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ROSARIO NUNZIO MANTEGNA

Scaling laws of strategic behavior and size heterogeneity in agent dynamics

  • Autori: Vaglica, G.; Lillo, F.; Moro, E.; Mantegna, R.
  • Anno di pubblicazione: 2008
  • Tipologia: Articolo in rivista

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.