Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/89350
Authors: 
Bottazzi, Giulio
Dosi, Giovanni
Rebesco, Igor
Year of Publication: 
2002
Series/Report no.: 
LEM Working Paper Series 2002/24
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.
Subjects: 
Evolutionary Finance
Market Institutions
Agent Based Modelling
Document Type: 
Working Paper

Files in This Item:
File
Size
433.59 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.