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Bimodal Dynamics of the Artificial Limit Order Book Stock Exchange with Autonomous Traders

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  • Matej Steinbacher
  • Mitja Steinbacher
  • Matjaz Steinbacher

Abstract

This paper explores the bifurcative dynamics of an artificial stock market exchange (ASME) with endogenous, myopic traders interacting through a limit order book (LOB). We showed that agent-based price dynamics possess intrinsic bistability, which is not a result of randomness but an emergent property of micro-level trading rules, where even identical initial conditions lead to qualitatively different long-run price equilibria: a deterministic zero-price state and a persistent positive-price equilibrium. The study also identifies a metastable region with elevated volatility between the basins of attraction and reveals distinct transient behaviors for trajectories converging to these equilibria. Furthermore, we observe that the system is neither entirely regular nor fully chaotic. By highlighting the emergence of divergent market outcomes from uniform beginnings, this work contributes a novel perspective on the inherent path dependence and complex dynamics of artificial stock markets.

Suggested Citation

  • Matej Steinbacher & Mitja Steinbacher & Matjaz Steinbacher, 2025. "Bimodal Dynamics of the Artificial Limit Order Book Stock Exchange with Autonomous Traders," Papers 2508.17837, arXiv.org.
    • Handle: RePEc:arx:papers:2508.17837
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    References listed on IDEAS

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