Abstract
| Lingua originale | English |
|---|---|
| pagine (da-a) | 71-87 |
| Rivista | Quantitative Finance |
| Volume | 5 |
| Stato di pubblicazione | Published - 2005 |
Fingerprint
All Science Journal Classification (ASJC) codes
- Finance
- Economics, Econometrics and Finance(all)
Cita questo
A Simulation Analysis of the Microstructure of an Order Driven Financial Market with Multiple Securities and Portfolio Choices. / Consiglio, Andrea; Russino, Annalisa; Lacagnina, Valerio.
In: Quantitative Finance, Vol. 5, 2005, pag. 71-87.Risultato della ricerca: Article
}
TY - JOUR
T1 - A Simulation Analysis of the Microstructure of an Order Driven Financial Market with Multiple Securities and Portfolio Choices
AU - Consiglio, Andrea
AU - Russino, Annalisa
AU - Lacagnina, Valerio
PY - 2005
Y1 - 2005
N2 - In this paper we propose an artificial market where multiple risky assets are exchanged. Agentsare constrained by the availability of resources and trade to adjust their portfolio according toan exogenously given target portfolio. We model the trading mechanism as a continuousauction order-driven market. Agents are heterogeneous in terms of desired target portfolioallocations, but they are homogeneous in terms of trading strategies. We investigate therole played by the trading mechanism in affecting the dynamics of prices, trading volumeand volatility. We show that the institutional setting of a double auction market is sufficientto generate a non-normal distribution of price changes and temporal patterns thatresemble those observed in real markets. Moreover, we highlight the role played by theinteraction between individual wealth constraints and the market frictions associatedwith a double auction system to determine the negative asymmetry of the stock returnsdistribution.
AB - In this paper we propose an artificial market where multiple risky assets are exchanged. Agentsare constrained by the availability of resources and trade to adjust their portfolio according toan exogenously given target portfolio. We model the trading mechanism as a continuousauction order-driven market. Agents are heterogeneous in terms of desired target portfolioallocations, but they are homogeneous in terms of trading strategies. We investigate therole played by the trading mechanism in affecting the dynamics of prices, trading volumeand volatility. We show that the institutional setting of a double auction market is sufficientto generate a non-normal distribution of price changes and temporal patterns thatresemble those observed in real markets. Moreover, we highlight the role played by theinteraction between individual wealth constraints and the market frictions associatedwith a double auction system to determine the negative asymmetry of the stock returnsdistribution.
KW - artificial market
KW - double auction market
KW - heterogeneous agents
KW - trading mechanism
UR - http://hdl.handle.net/10447/33274
M3 - Article
VL - 5
SP - 71
EP - 87
JO - Quantitative Finance
JF - Quantitative Finance
SN - 1469-7688
ER -