4.1 Article

INTERMITTENT BEHAVIOR INDUCED BY ASYNCHRONOUS INTERACTIONS IN A CONTINUOUS DOUBLE AUCTION MODEL

Journal

ADVANCES IN COMPLEX SYSTEMS
Volume 20, Issue 2-3, Pages -

Publisher

WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0219525917500059

Keywords

Continuous double auction; asynchronous trading; intermittency; multi-agent system; economic uncertainty

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Continuous asynchronous trading activity is a key to understanding real-world market behavior. However, it is not easy to implement an agent-based computational market model because of the ambiguity between time and space. In this study, we use a model of asynchrony in a continuous double auction market in the form of noise and order restrictions to link inside- and outside- uncertainties in the economic system. Our model shows intermittent behavior with a small parameter value, which leads to the misapplication of the price-update rule, and consequently drives burst behavior. The statistical property of time development shows a similar tendency to that in previous empirical studies. Thus, it demonstrates the relationship between the asynchronous property and the complexity of economic systems.

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