| Autor: |
Thiago W. Alves, Ionuţ Florescu, Dragoş Bozdog |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
|
| Zdroj: |
Mathematics, Vol 11, Iss 5, p 1223 (2023) |
| Druh dokumentu: |
article |
| ISSN: |
2227-7390 |
| DOI: |
10.3390/math11051223 |
| Popis: |
This paper extends previous research performed with the SHIFT financial market simulation platform. In our previous work, we show how this order-driven, distributed asynchronous, and multi-asset simulated environment is capable of reproducing known stylized facts of real continuous double auction financial markets. Using the platform, we study a pricing mechanism based on frequent batch auctions (FBA) proposed by a group of researchers from University of Chicago. We demonstrate our simulator’s capability as an environment to experiment with potential rule changes. We present the first side-by-side comparison of frequent batch auctions with a continuous double auction. We show that FBA is superior in terms of market quality measures but we also discover a potential problem in the technical implementation of FBA. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
|
|
Nepřihlášeným uživatelům se plný text nezobrazuje |
K zobrazení výsledku je třeba se přihlásit.
|
