Statistical properties of agent-based models in markets with continuous double auction mechanism

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Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/51077

Title:	Statistical properties of agent-based models in markets with continuous double auction mechanism
Authors:	Tseng,JJ;Lin,CH;Lin,CT;Wang,SC;Li,SP
Contributors:	系統生物與生物資訊研究所
Keywords:	ECONOMICS;EXCHANGE;NETWORK
Date:	2010
Issue Date:	2012-03-27 18:20:45 (UTC+8)
Publisher:	國立中央大學
Abstract:	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-based prediction market platform which allows us to reconstruct transaction networks among traders From these networks, we are able to record the degree of a trader, the size of a community of traders, the transaction time interval among traders and other variables that are of interest The distributions of all these variables show power-law behavior on the other hand, agent-based models have been proposed to study the properties of real financial markets We here study the statistical properties of these agent-based model sand compare them with the results from our web-based market experiments In this work, three agent-based models are studied, namely, zero-intelligence (ZI), zero-intelligence-plus (ZIP) and Gjerstad-Dickhaut (GD). Computer simulations of variables based on these three agent-based models were carried out. We found that although being the most naive agent-based model, ZI indeed best describes the properties observed in real markets Our study suggests that the basic ingredient to produce the observed properties from real world markers could in fact be the result of a Continuously evolving dynamical system with basic features similar to the ZI model (C) 2009 Elsevier B.V All rights reserved.
Relation:	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Appears in Collections:	[Institute of Systems Biology and Bioinformatics] journal & Dissertation

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