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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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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