A Comparison of Market Structures with Near-Zero-Intelligence Traders

X Y Li, A Krause

Research output: Chapter in Book/Report/Conference proceedingChapter

2 Citations (Scopus)

Abstract

We introduce an agent-based model featuring near-zero-intelligence traders operating in a double auction market with a wide range of trading rules governing the determination of prices, which orders are executed as well is a range of parameters regarding market intervention by market makers and the presence of informed traders. We find that our model produces properties that are commonly found in financial markets and which are robust to the trading rules employed, only in some instances the observed properties deviate significantly. We call thus conclude that the properties of returns arising in double auction markets are not very sensitive to the trading rules employed.
Original languageEnglish
Title of host publicationIntelligent Data Engineering and Automated Learning, Proceedings
EditorsE Corchado, H Yin
PublisherSpringer
Pages703-710
Number of pages8
Volume5788
ISBN (Electronic)978-3-642-04394-9
ISBN (Print)978-3-642-04393-2
DOIs
Publication statusPublished - 2009
Event10th International Conference on Intelligent Data Engineering and Automated Learning - Burgos, Spain
Duration: 23 Sep 200926 Sep 2009

Publication series

NameLecture Notes in Computer Science
PublisherSpringer

Conference

Conference10th International Conference on Intelligent Data Engineering and Automated Learning
Abbreviated title(IDEAL 2009)
CountrySpain
CityBurgos
Period23/09/0926/09/09

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