Testing Double Auction As A Component Within A Generic Market Model Architecture
Source: Munich Personal Repec Archive
Since the first multi-agents based market simulations in the nineties, many different artificial stock market models have been developed. There are mainly used to reproduce and understand real markets statistical properties such as fat tails, volatility clustering and positive auto-correlation of absolute returns. Though they share common goals, these market models are most of the time different one from another: some are based on equations, others on complex microstructures, some are synchronous, and others are asynchronous. It is hence hard to understand which characteristic of the market model used is at the origin of observed statistical properties.