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

Kazuto Sasai*, Yukio Pegio Gunji, Tetsuo Kinoshita

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


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


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

ASJC Scopus subject areas

  • Control and Systems Engineering


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