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.
Highlights
This study links intermittent behavior of economic systems and that of biological systems from the perspective of asynchronous interaction between agents
Biondo et al [7, 8] showed that the information di®usion process with small-world network yields burst behavior and concluded self-organized criticality induces the intermittent behavior of economic systems
Introducing asynchrony, we describe the openness of an economic system, which explains the evolvability of the economy
Summary
This study links intermittent behavior of economic systems and that of biological systems from the perspective of asynchronous interaction between agents. According to the discussion of Hansen, the model describing that the intermittent nature is possibly connected to the self-organized criticality focuses on the inside-uncertainty but not considers the observation as the outside-uncertainty. This problem is discussed in di®erent literature [24, 27]. We apply the notion of asynchrony between the inside and outside of a market and propose a model that shows intermittent behavior This reveals the importance of asynchrony and continuous time in understanding the complex properties of markets.
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