English, Article edition: WAITING TIMES IN SIMULATED STOCK MARKETS ALESSANDRO N. CAPPELLINI; GIANLUIGI FERRARIS

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Physical Description
  • article
Language
  • English

Edition details

Title
  • WAITING TIMES IN SIMULATED STOCK MARKETS
Author
  • ALESSANDRO N. CAPPELLINI
  • GIANLUIGI FERRARIS
Physical Description
  • article
Notes
  • 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.
  • Waiting times, agent-based modeling, stock market, micro structures, market architectures
  • RePEc:wsi:acsxxx:v:12:y:2009:i:02:p:195-206
Language
  • English
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