Auction Market System in Electronic Security Trading Platform
AbstractUnder the background of the electronic security trading platform Xetra operated by Frankfurt Stock Exchange, we consider the Xetra auction market system (XAMS) from `bottom-up', which the interaction among heterogeneous traders and Xetra auction market mechanism generates non-equilibrium price dynamics. First we develop an integrative framework that serves as general guidance for analyzing the economic system from `bottom-up' and for seamlessly transferring the economic system into the corresponding agent-based model. Then we apply this integrative framework to construct the agent-based model of XAMS. By conducting market experiments with the computer implementation of the agent-based model of XAMS, we investigate the role of the price setter who assumes its trading behavior can manipulate the market price. The main finding is that the introduction of the price setter in the setting of XAMS improves market efficiency while does not significantly influence price volatility of the market.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 43183.
Date of creation: 2012
Date of revision:
agent-based modelling; computational market experiment; electronic security trading platform; Xetra; non-equilibrium priced ynamics; automatic trading;
Find related papers by JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C9 - Mathematical and Quantitative Methods - - Design of Experiments
- G1 - Financial Economics - - General Financial Markets
- D5 - Microeconomics - - General Equilibrium and Disequilibrium
- D6 - Microeconomics - - Welfare Economics
- B4 - Schools of Economic Thought and Methodology - - Economic Methodology
- D4 - Microeconomics - - Market Structure and Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-22 (All new papers)
- NEP-CMP-2012-12-22 (Computational Economics)
- NEP-EXP-2012-12-22 (Experimental Economics)
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- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
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