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

Kazuto Sasai, Yukio Gunji, Tetsuo Kinoshita

    Research output: Contribution to journalArticle

    Abstract

    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.

    Original languageEnglish
    Article number1750005
    JournalAdvances in Complex Systems
    Volume20
    Issue number2-3
    DOIs
    Publication statusPublished - 2017 May 1

    Fingerprint

    Economics
    Uncertainty

    Keywords

    • asynchronous trading
    • Continuous double auction
    • economic uncertainty
    • intermittency
    • multi-Agent system

    ASJC Scopus subject areas

    • Control and Systems Engineering
    • General

    Cite this

    Intermittent behavior induced by asynchronous interactions in a continuous double auction model. / Sasai, Kazuto; Gunji, Yukio; Kinoshita, Tetsuo.

    In: Advances in Complex Systems, Vol. 20, No. 2-3, 1750005, 01.05.2017.

    Research output: Contribution to journalArticle

    @article{0df261c6f3b340719845873752c794ce,
    title = "Intermittent behavior induced by asynchronous interactions in a continuous double auction model",
    abstract = "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.",
    keywords = "asynchronous trading, Continuous double auction, economic uncertainty, intermittency, multi-Agent system",
    author = "Kazuto Sasai and Yukio Gunji and Tetsuo Kinoshita",
    year = "2017",
    month = "5",
    day = "1",
    doi = "10.1142/S0219525917500059",
    language = "English",
    volume = "20",
    journal = "Advances in Complex Systems",
    issn = "0219-5259",
    publisher = "World Scientific Publishing Co. Pte Ltd",
    number = "2-3",

    }

    TY - JOUR

    T1 - Intermittent behavior induced by asynchronous interactions in a continuous double auction model

    AU - Sasai, Kazuto

    AU - Gunji, Yukio

    AU - Kinoshita, Tetsuo

    PY - 2017/5/1

    Y1 - 2017/5/1

    N2 - 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.

    AB - 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.

    KW - asynchronous trading

    KW - Continuous double auction

    KW - economic uncertainty

    KW - intermittency

    KW - multi-Agent system

    UR - http://www.scopus.com/inward/record.url?scp=85023197170&partnerID=8YFLogxK

    UR - http://www.scopus.com/inward/citedby.url?scp=85023197170&partnerID=8YFLogxK

    U2 - 10.1142/S0219525917500059

    DO - 10.1142/S0219525917500059

    M3 - Article

    VL - 20

    JO - Advances in Complex Systems

    JF - Advances in Complex Systems

    SN - 0219-5259

    IS - 2-3

    M1 - 1750005

    ER -