Waiting Times in Simulated Stock Markets

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dc.creatorCappellini, Alessandro
dc.creatorFerraris, Gianluigi
dc.date2008-02-22
dc.date.accessioned2026-07-07T12:05:41Z
dc.date.available2026-07-07T12:05:41Z
dc.descriptionExploiting a precise reproduction of a stock exchange, the robustness of the Continuous Double Auction (CDA) mechanism, evaluated by means of the waiting time distributions, has been proved versus 36 different set ups made by varying both the operators' behaviour and the market micro structure. The obtained results demonstrate that the CDA remains able to clear strongly different order flows, though the Milan stock exchange seemed to be a little more efficient than the NYSE under the allocative point of view, witnessing the intrinsic complexity of the stock market. The simulation has been built as an Agent Based Model in order to obtain a plausible order flow. The decisions of single agents and their interaction through the market book are realistic and reproduce some empirical analysis results. The mentioned results have been obtained either by the analysis of the complete pending time series and the same computation of the asks and bids series alone.
dc.description11 pages, 4 figures. Presented at ECCS'07. Submitted at ACS
dc.identifierhttps://arxiv.org/abs/0802.3291
dc.identifierhttp://arxiv.org/abs/0802.3291
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208440
dc.subjectTrading and Market Microstructure
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.titleWaiting Times in Simulated Stock Markets
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