Waiting Times in Simulated Stock Markets

Alessandro Cappellini () and Gianluigi Ferraris

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Waiting times; Agent Based Modeling; Stock Market; Micro structures; Market Architectures (search for similar items in EconPapers)
JEL-codes: C15 D53 (search for similar items in EconPapers)
Date: 2007-12
New Economics Papers: this item is included in nep-cmp and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Waiting Times in Simulated Stock Markets (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:7324

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