scholarly journals WAITING TIMES IN SIMULATED STOCK MARKETS

2009 ◽  
Vol 12 (02) ◽  
pp. 195-206 ◽  
Author(s):  
ALESSANDRO N. CAPPELLINI ◽  
GIANLUIGI FERRARIS
Keyword(s):  
Time Series ◽  
Stock Exchange ◽  
Waiting Times ◽  
Point Of View ◽  
Double Auction ◽  
Micro Structure ◽  
Agent Based ◽  
Intrinsic Complexity ◽  
Continuous Double Auction ◽  
Different Order

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.

Liquidity Provision and Cross Arbitrage in Continuous Double-Auction Prediction Markets

2014 ◽  
Vol 7 (3) ◽  
pp. 61-86
Author(s):  
Werner Antweiler
Keyword(s):  
Stock Market ◽  
Empirical Analysis ◽  
Double Auction ◽  
Prediction Markets ◽  
Market Maker ◽  
Micro Structure ◽  
Liquidity Provision ◽  
Novel Method ◽  
Continuous Double Auction ◽  
Bid Ask Spreads

Continuous double-auction prediction markets often exhibit low transaction volume due to substantial bid-ask spreads. This paper explores a novel method of providing artificial liquidity in continuous double-auction prediction markets by introducing an automated market maker that engages in zero-profit cross-arbitrage in multi-contract markets. Empirical analysis of observed bid-ask spreads, liquidity, offer acceptance, and order sizes in the 2008 UBC Election Stock Market provides additional new insights into the micro-structure of prediction markets. 

Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective

2019 ◽  
Vol 18 (02) ◽  
pp. 695-715 ◽  
Author(s):  
Ruwei Zhao ◽  
Xiong Xiong ◽  
Dehua Shen ◽  
Wei Zhang
Keyword(s):  
Confidence Interval ◽  
Institutional Investors ◽  
Stock Price ◽  
Market Model ◽  
Crash Risk ◽  
Double Auction ◽  
Agent Based ◽  
Auction Market ◽  
Improved Stability ◽  
Continuous Double Auction

Multiple studies presume the institutional investors to be informed investors. However, some reports argue that this view is still under debate. In this paper, to avoid the informed investors proxy bias caused by the institutional investors, we construct an agent-based continuous double auction stock market model with both informed and uninformed investors and examine whether stock price crash risk can be affected by the change of investor structure. In particular, we employ four types of investor structures by gradually increasing percentage adjustments of informed investors from 20%, 40%, 60% to 80% within the market. We find that stock clear price and return show significant improved stability coming with the rising weight of informed investors. Beyond that, we recognize the situation that stock clear price falls below 95% confidence interval as crash event and count the number of the stock price crash events within each simulation of each different investor structure. We find that consistent with growing stability of stock clear price and return, stock price crash event number drops dramatically following the higher proportion of informed investors. These findings confirm our hypothesis that the involvement of informed investors contributes to the market stability.

Calibration of the agent-based continuous double auction stock market by scaling analysis

2014 ◽  
Vol 256 ◽  
pp. 46-56 ◽  
Author(s):  
Yuelei Li ◽  
Wei Zhang ◽  
Yongjie Zhang ◽  
Xiaotao Zhang ◽  
Xiong Xiong
Keyword(s):  
Stock Market ◽  
Double Auction ◽  
Scaling Analysis ◽  
Agent Based ◽  
Continuous Double Auction

scholarly journals INTERMITTENT BEHAVIOR INDUCED BY ASYNCHRONOUS INTERACTIONS IN A CONTINUOUS DOUBLE AUCTION MODEL

2017 ◽  
Vol 20 (02n03) ◽  
pp. 1750005
Author(s):  
KAZUTO SASAI ◽  
YUKIO-PEGIO GUNJI ◽  
TETSUO KINOSHITA
Keyword(s):  
Empirical Studies ◽  
World Market ◽  
Market Model ◽  
Double Auction ◽  
Order Restrictions ◽  
Agent Based ◽  
Auction Market ◽  
Intermittent Behavior ◽  
Continuous Double Auction ◽  
The Relationship

Continuous asynchronous trading activity is a key to understanding real-world market behavior. However, it is not easy to implement an agent-based computational market model because of the ambiguity between time and space. In this study, we use a model of asynchrony in a continuous double auction market in the form of noise and order restrictions to link inside- and outside- uncertainties in the economic system. Our model shows intermittent behavior with a small parameter value, which leads to the misapplication of the price-update rule, and consequently drives burst behavior. The statistical property of time development shows a similar tendency to that in previous empirical studies. Thus, it demonstrates the relationship between the asynchronous property and the complexity of economic systems.

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