Auction Market System in Electronic Security Trading Platform
Under the background of the electronic security trading platform Xetra operated by Frankfurt Stock Exchange, we consider the Xetra auction market system (XAMS) from `bottom-up', which the interaction among heterogeneous traders and Xetra auction market mechanism generates non-equilibrium price dynamics. First we develop an integrative framework that serves as general guidance for analyzing the economic system from `bottom-up' and for seamlessly transferring the economic system into the corresponding agent-based model. Then we apply this integrative framework to construct the agent-based model of XAMS. By conducting market experiments with the computer implementation of the agent-based model of XAMS, we investigate the role of the price setter who assumes its trading behavior can manipulate the market price. The main finding is that the introduction of the price setter in the setting of XAMS improves market efficiency while does not significantly influence price volatility of the market.
|Date of creation:||2012|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
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.:
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:43183. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.