Chiarella, Carl; He, Xue-Zhong; Pellizzari, Paolo - Finance Discipline Group, Business School - 2009
a) model, this paper conducts a dynamic analysis of a microstructure model of continuous double auctions in which the … Hommes (CHH)
(2006a) model, this paper conducts a dynamic analysis of a mi-
crostructure model of continuous double auctions …
microstructure have a role.
Key Words: microstructure model, continuous double auctions,
heterogeneous agents, stylized facts
JEL …