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Agent-based Simulation of Continuous Auction Market:Do Trading Mechanisms Affect Stylized Facts?

Ting Zhang

Abstract

In order to investigate whether the trading mechanism affect the stylized facts,an agent-based simulation model for continuous auction market was built,in which agents fell into fundamentalists or random traders.The model could reproduce some stylized facts such as fat tail,volatility clustering and long memory.The results support the conjecture that the emergence of those stylized facts is due to not only the trading strategies of agent,but also as a consequence of trading mechanisms themselves.

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Available abstract

Key concepts: Stylized fact, Volatility clustering, Volatility (finance), Agent-based model, Economics, Affect (linguistics), Trading strategy, Order (exchange)