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Bottazzi, Giulio
Dosi, Giovanni
Rebesco, Igor
Year of Publication: 
Series/Report no.: 
LEM Working Paper Series 2002/24
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.
Evolutionary Finance
Market Institutions
Agent Based Modelling
Document Type: 
Working Paper

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