INTERMITTENT BEHAVIOR INDUCED BY ASYNCHRONOUS INTERACTIONS IN A CONTINUOUS DOUBLE AUCTION MODEL
Yukio-Pegio Gunji () and
Tetsuo Kinoshita ()
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Kazuto Sasai: Research Institute of Electrical Communication, Tohoku University, 2-1-1 Katahira, Aoba-ku, Sendai, Miyagi 980-8577, Japan
Yukio-Pegio Gunji: #x2020;Faculty of Science and Engineering, Waseda University, 3-4-1 Okubo, Shinjuku-ku, Tokyo 169-8555, Japan
Tetsuo Kinoshita: Research Institute of Electrical Communication, Tohoku University, 2-1-1 Katahira, Aoba-ku, Sendai, Miyagi 980-8577, Japan
Advances in Complex Systems (ACS), 2017, vol. 20, issue 02n03, 1-21
Continuous asynchronous trading activity is a key to understanding real-world market behavior. However, it is not easy to implement an agent-based computational market model because of the ambiguity between time and space. In this study, we use a model of asynchrony in a continuous double auction market in the form of noise and order restrictions to link inside- and outside- uncertainties in the economic system. Our model shows intermittent behavior with a small parameter value, which leads to the misapplication of the price-update rule, and consequently drives burst behavior. The statistical property of time development shows a similar tendency to that in previous empirical studies. Thus, it demonstrates the relationship between the asynchronous property and the complexity of economic systems.
Keywords: Continuous double auction; asynchronous trading; intermittency; multi-agent system; economic uncertainty (search for similar items in EconPapers)
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