Scaling laws of strategic behavior and size heterogeneity in agent dynamics

Gabriella Vaglica, Fabrizio Lillo, Rosario Nunzio Mantegna, Gabriella Vaglica, Fabrizio Lillo, Esteban Moro, Rosario N. Mantegna

Risultato della ricerca: Article

43 Citazioni (Scopus)

Abstract

We consider the financial market as a model system and study empirically how agents strategically adjust the properties of large orders in order to meet their preference and minimize their impact. We quantify this strategic behavior by detecting scaling relations between the variables characterizing the trading activity of different institutions. We also observe power-law distributions in the investment time horizon, in the number of transactions needed to execute a large order, and in the traded value exchanged by large institutions, and we show that heterogeneity of agents is a key ingredient for the emergence of some aggregate properties charac- terizing this complex system.
Lingua originaleEnglish
pagine (da-a)036110-1-036110-6
RivistaDefault journal
Volume77
Stato di pubblicazionePublished - 2008

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Strategic behavior
Scaling
Complex systems
Financial markets
Time horizon
Power-law distribution
Trading activity
System model

All Science Journal Classification (ASJC) codes

  • Statistical and Nonlinear Physics
  • Statistics and Probability
  • Condensed Matter Physics

Cita questo

Vaglica, G., Lillo, F., Mantegna, R. N., Vaglica, G., Lillo, F., Moro, E., & Mantegna, R. N. (2008). Scaling laws of strategic behavior and size heterogeneity in agent dynamics. Default journal, 77, 036110-1-036110-6.

Scaling laws of strategic behavior and size heterogeneity in agent dynamics. / Vaglica, Gabriella; Lillo, Fabrizio; Mantegna, Rosario Nunzio; Vaglica, Gabriella; Lillo, Fabrizio; Moro, Esteban; Mantegna, Rosario N.

In: Default journal, Vol. 77, 2008, pag. 036110-1-036110-6.

Risultato della ricerca: Article

Vaglica, G, Lillo, F, Mantegna, RN, Vaglica, G, Lillo, F, Moro, E & Mantegna, RN 2008, 'Scaling laws of strategic behavior and size heterogeneity in agent dynamics', Default journal, vol. 77, pagg. 036110-1-036110-6.
Vaglica, Gabriella ; Lillo, Fabrizio ; Mantegna, Rosario Nunzio ; Vaglica, Gabriella ; Lillo, Fabrizio ; Moro, Esteban ; Mantegna, Rosario N. / Scaling laws of strategic behavior and size heterogeneity in agent dynamics. In: Default journal. 2008 ; Vol. 77. pagg. 036110-1-036110-6.
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