Waiting Times in Simulated Stock Markets

Details Waiting Times in Simulated Stock Markets Waiting Times in Simulated Stock Markets

2008-02-22

arxiv.org/abs/0802.3291v1

Economy

Quantitative Finance

Trading and Market Microstructure

11 pages, 4 figures. Presented at ECCS'07. Submitted at ACS

Scientific paper

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 set ups made by varying both the operators' behaviour and the market micro structure. The obtained results demonstrate that the CDA remains able to clear strongly different order flows, though the Milan stock exchange seemed to be a little more efficient than the NYSE under the allocative point of view, witnessing 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 and the same computation of the asks and bids series alone.

Affiliated with

Also associated with

No associations

Rating

Waiting Times in Simulated Stock Markets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Waiting Times in Simulated Stock Markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Waiting Times in Simulated Stock Markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-303237