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

45 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
RivistaPHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS
Volume77
Stato di pubblicazionePublished - 2008

All Science Journal Classification (ASJC) codes

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

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