A multilayer approach for price dynamics in financial markets
  We introduce a new Self-Organized Criticality (SOC) model for simulating price evolution in an artificial financial market, based on a multilayer network of traders. The model also implements, in a quite realistic way with respect to previous studies, the order book dy- namics, by considering two assets with variable fundamental prices. Fat tails in the probability distributions of normalized returns are observed, together with other features of real financial markets. 
Alessio Emanuele Biondo, Alessandro Pluchino, Andrea Rapisarda
q-fin.TR physics.soc-ph