SIMULATION OF SIMPLE RANDOM DOUBLE AUCTION J.

Bujokas1 (presenter)
1

Vilnius University, Physics Faculty J.Bujokas@post.skynet.lt

A random double auction is a usual model, used to describe econophysical systems [1, 2]. We numerically model a simple, completely random double auction with one type of shares and with many agents, who have equal (unitary) wealth. Later we introduce a system, having agents with particular wealth distribution (uniform or Levy). We observe the price variations in different cases and calculate different characteristics of the process: distributions, autocorrelation coefficients, Allan variances (useful information about which can be found in [3]) for price-change series. We find that price-changes for long time intervals is normally distributed as central limit theorem predicts. However, we find that price-change distribution tends to be exponential for short time scales. This fact relates our model with real markets, because price-change distributions are usually found to be exponentially truncated in reality [4]. We observe differences in Allan variance for different wealth distributions and find that in unitary wealth model Allan variance time dependence shows a Gaussian process clearly. However, for non-unitary wealth model variance curve becomes more complex, which again indicates, that process for short time scales is non-Gaussian (it is generally agreed that price-change statistics is non-Gaussian [4]). While observing autocorrelations, we find that for short times price-changes are slightly anticorrelated for all types of agent distributions, which is again apparent in real markets [4]. In conclusion, we claim that even a completely random double auction model has significant features typical of real markets and is a subject of further development.
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