2002/24 LEM Working Paper Series

Institutional Architectures and Behavioural Ecologies in the Dynamics of Financial Markets: a Preliminary Investigation

Giulio Bottazzi, Giovanni Dosi, Igor Rebesco
Evolutionary Finance, Market Institutions, Agent Based Modelling.

The paper compares the properties of market dynamics, under different trading protocols. At an empirical level, we present some preliminary evidence stemming from the comparison between different intra-daily trade regimes within the world largest Stock Exchanges. Such evidence also motivates the investigation of the properties of an agent-based model under three alternatives market mechanisms, namely a Walrasian auction, a batch auction and an `order-book' double auction. The results highlight the importance of market mechanisms per se, even when holding constant the behavioural characteristics of the agents.

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