A double auction based mathematical market model and heuristics for internet-based secondhand durable good markets

2019 ◽  
Vol 111 ◽  
pp. 116-129 ◽  
Author(s):  
Ali Haydar Özer
Keyword(s):  
Market Model ◽  
Double Auction ◽  
Durable Good

Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective

2019 ◽  
Vol 18 (02) ◽  
pp. 695-715 ◽  
Author(s):  
Ruwei Zhao ◽  
Xiong Xiong ◽  
Dehua Shen ◽  
Wei Zhang
Keyword(s):  
Confidence Interval ◽  
Institutional Investors ◽  
Stock Price ◽  
Market Model ◽  
Crash Risk ◽  
Double Auction ◽  
Agent Based ◽  
Auction Market ◽  
Improved Stability ◽  
Continuous Double Auction

Multiple studies presume the institutional investors to be informed investors. However, some reports argue that this view is still under debate. In this paper, to avoid the informed investors proxy bias caused by the institutional investors, we construct an agent-based continuous double auction stock market model with both informed and uninformed investors and examine whether stock price crash risk can be affected by the change of investor structure. In particular, we employ four types of investor structures by gradually increasing percentage adjustments of informed investors from 20%, 40%, 60% to 80% within the market. We find that stock clear price and return show significant improved stability coming with the rising weight of informed investors. Beyond that, we recognize the situation that stock clear price falls below 95% confidence interval as crash event and count the number of the stock price crash events within each simulation of each different investor structure. We find that consistent with growing stability of stock clear price and return, stock price crash event number drops dramatically following the higher proportion of informed investors. These findings confirm our hypothesis that the involvement of informed investors contributes to the market stability.

scholarly journals INTERMITTENT BEHAVIOR INDUCED BY ASYNCHRONOUS INTERACTIONS IN A CONTINUOUS DOUBLE AUCTION MODEL

2017 ◽  
Vol 20 (02n03) ◽  
pp. 1750005
Author(s):  
KAZUTO SASAI ◽  
YUKIO-PEGIO GUNJI ◽  
TETSUO KINOSHITA
Keyword(s):  
Empirical Studies ◽  
World Market ◽  
Market Model ◽  
Double Auction ◽  
Order Restrictions ◽  
Agent Based ◽  
Auction Market ◽  
Intermittent Behavior ◽  
Continuous Double Auction ◽  
The Relationship

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.

Subjective Time Preference and Willingness to Pay for an Energy-Saving Durable Good

2001 ◽  
Vol 32 (3) ◽  
pp. 133-141 ◽  
Author(s):  
Gerrit Antonides ◽  
Sophia R. Wunderink
Keyword(s):  
Willingness To Pay ◽  
Energy Saving ◽  
Subjective Time ◽  
Durable Good ◽  
Discount Function ◽  
Hyperbolic Discount ◽  
The One ◽  
Two Parameter ◽  
Difference Effect ◽  
Better Than

Summary: Different shapes of individual subjective discount functions were compared using real measures of willingness to accept future monetary outcomes in an experiment. The two-parameter hyperbolic discount function described the data better than three alternative one-parameter discount functions. However, the hyperbolic discount functions did not explain the common difference effect better than the classical discount function. Discount functions were also estimated from survey data of Dutch households who reported their willingness to postpone positive and negative amounts. Future positive amounts were discounted more than future negative amounts and smaller amounts were discounted more than larger amounts. Furthermore, younger people discounted more than older people. Finally, discount functions were used in explaining consumers' willingness to pay for an energy-saving durable good. In this case, the two-parameter discount model could not be estimated and the one-parameter models did not differ significantly in explaining the data.

Contract institutions in the Russian economy: The sphere of state, municipal, and regulated procurement

2017 ◽  
pp. 93-110 ◽  
Author(s):  
O. Anchishkina
Keyword(s):  
Economic Growth ◽  
Theoretical Model ◽  
Market Structure ◽  
Market Equilibrium ◽  
Statistical Evidence ◽  
Market Model ◽  
Market Behavior ◽  
Database Analysis ◽  
Russian Economy ◽  
Contracting Model

The article synthesizes information on database analysis of state, municipal, and regulated procurement through which Russian contract institutions and the market model are investigated. The inherent uncertainty of quantity indicators on contracting activities and process is identified and explained. The article provides statistical evidence for heterogeneous market structure in state and municipal procurement, and big player’s dominance. A theoretical model for market behavior, noncooperative competition and collusion is proposed, through which the major trends are explained. The intrinsic flaws and failure of the current contracting model are revealed and described. This ineffectiveness is regarded to be not a limitation, but a challenge to be met. If responded to, drivers for economic growth and market equilibrium will be switched on.

DEVELOPMENT OF A SYSTEM FOR ASSESSING THE EFFECTIVENESS OF THE USE OF STATE RESOURCES TO CREATE A NATIONAL INNOVATION SYSTEM AS A FACTOR IN INCREASING THE STATE'S ECONOMIC SECURITY

2020 ◽  
pp. 185-197
Author(s):  
Anatoliy B. Yaroshchuk ◽  
Keyword(s):  
Mixed Model ◽  
System Analysis ◽  
Innovation System ◽  
Developed Countries ◽  
Economic Security ◽  
Innovation Systems ◽  
National Innovation System ◽  
Market Model ◽  
National Innovation Systems ◽  
Public Resources

The article considers the current and future systems for assessing the effectiveness of the use of state resources to create a national innovation system as a factor in improving the economic security of the state, the author develops a methodological approach to assessing the effectiveness of the use of state resources to create a national innovation system. The cyclical development of the world economy in the conditions of globalization is connected, first of all, with the change of technological structures, as well as with the provision of competitiveness for all levels of economic management. In the domestic and foreign economic literature, there is an idea of the national innovation system, which covers all types of economic objects in the country with innovations, increasing their competitiveness, and, thus, the national economy as a whole, and also directly affects the increase in the level of economic security of the country. Most developed countries and many developing countries have already established or are in the process of establishing their national innovation systems, built either on the basis of models already known and tested in other countries, or new, unique models for building innovation systems. The differences between these models of creation of national innovation systems of different countries are, both in the levels of economic objects, which are the basis of innovative breakthrough, and in the degree of use of public resources: "centralized model", based on public resources, or "market model", or a mixed model of "public-private partnership". These issues are the basis for consideration of the presented article. The methodological basis for writing the article was modern scientific research methods, including: dialectical method, method of system analysis, methods of analogy, comparative analysis, expert methods, structural-functional and normative approaches.

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