scholarly journals Simple stochastic order-book model of swarm behavior in continuous double auction

2015 ◽  
Vol 420 ◽  
pp. 304-314 ◽  
Author(s):  
Shingo Ichiki ◽  
Katsuhiro Nishinari
Keyword(s):  
Stochastic Order ◽  
Double Auction ◽  
Order Book ◽  
Swarm Behavior ◽  
Continuous Double Auction

scholarly journals INVESTOR'S SENTIMENT IN MULTI-AGENT MODEL OF THE CONTINUOUS DOUBLE AUCTION

2016 ◽  
Vol 19 (06) ◽  
pp. 1650040
Author(s):  
ALEXANDER LYKOV ◽  
STEPAN MUZYCHKA ◽  
KIRILL VANINSKY
Keyword(s):  
Double Auction ◽  
Diffusion Limit ◽  
Order Book ◽  
Fair Price ◽  
Agent Model ◽  
New Information ◽  
Multi Agent ◽  
The Difference ◽  
Continuous Double Auction ◽  
Real Market

We introduce and treat rigorously a new multi-agent model of the continuous double auction or in other words the order book (OB). It is designed to explain collective behavior of the market when new information affecting the market arrives. The novel feature of the model is two additional slow changing parameters, the so-called sentiment functions. These sentiment functions measure the conception of the fair price of two groups of investors, namely, bulls and bears. Our model specifies differential equations for the time evolution of sentiment functions and constitutes a nonlinear Markov process which exhibits long-term correlations. We explain the intuition behind equations for sentiment functions and present numerical simulations which show that the behavior of our model is similar to the behavior of the real market. We also obtain a diffusion limit of the model, the Ornstein–Uhlenbeck type process with variable volatility. The volatility is proportional to the difference of opinions of bulls and bears about the fair price of a security.

Liquidity Provision and Cross Arbitrage in Continuous Double-Auction Prediction Markets

2014 ◽  
Vol 7 (3) ◽  
pp. 61-86
Author(s):  
Werner Antweiler
Keyword(s):  
Stock Market ◽  
Empirical Analysis ◽  
Double Auction ◽  
Prediction Markets ◽  
Market Maker ◽  
Micro Structure ◽  
Liquidity Provision ◽  
Novel Method ◽  
Continuous Double Auction ◽  
Bid Ask Spreads

Continuous double-auction prediction markets often exhibit low transaction volume due to substantial bid-ask spreads. This paper explores a novel method of providing artificial liquidity in continuous double-auction prediction markets by introducing an automated market maker that engages in zero-profit cross-arbitrage in multi-contract markets. Empirical analysis of observed bid-ask spreads, liquidity, offer acceptance, and order sizes in the 2008 UBC Election Stock Market provides additional new insights into the micro-structure of prediction markets. 

ON MARKET MAKER FUNCTIONS

2012 ◽  
Vol 3 (1) ◽  
pp. 61-63 ◽  
Author(s):  
Robin Hanson
Keyword(s):  
Scoring Rules ◽  
Double Auction ◽  
Market Maker ◽  
Main Function ◽  
Market Makers ◽  
Continuous Double Auction

Since market scoring rules have become popular as a form of market maker, it seems worth reviewing just what such mechanisms are intended to do.The main function performed by most market makers is to serve as an intermediary between people who prefer to trade at different times.  Traders who have the same favorite times to trade can show up together to an ordinary continuous double auction, and then make and accept offers to trade.  But when traders have different favorite times, a market maker can help them by first making offers that some of them will accept, and then later making opposite offers which others will accept.  By adjusting prices in his favor, a market maker can even profit from providing this service.

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