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- W3150408048 abstract "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." @default.
- W3150408048 created "2021-04-13" @default.
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- W3150408048 date "2007-01-01" @default.
- W3150408048 modified "2023-09-26" @default.
- W3150408048 title "Waiting Times in Simulated Stock Markets" @default.
- W3150408048 hasPublicationYear "2007" @default.
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