INTERMITTENT BEHAVIOR INDUCED BY ASYNCHRONOUS INTERACTIONS IN A CONTINUOUS DOUBLE AUCTION MODEL

Kazuto Sasai, Yukio-Pegio Gunji () and Tetsuo Kinoshita ()
Additional contact information
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

Abstract: 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)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219525917500059
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:acsxxx:v:20:y:2017:i:02n03:n:s0219525917500059

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219525917500059

Access Statistics for this article

Advances in Complex Systems (ACS) is currently edited by Frank Schweitzer

More articles in Advances in Complex Systems (ACS) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().