Order Book on Financial Networks

Chakrabarti, Anindya S.; Lukáš, Pichl; Taisei, Kaizoji; Aymeric, Vié; Saori Iwanaga and Masao Kubo,; Alba, Ruiz-Buforn; Simone Alfarano and Eva Camacho-Cuena,; Biondo, Alessio Emanuele; Isao, Yagi; Yuji Masuda and Takanobu Mizuta,; Atushi, Ishikawa; Shouji Fujimoto and Takayuki Mizuno,; Venkat Venkatasubramanian and Yu Luo,; Chakrabarti and Ratul Lahkar, Anindya S.; Jiri, Kukacka; Tsung-Wen, Yen; Mikhail Filippov and Siew Ann Cheong,; Akira, Shimada; Menon, Shakti N.; Sasidevan and Sitabhra Sinha, V.; Tran, D. Ladley and C. T. M.; Sasidevan and Nils Bertschinger, V.; Pradeep Bhadola and Nivedita Deo,; Morito Hashimoto and Setsuya Kurahashi,; Bikesh Raj Upreti,; Philipp Martin Back,; Pekka, Malo; Oskar Ahlgren and Ankur Sinha,; Fernando Garcia Alvarado,; Surajit, Borkotokey; Loyimee Gogoi and Rajnish Kumar,

This chapter presents results from a class of agent-based models describing a realistic financial order book, aiming to discuss some aspects related to market stability. Major empirical regularities of data are correctly replicated and simulations are used to infer possible policy implications. After a detailed explanation of model features, an application to networks is presented to advance intuitions about the role of social interaction on induced imitation and herding phenomena. Thus, the initial market structure is augmented by a dynamic multiplex with two layers devoted to information and trading. The first one, representing social interactions, is designed according to different topologies in order to show how investors decide their behavior by following perceived informative flows. The second one, where the central hub is the market maker (i.e., the owner of the venue holding the order book) is devoted to the execution of all transactions. Some policy implications oriented to foster market stability are finally provided

Titolo:	Order Book on Financial Networks
Autori interni:	Anindya S. Chakrabarti Lukáš Pichl Taisei Kaizoji Aymeric Vié Saori Iwanaga and Masao Kubo Alba Ruiz-Buforn Simone Alfarano and Eva Camacho-Cuena BIONDO, ALESSIO EMANUELE Isao Yagi Yuji Masuda and Takanobu Mizuta Atushi Ishikawa Shouji Fujimoto and Takayuki Mizuno Venkat Venkatasubramanian and Yu Luo Anindya S. Chakrabarti and Ratul Lahkar Jiri Kukacka Tsung-Wen Yen Mikhail Filippov and Siew Ann Cheong Akira Shimada Shakti N. Menon V. Sasidevan and Sitabhra Sinha D. Ladley and C. T. M. Tran V. Sasidevan and Nils Bertschinger Pradeep Bhadola and Nivedita Deo Morito Hashimoto and Setsuya Kurahashi Bikesh Raj Upreti Philipp Martin Back Pekka Malo Oskar Ahlgren and Ankur Sinha Fernando Garcia Alvarado Surajit Borkotokey Loyimee Gogoi and Rajnish Kumar mostra contributor esterni nascondi contributor esterni
Data di pubblicazione:	2019
Handle:	http://hdl.handle.net/20.500.11769/372911
ISBN:	978-981-13-8318-2
Appare nelle tipologie:	2.1 Contributo in volume (Capitolo o Saggio)

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http://hdl.handle.net/20.500.11769/372911

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