IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

A double-auction artificial market with time-irregularly spaced orders

  • Enrico Scalas
  • Silvano Cincotti

In this paper, a simulation of high-frequency market data is performed with the Genoa Artificial Stock Market. In the market model, heterogeneous agents trade a risky asset in exchange for cash. Agents have zero intelligence and issue random limit or market orders depending on their budget constraints. The price is cleared by means of a limit order book. The order generation process is a renewal process where the waiting-time distribution between two consecutive orders follows a Weibull law. This hypothesis is motivated by recent theoretical and empirical studies on high-frequency financial data. According to simulation results, the mechanism of the limit order book can reproduce fat-tailed distributions of returns without ad-hoc behavioral assumptions on agents. As for the simulated trade process, in the case of exponentially distributed order waiting times, also trade waiting times are exponentially distributed. Conversely, if order waiting times follow a Weibull law, the same does not hold true for trade waiting times. These findings are interpreted in terms of a random thinning of the order renewal process. References: Raberto et al, Computational Economics, vol 22 (2003), pp. 255-272. Scalas et al, Physical Review E, vol. 69 (2004), pp. 011107(1-8). Raberto et al., Physica A, vol. 314 (2002), pp. 749-755.

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 225.

as
in new window

Length:
Date of creation: 11 Aug 2004
Date of revision:
Handle: RePEc:sce:scecf4:225
Contact details of provider: Web page: http://comp-econ.org/Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:sce:scecf4:225. 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: (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.