17,384 research outputs found
Waiting Times in Simulated Stock Markets
Exploiting 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.Waiting times; Agent Based Modeling; Stock Market; Micro structures; Market Architectures
Waiting Times in Simulated Stock Markets
Exploiting 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.Comment: 11 pages, 4 figures. Presented at ECCS'07. Submitted at AC
Train schedule coordination at an interchange station through agent negotiation
In open railway markets, coordinating train schedules at an interchange station requires negotiation between two independent train operating companies to resolve their operational conflicts. This paper models the stakeholders as software agents and proposes an agent negotiation model to study their interaction. Three negotiation strategies have been devised to represent the possible objectives of the stakeholders, and they determine the behavior in proposing offers to the proponent. Empirical simulation results confirm that the use of the proposed negotiation strategies lead to outcomes that are consistent with the objectives of the stakeholders
"Market making" behaviour in an order book model and its impact on the bid-ask spread
It has been suggested that marked point processes might be good candidates
for the modelling of financial high-frequency data. A special class of point
processes, Hawkes processes, has been the subject of various investigations in
the financial community. In this paper, we propose to enhance a basic
zero-intelligence order book simulator with arrival times of limit and market
orders following mutually (asymmetrically) exciting Hawkes processes. Modelling
is based on empirical observations on time intervals between orders that we
verify on several markets (equity, bond futures, index futures). We show that
this simple feature enables a much more realistic treatment of the bid-ask
spread of the simulated order book.Comment: 17 pages, 9 figure
Mixtures of compound Poisson processes as models of tick-by-tick financial data
A model for the phenomenological description of tick-by-tick share prices in
a stock exchange is introduced. It is based on mixtures of compound Poisson
processes. Preliminary results based on Monte Carlo simulation show that this
model can reproduce various stylized facts.Comment: 12 pages, 6 figures, to appear in a special issue of Chaos, Solitons
and Fractal
Financial correlations at ultra-high frequency: theoretical models and empirical estimation
A detailed analysis of correlation between stock returns at high frequency is
compared with simple models of random walks. We focus in particular on the
dependence of correlations on time scales - the so-called Epps effect. This
provides a characterization of stochastic models of stock price returns which
is appropriate at very high frequency.Comment: 22 pages, 8 figures, 1 table, version to appear in EPJ
Compensating asynchrony effects in the calculation of financial correlations
We present a method to compensate statistical errors in the calculation of
correlations on asynchronous time series. The method is based on the assumption
of an underlying time series. We set up a model and apply it to financial data
to examine the decrease of calculated correlations towards smaller return
intervals (Epps effect). We show that this statistical effect is a major cause
of the Epps effect. Hence, we are able to quantify and to compensate it using
only trading prices and trading times.Comment: 13 pages, 7 figure
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