A comparison of different trading protocols in an agent-based market
AbstractWe compare price dynamics of different market protocols (batch auction, continuous double auction and dealership) in an agent-based artificial exchange. In order to distinguish the effects of market architectures alone, we use a controlled environment where allocative and informational issues are neglected and agents do not optimize or learn. Hence, we rule out the possibility that the behaviour of traders drives the price dynamics. Aiming to compare price stability and execution quality in broad sense, we analyze standard deviation, excess kurtosis, tail exponent of returns, volume, perceived gain by traders and bid-ask spread. Overall, a dealership market appears to be the best candidate in this respect, generating low volume and volatility, virtually no excess kurtosis and high perceived gain.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by EconWPA in its series Computational Economics with number 0511001.
Length: 20 pages
Date of creation: 04 Nov 2005
Date of revision:
Note: Type of Document - pdf; pages: 20. Pdf file, 20 pages, produced using LaTex and TeXShop on a Mac
Contact details of provider:
Web page: http://22.214.171.124
Artificial markets; Agent-based models; Microstructural architectures;
Other versions of this item:
- Paolo Pellizzari & Arianna Forno, 2007. "A comparison of different trading protocols in an agent-based market," Journal of Economic Interaction and Coordination, Springer, vol. 2(1), pages 27-43, June.
- Paolo Pellizzari & Arianna Dal Forno, 2006. "A comparison of different trading protocols in an agent-based market," Working Papers 140, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
- Marco LiCalzi & Paolo Pellizzari, 2006.
"Simple Market Protocols for Efficient Risk Sharing,"
136, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- LiCalzi, Marco & Pellizzari, Paolo, 2007. "Simple market protocols for efficient risk sharing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3568-3590, November.
- Marco LiCalzi & Paolo Pellizzari, 2005. "Simple market protocols for efficient risk sharing," Finance 0504019, EconWPA.
- S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.
- Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-53, July.
- Day, Richard H. & Huang, Weihong, 1990.
"Bulls, bears and market sheep,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 14(3), pages 299-329, December.
- Lux, T. & M. Marchesi, . "Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market," Discussion Paper Serie B 438, University of Bonn, Germany, revised Jul 1998.
- Marco LiCalzi & Paolo Pellizzari, 2002.
"Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets,"
0207001, EconWPA, revised 04 Mar 2003.
- Marco Licalzi & Paolo Pellizzari, 2003. "Fundamentalists clashing over the book: a study of order-driven stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 470-480.
- Ben Bernanke & Mark Gertler, 1999.
"Monetary policy and asset price volatility,"
Federal Reserve Bank of Kansas City, issue Q IV, pages 17-51.
- Ben Bernanke & Mark Gertler, 1999. "Monetary policy and asset price volatility," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 77-128.
- Bottazzi, Giulio & Dosi, Giovanni & Rebesco, Igor, 2005. "Institutional architectures and behavioral ecologies in the dynamics of financial markets," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 197-228, February.
- Alessandro N. Cappellini & Gianluigi Ferraris, 2009.
"Waiting Times In Simulated Stock Markets,"
Advances in Complex Systems (ACS),
World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 195-206.
- Thomas Lux, 2008.
"Stochastic Behavioral Asset Pricing Models and the Stylized Facts,"
wp08-03, Warwick Business School, Finance Group.
- Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Kiel Working Papers 1426, Kiel Institute for the World Economy.
- Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008,08, Christian-Albrechts-University of Kiel, Department of Economics.
- Annalisa Fabretti, 2013. "On the problem of calibrating an agent based model for financial markets," Journal of Economic Interaction and Coordination, Springer, vol. 8(2), pages 277-293, October.
- Pellizzari, Paolo & Westerhoff, Frank, 2009.
"Some effects of transaction taxes under different microstructures,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 72(3), pages 850-863, December.
- Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Working Papers 190, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Paolo Pelizzari & Frank Westerhoff, 2007. "Some Effects of Transaction Taxes Under Different Microstructures," Research Paper Series 212, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kostadinov, Fabian & Holm, Stefan & Steubing, Bernhard & Thees, Oliver & Lemm, Renato, 2014. "Simulation of a Swiss wood fuel and roundwood market: An explorative study in agent-based modeling," Forest Policy and Economics, Elsevier, vol. 38(C), pages 105-118.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).
If references are entirely missing, you can add them using this form.