Institutional Architectures and Behavioural Ecologies in the Dynamics of Financial Markets: a Preliminary Investigation

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Institutional Architectures and Behavioural Ecologies in the Dynamics of Financial Markets: a Preliminary Investigation

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Giulio Bottazzi
Giovanni Dosi
Igor Rebesco

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Abstract

The paper compares the properties of market dynamics, under different trading protocols. At an empirical level, we present some evidence stemming from the comparison between different intra-daily trade regimes within the world largest Stock Exchanges. Such evidence also motivates the investigation of the properties of an agent-based model under three alternatives market mechanisms, namely a Walrasian auction, a batch auction and an `order-book' double auction. The results highlight the importance of market mechanisms per se, even when holding constant the behavioural characteristics of the agents.

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Publisher Info
Paper provided by Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy in its series LEM Papers Series with number 2002/24.

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Date of creation: 28 Dec 2002
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Handle: RePEc:ssa:lemwps:2002/24

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This paper has been announced in the following NEP Reports:

NEP-ALL-2002-11-28 (All new papers)
NEP-FIN-2002-11-28 (Finance)
NEP-FMK-2002-11-28 (Financial Markets)

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Sandro Sapio, 2004. "Market Design, Bidding Rules, and Long Memory in Electricity Prices," LEM Papers Series 2004/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
Mikhail Anufriev & Giulio Bottazzi, 2004. "Asset Pricing Model with Heterogeneous Investment Horizons," LEM Papers Series 2004/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
Mikhail Anufriev & Giulio Bottazzi & Francesca Pancotto, 2004. "Price and Wealth Asymptotic Dynamics with CRRA Technical Trading Strategies," LEM Papers Series 2004/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
Anufriev, M. & Panchenko, V., 2007. "Asset Prices, Traders' Behavior, and Market Design," CeNDEF Working Papers 07-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Other versions:
- Anufriev, Mikhail & Panchenko, Valentyn, 2009. "Asset prices, traders' behavior and market design," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1073-1090, May. [Downloadable!] (restricted)

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