CAPPELLINI, ALESSANDRO N.; FERRARIS, GIANLUIGI - In: Advances in Complex Systems (ACS) 12 (2009) 02, pp. 195-206
Exploiting a precise reproduction of a stock exchange, the robustness of the continuous double auction (CDA) mechanism, evaluated by means of the waiting time distributions, has been proved versus 36 different setups made by varying both the operators' behavior and the market micro structure....