Informative Contagion Dynamics in a Multilayer Network Model of Financial Markets

Akerlof GA, Shiller RJ (2010) Animal spirits: how human psychology drives the economy, and why it matters for global capitalism. Princeton University Press, Princeton

Alfarano S, Lux T, Wagner F (2008) Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach. J Econ Dyn Control 32:101–136

Bak P (1996) How nature works: the science of self-organised criticality. Copernicus Press, New York

Barberis N, Thaler R (2003) A survey of behavioural finance. Handb Econ Financ 1:1053–1128

Bartolozzi M, Leinweber DB, Thomas AW (2005) Self-organized criticality and stock market dynamics: an empirical study. Phys A: Stat Mech Appl 350(2–4):451–465

Battiston F, Nicosia V, Latora V (2014) Structural measures for multiplex networks. Phys Rev E 89:032804

Biais B, Foucault T, Hillion P (1997) Microstructure des Marches Financiers: lnstitutions, Modeles et Tests Empiriques. Presses Universitaires de France, Paris

Bianconi G (2013) Statistical mechanics of multiplex networks: entropy and overlap. Phys Rev E 87:062806

Bikhchandani S, Hirshleifer D, Welch I (1992) A theory of fads, fashion, custom, and cultural change as informational cascades. J Polit Econ 100(5):992–1026

Biondo AE, Pluchino A, Rapisarda A, Helbing D (2013a) Reducing financial avalanches by random investments. Phys Rev E 88(6):062814

Biondo AE, Pluchino A, Rapisarda A, Helbing D (2013b) Are random trading strategies more successful than technical ones. PLoS One 8(7):e68344

Biondo AE, Pluchino A, Rapisarda A (2013c) The beneficial role of random strategies in social and financial systems. J Stat Phys 151(3–4):607–622

Biondo AE, Pluchino A, Rapisarda A (2014) Micro and macro benefits of random investments in financial markets. Contemp Phys 55(4):318–334

Biondo AE, Pluchino A, Rapisarda A (2015) Modeling financial markets by self-organized criticality. Phys Rev E 92(4):042814

Boccaletti S, Latora V, Moreno Y, Chavez M, Hwang DU (2006) Complex networks: structure and dynamics. Phys Rep 424(4):175–308

Boccaletti S et al (2014) The structure and dynamics of multilayer networks. Phys Rep 544(1):1–122

Brock WA, Hommes CH (1997a) Models of complexity in economics and finance. Technical report

Brock WA, Hommes CH (1997b) A rational route to randomness. Econom: J. Econ Soc 65:1059–1095

Brock WA, Hommes CH (1998) Heterogeneous beliefs and routes to chaos in a simple asset pricing model. J Econ Dyn Control 22(8–9):1235–1274

Brummitt CD, Lee K-M, Goh K-I (2012) Multiplexity-facilitated cascades in networks. Phys Rev E 85:045102(R)

Cardillo A, Zanin M, Gomez-Gardenes J, Romance M, García del Amo AJ, Boccaletti S (2013) Modeling the multi-layer nature of the European air transport network: resilience and passengers re-scheduling under random failures. Eur Phys J Spec Top 215:23–33

Cellai D, López E, Zhou J, Gleeson JP, Bianconi G (2013) Percolation in multiplex networks with overlap. Phys Rev E 88:052811

Chakraborti A, Toke IM, Patriarca M, Abergel F (2009) Econophysics review: I. Empirical facts. Quant Financ 11(7):991–1012

Chiarella C (1992) The dynamics of speculative behaviour. Ann Oper Res 37(1):101–123

Chiarella C, He XZ (2001) Asset price and wealth dynamics under heterogeneous expectations. Quant Financ 1(5):509–526

Chiarella C, Iori G (2002) A simulation analysis of the microstructure of double auction markets. Quant Financ 2:346–353

Cont R, Potters M, Bouchaud JP (1997) Scaling in stock market data: stable laws and beyond. In: Dubrulle B, Graner F, Sornette D (eds) Scale invariance and beyond. Springer, Berlin, pp 75–85

Day RH, Huang W (1990) Bulls, bears and market sheep. J Econ Behav Organ 14(3):299–329

De Domenico M, Sole-Ribalta A, Cozzo E, Kivela M, Moreno Y, Porter MA, Gomez S, Arenas A (2013) Mathematical formulation of multilayer networks. Phys Rev X 3:041022

De Domenico M, Sole-Ribalta A, Gomez S, Arenas A (2014) Navigability of interconnected networks under random failures. doi: 10.1073/pnas.1318469111 . http://www.pnas.org/content/early/2014/05/21/1318469111

Delli Gatti D, Desiderio S, Gaffeo E, Cirillo P, Gallegati M (2011) Macroeconomics from the bottom-up. Springer Science and Business Media, Berlin

Fama EF (1970) Efficient capital markets: a review of theory and empirical work. J Financ 25(2):383–417

Franke R, Sethi R (1998) Cautious trend-seeking and complex asset price dynamics. Res Econ 52(1):61–79

Garman MB (1976) Market microstructure. J Financ Econ 3:257–275

Glosten LR (1994) Is the electronic open limit order book inevitable? J Financ 49:1127–1161

Hasbrouck J (2007) Empirical market microstructure: the institutions, economics, and econometrics of securities trading. Oxford University Press, New York

Helbing D (1995) Quantitative Sociodynamics. Kluwer, Dordrecht

Helbing D (2012) Social self-organization. Springer, Berlin

Hommes CH (2001) Financial markets as nonlinear adaptive evolutionary systems. Taylor & Francis, London

Horvát EA, Zweig KA (2012) One-mode projection of multiplex bipartite graphs. In: Proceedings of the 2012 international conference on advances in social networks analysis and mining (ASONAM 2012). IEEE Computer Society, p 599606

Kahneman D, Tversky A (1979) Prospect theory: an analysis of decision under risk. Econom: J Econ Soc 47(2):263–291

Keynes JM (1936) The general theory of unemployment, interest and money. Harcourt, Brace and World, New York

Kononovicius A, Gontis V (2013) Three-state herding model of the financial markets. Europhys Lett 101(2):28001. doi: 10.1209/0295-5075/101/28001

Kyle AS (1985) Continuous auctions and insider trading. Econometrica 53:1315–1335

LeBaron B (2006) Agent-based computational finance. Handb Comput Econ 12:1187–1233

Lee K-M, Kim JY, Cho W-K, Goh K-I, Kim I-M (2012) Correlated multiplexity and connectivity of multiplex random networks. New J Phys 14:033027

Leijonhufvud A (1993) Towards a not-too-rational macroeconomics. South Econ J 1–13

Lucas RE (1972) Expectations and the neutrality of money. J Econ Theory 4(2):103–124

Lux T (1995) Herd behaviour, bubbles and crashes. Econ J 105(431):881–896

Lux T (1998) The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions. J Econ Behav Organ 33(2):143–165

Lux T, Marchesi M (1999) Scaling and criticality in a stochastic multi-agent model of a financial market. Nature 397(6719):498–500

Lux T, Westerhoff F (2009) Economics crisis. Nat Phys 5(1):2–3

Mandelbrot B (1963) The variation of certain speculative prices. J Bus 36(4):394–419

Mantegna RN, Stanley HE (1999) Introduction to Econophysics: correlations and complexity in finance. Cambridge University Press, Cambridge

Min B, Goh K-I (2013) Layer-crossing overhead and information spreading in multiplex social networks. arXiv:1307.2967

Min B, Yi SD, Lee K-M, Goh K-I (2014) Network robustness of multiplex networks with inter-layer degree correlations. Phys Rev E 89:042811

Mucha PJ, Richardson T, Macon K, Porter MA, Onnela J-P (2010) Community structure in time-dependent, multiscale, and multiplex networks. Science 328:876–878

Nicosia V, Bianconi G, Latora V, Barthelemy M (2013) Growing multiplex networks. Phys Rev Lett 111:058701

Nirei MJ (2008) Self-organized criticality in a herd behaviour model of financial markets. J Econ Interact Coord 3:89. doi: 10.1007/s11403-008-0032-8

O’Hara M (1997) Market microstructure theory, 2nd edn. Blackwell, Oxford

Olami Z, Feder HJS, Christensen K (1992) Self-organized criticality in a continuous, nonconservative cellular automaton modeling earthquakes. Phys Rev E 68(8):1244–1247

Pagan A (1996) The econometrics of financial markets. J Empir Financ 3(1):15–102

Sargent TJ, Wallace N (1976) Rational expectations and the theory of economic policy. J Monet Econ 2(2):169–183

Schumpeter JA (2003) How does one study social science? Society 40(3):57–63

Simon HA (1957) Models of man; social and rational. Wiley, New York

Tversky A, Kahneman D (1974) Judgment under uncertainty: heuristics and biases. Science 185(4157):1124–1131

Vazquez A (2006) Spreading dynamics on heterogeneous populations: multitype network approach. Phys Rev E 74:066114

Von Hayek FA (2015) The pretence of knowledge. Nobelprize.org. Nobel Media AB 2014. Web 1 Jul 2015

Watts DJ, Strogatz SH (1998) Collective dynamics of small-world networks. Nature 393(6684):440442

Yagan O, Gligor V (2012) Analysis of complex contagions in random multiplex networks. Phys Rev E 86:036103