This collection contributes to the fields of asset pricing and financial market
microstructure.
Two essays study the continuous double auction (CDA), the operating mode
of all major stock exchanges. Agent based modelling techniques are used to
observe institutional characteristics of CDA markets. Agent based modelling is
a novel computational approach, increasingly being applied to financial and
economic research. The agent based markets in this work are isolated from
artefacts of trader behaviour by employing naive agents, called zero intelligence
agents. Such primitive markets possess...