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

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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.