Intermittent behavior induced by asynchronous interactions in a continuous double auction model

Kazuto Sasai, Yukio Pegio Gunji, Tetsuo Kinoshita

研究成果: Article査読

1 被引用数 (Scopus)

抄録

Continuous asynchronous trading activity is a key to understanding real-world market behavior. However, it is not easy to implement an agent-based computational market model because of the ambiguity between time and space. In this study, we use a model of asynchrony in a continuous double auction market in the form of noise and order restrictions to link inside-and outside-uncertainties in the economic system. Our model shows intermittent behavior with a small parameter value, which leads to the misapplication of the price-update rule, and consequently drives burst behavior. The statistical property of time development shows a similar tendency to that in previous empirical studies. Thus, it demonstrates the relationship between the asynchronous property and the complexity of economic systems.

本文言語English
論文番号1750005
ジャーナルAdvances in Complex Systems
20
2-3
DOI
出版ステータスPublished - 2017 5 1

ASJC Scopus subject areas

  • Control and Systems Engineering

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