Waiting Times in Simulated Stock Markets
AbstractExploiting a precise reproduction of a stock exchange, the robustness of the Continuous Double Auction (CDA) mechanism, evaluated by means of the waiting time distributions, has been proved versus 36 different set ups made by varying both the operators' behaviour and the market micro structure. The obtained results demonstrate that the CDA remains able to clear strongly different order flows, though the Milan stock exchange seemed to be a little more efficient than the NYSE under the allocative point of view, witnessing the intrinsic complexity of the stock market. The simulation has been built as an Agent Based Model in order to obtain a plausible order flow. The decisions of single agents and their interaction through the market book are realistic and reproduce some empirical analysis results. The mentioned results have been obtained either by the analysis of the complete pending time series and the same computation of the asks and bids series alone.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 7324.
Date of creation: Dec 2007
Date of revision:
Waiting times; Agent Based Modeling; Stock Market; Micro structures; Market Architectures;
Other versions of this item:
- Alessandro N. Cappellini & Gianluigi Ferraris, 2009. "Waiting Times In Simulated Stock Markets," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 195-206.
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-03-01 (All new papers)
- NEP-CMP-2008-03-01 (Computational Economics)
- NEP-MST-2008-03-01 (Market Microstructure)
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