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Statistical properties of agent-based models in markets with continuous double auction mechanism
Statistical properties agent-based models continuous double auction mechanism
2010/10/18
Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-base...
Response of double-auction markets to instantaneous Selling-Buying signals with stochastic Bid-Ask spread
double-auction markets stochastic Bid-Ask spread
2010/12/13
Statistical properties of double-auction markets with Bid-Ask spread in market order are investigated through the response function. We first attempt to utilize the so-called Madhavan-Richardson-Room...