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Abstract

La microestructura de mercado analiza, entre otros aspectos, el impacto que la estructura de mercado o conjunto de reglas que gobiernan el funcionamiento de un mercado tiene sobre el comportamiento de los inversores y los costes que estos inversores sufren a la hora de realizar transacciones. Los mercados financieros de agentes computacionales o mercados financieros artificiales, basados en simulación, emergen como una novedosa y prometedora herramienta para el estudio de la microestructura. Los autores presentan la aplicación de esta técnica para el caso de un mercado financiero donde se negocia un único activo con riesgo.

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File URL: http://e-archivo.uc3m.es/bitstream/10016/791/1/Tapia_BM_2005_138.pdf
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Bibliographic Info

Paper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/791.

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Length: 67 p.
Date of creation: Jan 2005
Date of revision:
Publication status: Published in La Revista de Bolsa de Madrid (2005-01) v.enero, p.63-65
Handle: RePEc:ner:carlos:info:hdl:10016/791

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Web page: http://www.uc3m.es

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1. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
2. LeBaron, Blake, 2000. "Agent-based computational finance: Suggested readings and early research," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 679-702, June.
3. Chung-Ming Kuan, 2006. "Artificial Neural Networks," IEAS Working Paper : academic research 06-A010, Institute of Economics, Academia Sinica, Taipei, Taiwan.
4. Ackert, Lucy F. & Church, Bryan & Jayaraman, Narayanan, 2001. "An experimental study of circuit breakers: The effects of mandated market closures and temporary halts on market behavior," Journal of Financial Markets, Elsevier, vol. 4(2), pages 185-208, April.
   
   • Lucy F. Ackert & Bryan K. Church & Narayanan Jayaraman, 1999. "An experimental study of circuit breakers: the effects of mandated market closures and temporary halts on market behavior," Working Paper 99-1, Federal Reserve Bank of Atlanta.
5. Giulia Iori, 1999. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Finance 9905005, EconWPA.
   
   • Iori, Giulia, 2002. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 269-285, October.
   • Giulia Iori, 2000. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Finance 0004007, EconWPA.
6. Carl Chiarella & Giulia Iori, 2002. "A simulation analysis of the microstructure of double auction markets," Quantitative Finance, Taylor and Francis Journals, vol. 2(5), pages 346-353.
7. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
8. S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.

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