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A Comparison of Market Structures with Near-Zero-Intelligence Traders

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Intelligent Data Engineering and Automated Learning - IDEAL 2009 (IDEAL 2009)

Part of the book series: Lecture Notes in Computer Science ((LNISA,volume 5788))

Abstract

We introduce an agent-based model featuring near-zero-intel-ligence traders operating in a double auction market with a wide range of trading rules governing the determination of prices, which orders are executed as well as a range of parameters regarding market intervention by market makers and the presence of informed traders. We find that our model produces properties that are commonly found in financial markets and which are robust to the trading rules employed, only in some instances the observed properties deviate significantly. We can thus conclude that the properties of returns arising in double auction markets are not very sensitive to the trading rules employed.

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Author information

Authors and Affiliations

  1. School of Management, University of Bath, Bath BA2 7AY, Great Britain

    Xinyang Li & Andreas Krause

Authors
  1. Xinyang Li
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  2. Andreas Krause
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Editor information

Editors and Affiliations

  1. Escuela Politécnica Superior, Universidad de Burgos, Calle Francisco de Vitoria, S/N, Edifico C, 09006, Burgos, Spain

    Emilio Corchado

  2. School of Electrical and Electronic Engineering, University of Manchester, Sackville Street Building, Sackville Street, M60 1QD, Manchester, UK

    Hujun Yin

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© 2009 Springer-Verlag Berlin Heidelberg

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Li, X., Krause, A. (2009). A Comparison of Market Structures with Near-Zero-Intelligence Traders. In: Corchado, E., Yin, H. (eds) Intelligent Data Engineering and Automated Learning - IDEAL 2009. IDEAL 2009. Lecture Notes in Computer Science, vol 5788. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-04394-9_86

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  • DOI: https://doi.org/10.1007/978-3-642-04394-9_86

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-04393-2

  • Online ISBN: 978-3-642-04394-9

  • eBook Packages: Computer ScienceComputer Science (R0)

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