Model of Financial Markets

Authored by Alessandro Pluchino, Andrea Rapisarda, Alessio Emanuele Biondo

Date Published: 2017

DOI: 10.1007/s40797-017-0052-4

Sponsors: No sponsors listed

Platforms: No platforms listed

Model Documentation: Other Narrative Mathematical description

Model Code URLs: Model code not found

Abstract

In this paper we present a multilayer network model with contagion dynamics which is able to simulate the spreading of information and the transactions phase of a typical financial market. A rudimental order book dynamics is embedded in a framework where the trading decisions of investors and the information dynamics occur in two separated layers with different network topologies. The analysis addresses and compares the behaviour of an isolated one-asset market and a corresponding two-assets version, with different correlation degrees. Despite some simplifying assumptions, results show compliance to stylized facts exhibited by density functions of true financial returns.

Tags

Agent-based models herd behavior Agents Financial market Expectations Chaos Self-organized criticality Self organized criticality Multilayer networks Informative contagion