This paper studies the role of the order book market mechanism in shaping price
movements and the order flow in a zero-intelligence agent model of a dynamic limit-order …

This paper studies the performance of four market protocols with regard to allocative
efficiency and other performance criteria such as volume or volatility. We examine batch …

The moment of order submission plays an important role for the trading outcome in a
Continuous Double Auction; submitting an offer at the beginning of the trading period may …

This paper studies the consequences of removing the resampling assumption from the zero-
intelligence trading model in Gode and Sunder (1993). We obtain three results. First …

This paper investigates the question of how much sophisticated in behavior and intelligence
artificial traders need to be in order to replicate both qualitative and quantitative stylized facts …

Financial markets belong to the class of things that sound to be simple, but that are indeed
very complicated. They are dynamic systems made up of a large number of economic …

Exploiting a precise reproduction of a stock exchange, the robustness of the continuous
double auction (CDA) mechanism, evaluated by means of the waiting time distributions, has …

This paper studies the continuous double auction from the point of view of market
engineering: we tweak a resampling rule often used for this exchange protocol and search …

The evaluation of an exchange market is a multi-faceted problem. An important criterion is
the ability to achieve allocative efficiency. Gode and Sunder (1993) shows that a continuous …

Random graphs have been of interest since the seminal papers of Erdos and Rényi (1960,
1961). In these papers the random graph is introduced and phase transitions are derived as …