Institutional Architectures and Behavioural Ecologies in the Dynamics of Financial Markets: a Preliminary Investigation

Giulio Bottazzi (), Giovanni Dosi () and Igor Rebesco

LEM Papers Series from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy

Abstract: The paper compares the properties of market dynamics, under different trading protocols. At an empirical level, we present some evidence stemming from the comparison between different intra-daily trade regimes within the world largest Stock Exchanges. Such evidence also motivates the investigation of the properties of an agent-based model under three alternatives market mechanisms, namely a Walrasian auction, a batch auction and an `order-book' double auction. The results highlight the importance of market mechanisms per se, even when holding constant the behavioural characteristics of the agents.

Keywords: Evolutionary Finance; Market Institutions; Agent Based Modelling. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-fmk
Date: Written
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Persistent link: http://EconPapers.repec.org/RePEc:ssa:lemwps:2002/24

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