3,521 research outputs found
Waiting times between orders and trades in double-auction markets
In this paper, the survival function of waiting times between orders and the
corresponding trades in a double-auction market is studied both by means of
experiments and of empirical data. It turns out that, already at the level of
order durations, the survival function cannot be represented by a single
exponential, thus ruling out the hypothesis of constant activity during
trading. This fact has direct consequences for market microstructural models.
They must include such a non-exponential behaviour to be realistic.Comment: 19 pages, 3 figures, paper presented at the WEHIA 2005, Colchester,
U
The Opinion Game: Stock price evolution from microscopic market modelling
We propose a class of Markovian agent based models for the time evolution of
a share price in an interactive market. The models rely on a microscopic
description of a market of buyers and sellers who change their opinion about
the stock value in a stochastic way. The actual price is determined in
realistic way by matching (clearing) offers until no further transactions can
be performed. Some analytic results for a non-interacting model are presented.
We also propose basic interaction mechanisms and show in simulations that these
already reproduce certain particular features of prices in real stock markets.Comment: 14 pages, 5 figure
The emergence of property rights enforcement in early trade : A behavioral model without reputational effects
Original article can be found at: http://www.sciencedirect.com/ Copyright ElsevierThe present article focuses on the conditions that allow governments to increase property rights protection because they expect enough income from such action. We develop a behavioral explanation, according to which the answer lies in the growth in the importance, size and wealth of merchant guilds in the medieval era in Western Europe as well as a somewhat surprising effect of volatile price structures. We add to prior research by showing that even uncoordinated embargo pressures among multiple guilds could get medieval rulers to offer high levels of property rights protection. © 2008 Elsevier B.V. All rights reserved.Peer reviewe
Price Variations in a Stock Market With Many Agents
Large variations in stock prices happen with sufficient frequency to raise
doubts about existing models, which all fail to account for non-Gaussian
statistics. We construct simple models of a stock market, and argue that the
large variations may be due to a crowd effect, where agents imitate each
other's behavior. The variations over different time scales can be related to
each other in a systematic way, similar to the Levy stable distribution
proposed by Mandelbrot to describe real market indices. In the simplest, least
realistic case, exact results for the statistics of the variations are derived
by mapping onto a model of diffusing and annihilating particles, which has been
solved by quantum field theory methods. When the agents imitate each other and
respond to recent market volatility, different scaling behavior is obtained. In
this case the statistics of price variations is consistent with empirical
observations. The interplay between ``rational'' traders whose behavior is
derived from fundamental analysis of the stock, including dividends, and
``noise traders'', whose behavior is governed solely by studying the market
dynamics, is investigated. When the relative number of rational traders is
small, ``bubbles'' often occur, where the market price moves outside the range
justified by fundamental market analysis. When the number of rational traders
is larger, the market price is generally locked within the price range they
define.Comment: 39 pages (Latex) + 20 Figures and missing Figure 1 (sorry), submitted
to J. Math. Eco
Agent-based simulation of electricity markets: a literature review
Liberalisation, climate policy and promotion of renewable energy are challenges to players of the electricity sector in many countries. Policy makers have to consider issues like market power, bounded rationality of players and the appearance of fluctuating energy sources in order to provide adequate legislation. Furthermore the interactions between markets and environmental policy instruments become an issue of increasing importance. A promising approach for the scientific analysis of these developments is the field of agent-based simulation. The goal of this article is to provide an overview of the current work applying this methodology to the analysis of electricity markets. --
- âŠ