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Intermittent Behavior Induced By Asynchronous Interactions In A Continuous Double Auction Model

Author

Listed:
  • KAZUTO SASAI

    (Research Institute of Electrical Communication, Tohoku University, 2-1-1 Katahira, Aoba-ku, Sendai, Miyagi 980-8577, Japan)

  • YUKIO-PEGIO GUNJI

    (#x2020;Faculty of Science and Engineering, Waseda University, 3-4-1 Okubo, Shinjuku-ku, Tokyo 169-8555, Japan)

  • TETSUO KINOSHITA

    (Research Institute of Electrical Communication, Tohoku University, 2-1-1 Katahira, Aoba-ku, Sendai, Miyagi 980-8577, Japan)

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.

Suggested Citation

  • Kazuto Sasai & Yukio-Pegio Gunji & Tetsuo Kinoshita, 2017. "Intermittent Behavior Induced By Asynchronous Interactions In A Continuous Double Auction Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 20(02n03), pages 1-21, March.
    • Handle: RePEc:wsi:acsxxx:v:20:y:2017:i:02n03:n:s0219525917500059
    DOI: 10.1142/S0219525917500059
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