Liquidity Drivers in Illiquid Markets: Evidence from Simulation Environments with Heterogeneous Agents

Lars Fluri (), Ahmet Ege Yilmaz, Denis Bieri, Thomas Ankenbrand and Aurelio Perucca
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Lars Fluri: Wirtschaftswissenschaftliche Fakultät, Universität Basel, Peter Merian-Weg 6, 4052 Basel, Switzerland
Ahmet Ege Yilmaz: Institut für Finanzdienstleistungen Zug IFZ, Hochschule Luzern, Suurstoffi 1, 6343 Rotkreuz, Switzerland
Denis Bieri: Institut für Finanzdienstleistungen Zug IFZ, Hochschule Luzern, Suurstoffi 1, 6343 Rotkreuz, Switzerland
Thomas Ankenbrand: Institut für Finanzdienstleistungen Zug IFZ, Hochschule Luzern, Suurstoffi 1, 6343 Rotkreuz, Switzerland
Aurelio Perucca: MARK Investment Holding AG, Splint Invest, Unter Altstadt 30, 6300 Zug, Switzerland

IJFS, 2025, vol. 13, issue 3, 1-24

Abstract: This study investigates the liquidity dynamics in non-traditional financial markets by simulating trading environments for fractional ownership of illiquid alternative investments, grounded in empirical tick data from a Swiss FinTech platform covering December 2022 to June 2024. The research translates an operational digital secondary market into a heterogeneous agent-based simulation model within the theoretical framework of market microstructure and complex systems theory. The main objective is to assess whether a simple agent-based model (ABM) can replicate empirical liquidity patterns and to evaluate how market rules and parameter changes influence simulated liquidity distributions. The findings show that (i) the simulated liquidity closely matches empirical distributions not only in mean and variance but also in higher-order moments; (ii) the ABM reproduces key stylized facts observed in the data; and (iii) seemingly simple interventions in market rules can have unintended consequences on liquidity due to the complex interplay between agent behavior and trading mechanics. These insights have practical implications for digital platform designers, investors, and regulators, highlighting the importance of accounting for agent heterogeneity and endogenous market dynamics when shaping secondary market structures.

Keywords: agent-based model; fractional ownership; liquidity dynamics; market simulation (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2025
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