Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/89350 
Year of Publication: 
2002
Series/Report no.: 
LEM Working Paper Series No. 2002/24
Publisher: 
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM), Pisa
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

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