Arbeitspapier
Institutional achitectures and behavioural ecologies in the dynamics of financial markets: A preliminary investigation
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.
- Language
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Englisch
- Bibliographic citation
-
Series: LEM Working Paper Series ; No. 2002/24
- Classification
-
Wirtschaft
- Subject
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Evolutionary Finance
Market Institutions
Agent Based Modelling
Finanzmarkt
Wertpapierhandel
Marktmechanismus
Auktionstheorie
- Event
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Geistige Schöpfung
- (who)
-
Bottazzi, Giulio
Dosi, Giovanni
Rebesco, Igor
- Event
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Veröffentlichung
- (who)
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Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
- (where)
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Pisa
- (when)
-
2002
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bottazzi, Giulio
- Dosi, Giovanni
- Rebesco, Igor
- Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
Time of origin
- 2002
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