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Testing double auction as a component within a generic market model architecture

Author

Listed:
  • Derveeuw, Julien
  • Beaufils, Bruno
  • Mathieu, Philippe
  • Brandouy, Olivier

Abstract

Since the first multi-agents based market simulations in the nineties, many different artificial stock market models have been developped. There are mainly used to reproduce and understand real markets statistical properties such as fat tails, volatility clustering and positive auto-correlation of absolute returns. Though they share common goals, these market models are most of the time different one from another: some are based on equations, others on complex microstructures, some are synchronous, others are asynchronous. It is hence hard to understand which characteristic of the market model used is at the origin of observed statistical properties. To investigate this question, we propose a generic model of artificial markets architecture which allows to freely compose modules coming from existing market models. To illustrate this formalism, we implement these components to propose a model of an asynchronous double auction based on an order-book and show that many stylized facts of real stock markets are reproduced with our model.

Suggested Citation

  • Derveeuw, Julien & Beaufils, Bruno & Mathieu, Philippe & Brandouy, Olivier, 2007. "Testing double auction as a component within a generic market model architecture," MPRA Paper 4918, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:4918
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    multi-agent; orderbook; double auction; simulation; financial markets; stylized facts;
    All these keywords.

    JEL classification:

    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General

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