Auction Market System in Electronic Security Trading Platform

Li, Xi Hao (2012): Auction Market System in Electronic Security Trading Platform.

Abstract

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
• Language: English
• 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, Pricing, and Design

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