Waiting Times In Simulated Stock Markets
Exploiting 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 setups made by varying both the operators' behavior and the market micro structure. The obtained results demonstrate that the CDA remains able to clear strongly different order flows, although the Milan stock exchange seemed to be a little more efficient than the NYSE under the allocative point of view, evidencing 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 or the same computation of the asks and bids series alone.
Volume (Year): 12 (2009)
Issue (Month): 02 ()
|Contact details of provider:|| Web page: http://www.worldscinet.com/acs/acs.shtml|
|Order Information:|| Email: |
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.:
- Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi, 2006.
"Waiting times between orders and trades in double-auction markets,"
- Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra, 2006. "Waiting times between orders and trades in double-auction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 463-471.
- S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Multiproduct Firms, Product Differentiation, and Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.
- Marco LiCalzi & Paolo Pellizzari, 2006. "The allocative effectiveness of market protocols under intelligent trading," Working Papers 134, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- 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.
- Paolo Pellizzari & Arianna Forno, 2007.
"A comparison of different trading protocols in an agent-based market,"
Journal of Economic Interaction and Coordination,
Springer;Society for Economic Science with Heterogeneous Interacting Agents, 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.
- Paolo Pellizzari & Arianna Dal Forno, 2005. "A comparison of different trading protocols in an agent-based market," Computational Economics 0511001, EconWPA.
- Pietro Terna, 2000. "Sum: A Surprising (Un)Realistic Market - Building A Simple Stock Market Structure With Swarm," Computing in Economics and Finance 2000 173, Society for Computational Economics.
- Damien Challet & Robin Stinchcombe, 2001.
"Analyzing and modelling 1+1d markets,"
cond-mat/0106114, arXiv.org, revised Jun 2001.
- Challet, Damien & Stinchcombe, Robin, 2001. "Analyzing and modeling 1+1d markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(1), pages 285-299.
When requesting a correction, please mention this item's handle: RePEc:wsi:acsxxx:v:12:y:2009:i:02:p:195-206. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim)
If references are entirely missing, you can add them using this form.