Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 29, 2014 erstellt
Description:
Under the background of the electronic security trading platform Xetra operated by Frankfurt Stock Exchange, we consider the Xetra auction market system (XAMS) from 'bottom-up', which the interaction among heterogeneous traders and Xetra auction market mechanism generates non-equilibrium price dynamics. We construct the corresponding agent-based model of XAMS and conduct market experiments with the Monte Carlo computer simulation. Then we investigate the role of the price setter who assumes its trading behavior can manipulate the market price. The main finding is that the introduction of the price setter in the setting of XAMS improves market efficiency while does not significantly influence price volatility of the market