Li, Xi Hao (2012): Auction Market System in Electronic Security Trading Platform.
Download (601Kb) | Preview
Under the background of the electronic security trading platform Xetra operated by Frankfurt Stock Exchange, we consider the Xetra auction market system (XAMS) from `bottom-up', which the interaction among heterogeneous traders and Xetra auction market mechanism generates non-equilibrium price dynamics. First we develop an integrative framework that serves as general guidance for analyzing the economic system from `bottom-up' and for seamlessly transferring the economic system into the corresponding agent-based model. Then we apply this integrative framework to construct the agent-based model of XAMS. By conducting market experiments with the computer implementation of the agent-based model of XAMS, we investigate the role of the price setter who assumes its trading behavior can manipulate the market price. The main finding is that the introduction of the price setter in the setting of XAMS improves market efficiency while does not significantly influence price volatility of the market.
|Item Type:||MPRA Paper|
|Original Title:||Auction Market System in Electronic Security Trading Platform|
|English Title:||Auction Market System in Electronic Security Trading Platform|
|Keywords:||agent-based modelling, computational market experiment, electronic security trading platform, Xetra, non-equilibrium priced ynamics, automatic trading|
|Subjects:||C - Mathematical and Quantitative Methods > C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
C - Mathematical and Quantitative Methods > C9 - Design of Experiments
G - Financial Economics > G1 - General Financial Markets
D - Microeconomics > D5 - General Equilibrium and Disequilibrium
D - Microeconomics > D6 - Welfare Economics
B - History of Economic Thought, Methodology, and Heterodox Approaches > B4 - Economic Methodology
D - Microeconomics > D4 - Market Structure and Pricing
|Depositing User:||Xi Hao Li|
|Date Deposited:||09. Dec 2012 20:08|
|Last Modified:||22. Feb 2013 15:57|
Bertalanffy, L. v. (1993). General system theory. New York: Braziller, revised edition, 11. print. ed.
Blaha, M. & Rumbaugh, J. (2004). Object-Oriented Modeling and Design with UML. Prentice Hall, second edition ed.
Das, S. (2003). Intelligent market-making in artificial financial markets. Mas- ter’s thesis, Massachusetts Institute of Technology.
Domowitz, I. . & Yegerman, H. (2005). The cost of algorithmic trading: A first look at comparative performance. In: Algorithmic Trading: Precision, Control, Execution (Brian R. Bruce, P. A. M., ed.).
Gruppe Deutsche Bo¨rse (2003). The market model stock trading for Xetra. Frankfurt a. M.
LeBaron, B. (2006). Agent-based computational finance. In: Handbook of Computational Economics, Vol. 2: Agent-Based Computational Economics. (Tesfatsion, L. S. & Judd, K. L., eds.), Handbooks in Economics Series, chap. 9. North-Holland.
Li, X. (2010). Microeconomic Foundation of Investment Decisions for Elec- tronic Security Trading Systems. Ph.D. thesis, Bielefeld Graduate School of Economics and Management, Bielefeld University.
Merton, R. C. (1992). Continuous-Time Finance. Blackwell.
NYSE Euronext (2010). Euronext Rule Book - Book I.
Pindyck, R. & Rubinfeld, D. (2001). Microeconomics. Prentice Hall, 5th edition ed.
Potts, J. (2000). The new evolutionary microeconomics. New horizons in institutional and evolutionary economics. Elgar.
Russell, S. J. & Norvig, P. (2003). Artificial intelligence, a Modern Ap- proach. Prentice Hall series in artificial intelligence. Prentice Hall, 2. ed. ed.
Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19(3), 425–442.
Tesfatsion, L. S. (2006). Agent-based computational economics: A contructive approach to economic theory. In: Handbook of Computational Economics, Vol. 2: Agent-Based Computational Economics (Tesfatsion, L. S. & Judd, K. L., eds.). North-Holland.