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

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Author Info

  • Giulio Bottazzi
  • Giovanni Dosi
  • Igor Rebesco

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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Bibliographic 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
Date of revision:
Handle: RePEc:ssa:lemwps:2002/24

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Related research

Keywords: Evolutionary Finance; Market Institutions; Agent Based Modelling.;

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Cited by:
  1. 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.
  2. 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.
  3. Carl Chiarella & Giulia Iori, 2005. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Research Paper Series 152, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. 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.
  5. 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.

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