Institutional Design and Evaluation of Liquidity Supply in Financial Market Using Participatory Artificial Markets

点击翻译按钮获取中文摘要

In security market, it is desirable to trade anytime. Such characteristics are called liquidity of the market. In this study, we discussed the problem of liquidity supply as institutional design problem, and an artificial market approached to the problem is taken. An artificial market system is developed to treat various trading mechanisms such as continuous auction. By gaming using the system, characteristics of the continuous auction market are studied. Further, by agent-based simulation, comparative study of market-maker system and continuous auction is carried out. The results show that the former system is advantageous in liquidity supply in thin markets.