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

Kazuto Sasai, Yukio Gunji, Tetsuo Kinoshita

    Research output: Contribution to journalArticle


    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
    Issue number2-3
    Publication statusPublished - 2017 May 1



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

    ASJC Scopus subject areas

    • Control and Systems Engineering
    • General

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