期刊
ADVANCES IN COMPLEX SYSTEMS
卷 20, 期 2-3, 页码 -出版社
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0219525917500059
关键词
Continuous double auction; asynchronous trading; intermittency; multi-agent system; economic uncertainty
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据