Further investigation of the catallactic market model


Type Research Project

Duration Nov. 16, 2001 - May 1, 2004

  • Finance and Financial Markets AE (Former organization)

Tags

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  • Loistl, Otto (Details) Project Head
  • Veverka, Alexander (Former researcher)
  • Zwick, Harald (Former researcher)
 

Abstract (German)

Ziel des Forschungsprojektes ist die formale Abbildung verschiedener Phänomene der Kapitalmarktdynamik im Rahmen der Marktmikrostrukturtheorie. Aufbauend auf bisherige Forschungsergebnisse durch die Implementierung des Modells von Landes/ Loistl (1992) eröffnet sich ein weites Anwendungsfeld. Der Kern der formalen Annäherung an die Marktmikrostruktur wird durch einen auf einzelne Transaktionsentscheidungen der Marktteilnehmer aufbauenden Handelsprozess repräsentiert. Der Entscheidungsprozess des Agenten ist durch das conditional logit model von McFadden formalisiert. Diese formale Umsetzung dient bei folgenden Fragestellungen als Untersuchungsinstrumentarium:
Untersuchung von market impact Szenarien bei Wertpapiertransaktionen, Modellierung von Devisenmärkten als Knotenpunkt grenzüberschreitender Orderflüsse des Wertpapierhandels, Messung des Transaktionskostenprofils einzelner Handelsplattformen, Kombination des Mikrostrukturmodells mit einem Neuronalen Netzes zur Kurzfristigen Kursprognose.


Abstract (English)

The research project aims at formalizing different capital market phenomena within the framework of microstructure theory. On the basis of current research results new applications are made possible through the implementation of the model of Landes/ Loistl (1992). At the core of the formal approximation to market microstructure are single transaction decisions of market agents within the trading process. The market participants´ decision process is represented by McFadden´s conditional logit model. This formal tool is appropriate for analyzing, for instance, the following issues: determination of the securities transactions´ market impact; Modelling foreign exchange markets as centre of cross-border order flow; evaluation of different trading platforms´ transaction cost profiles; combination of microstructure model with neural network for short-term share price forecasting.

Partners

Publications

Journal article

2004 Loistl, O./Schossmann, B./Veverka, A.. 2004. Tick Size and Spreads: The Case of Nasdaq's Decimalization. European Journal of Operational Research, 155, 2, 317-334 (Details)

Chapter in edited volume

2003 Zwick, H.. 2003. Agentenbasierte Modellierung der Wechselkursbestimmung - Zur Mikrostruktur der Devisenmärkte. In: Loistl, O./Rudolf, M. (Hrsg.): Schriftenreihe Katallaktik - Quantitative Modellierung menschlicher Interaktionen auf Märkten, Band 1, Köln (Details)

Contribution to conference proceedings

2004 Zwick, H.. 2004. Catallactic Modeling of FX Markets Arbitrage. 16th International Conference on Systems Research, Informatics and Cybernetics, Baden-Baden, Germany, July (Details)
  Loistl, O./Veverka, A.. 2004. Entropy and the Capital Market's Efficiency. 16th International Conference on Systems Research, Informatics and Cybernetics, Baden-Baden, Germany, July (Details)

Paper presented at an academic conference or symposium

2005 Loistl, O., Veverka, A.. 2005. Entropy and Capital Market Efficiency. 5th Campus for Finance, Vallendar, Germany, January (Details)
  Loistl, O., Veverka, A.. 2005. The Information Content of Prices versus Values in Imperfect Markets: The Austrian Approach recast in Quantitative Terms. 36th Meeting of the EURO Working Group on Financial Modelling, Brescia, Italy, May (Details)
2004 Zwick, H. . 2004. Catallactic Modeling of FX Markets Arbitrage. 16th International Conference on Systems Research, Informatics and Cybernetics, Baden-Baden, Germany, July (Details)
  Loistl, O., Veverka, A.. 2004. Entropy and Capital Market Efficiency. 19th Workshop of the Austrian Working Group on Banking and Finance, Vienna, Austria, November (Details)
  Loistl, O., Veverka, A.. 2004. Entropy and the Capital Market's Efficiency. 16th International Conference on Systems Research, Informatics and Cybernetics, Baden-Baden, Germany, July (Details)
2003 Loistl, O./Veverka, A.. 2003. Catallactics. Towards the Unification of Different Approaches to Capital Market Modelling. 15th International Conference on Systems Research, Informatics and Cybernetics, Baden-Baden, Germany, July (Details)
  Loistl, O., Veverka, A.. 2003. Optimal Stock Market Design. Experimental Evidence from Xetra. 32nd Meeting of the EURO Working Group on Financial Modelling, London, United Kingdom, April (Details)
  Loistl, O., Veverka, A.. 2003. Optimal Stock Market Design. Experimental Evidence from Xetra. 6th Conference of the Swiss Society for Financial Market Research, Zürich/Rüschlikon, Switzerland, April (Details)
  Loistl, O., Veverka, A.. 2003. Payment for Order Flow and Smart Order Routing in a Catallactic Nasdaq Stock Market Model. 33rd Meeting of the EURO Working Group on Financial Modelling, Monaco, November (Details)
2002 Loistl, O., Veverka, A.. 2002. Tick Size Changes and Nasdaq Market Quality. 31st Meeting of the EURO Working Group on Financial Modelling, Agia Napa, Cyprus, November (Details)

Working/discussion paper, preprint

2002 Loistl, O./Veverka, A. . 2002. Optimal Stock Market Design. Experimental Evidence from Xetra. Working Paper (Details)

Classification

  • 1137 Financial mathematics (Details)
  • 5311 Public finance (Details)
  • 5347 Operations research (Details)
  • 5360 Financial mathematics (Details)

Expertise

  • catallactics
  • order book
  • market microstructure
  • conditional logit model
  • transaction costs