A comparison of different trading protocols in an agent-based market
Paolo Pellizzari and
Arianna Dal Forno
Additional contact information
Arianna Dal Forno: Dept. of Applied Mathematics
Computational Economics from University Library of Munich, Germany
Abstract:
We compare price dynamics of different market protocols (batch auction, continuous double auction and dealership) in an agent-based artificial exchange. In order to distinguish the effects of market architectures alone, we use a controlled environment where allocative and informational issues are neglected and agents do not optimize or learn. Hence, we rule out the possibility that the behaviour of traders drives the price dynamics. Aiming to compare price stability and execution quality in broad sense, we analyze standard deviation, excess kurtosis, tail exponent of returns, volume, perceived gain by traders and bid-ask spread. Overall, a dealership market appears to be the best candidate in this respect, generating low volume and volatility, virtually no excess kurtosis and high perceived gain.
Keywords: Artificial markets; Agent-based models; Microstructural architectures (search for similar items in EconPapers)
JEL-codes: C8 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2005-11-04
New Economics Papers: this item is included in nep-fmk
Note: Type of Document - pdf; pages: 20. Pdf file, 20 pages, produced using LaTex and TeXShop on a Mac
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/comp/papers/0511/0511001.pdf (application/pdf)
Related works:
Journal Article: A comparison of different trading protocols in an agent-based market (2007) 
Working Paper: A comparison of different trading protocols in an agent-based market (2006) 
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:wpa:wuwpco:0511001
Access Statistics for this paper
More papers in Computational Economics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).