Chiarella, Carl; He, Xue-zhong; Pellizzari, Paolo - 2009
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 … readily incorporated into the
market microstructure of continuous double auctions, dealer and hybrid
markets. It should be …