On Market microstructures comparison through agent based model Alessandro N. Cappellini *,1,2 Gianlugi Ferraris +,2 * cappellini@econ.unito.it + ferraris@econ.unito.it 1 Multi Agent Systems Division, ISI Foundation - Torino, Italy 2 University of Turin - Torino, Italy This work aims to investigate the role of rules and architectures in aﬀecting market performances. Some researchers (Bottazzi et al., 2005; Pellizzari and Forno, 2005; LiCalzi and Pellizzari, 2006) have recently compared price dynamics of diﬀerent market protocols (Walrasian market, batch auction, continuous double auction and dealership) in agent-based artiﬁcial stock exchanges. We focusing our attention on a single market institution: the Continuous Double Auction (CDA). The CDA is one of the most common protocols applied in ﬁnancial market nowadays. In this work we investigate the eﬀects of single rules varations, inspired by real regulations. The market performance can be measured in several ways. We adopted a criteria for price stability, in order to avoid large price ﬂuctuations and reduce the volatility. Then we also consider both number of executed trades and exchanged volumes. Firstly, we introduce a comparison in ranking of incoming orders ﬂows in the book according to Price-Time-Quantity (PTQ) rule and Price-Quantity-Time rule (PQT). The Price-Quantity-Rule is used in the New York Stock Exchange 1 , meanwhile the Price-Time-Quantity rule is applied in various order-driven market like the Ital- ian Stock Exchange 2 . Secondly, we reproduce the historical evolution of the Italian stock market in last decades, introducing closing and (recently) opening auctions. We compare diﬀerent market performance where there is only continuous trading, and then we test the inﬂuence of auctions introduction. As in diﬀerent segment of Xetra we can drawing diﬀerent trading day organization, based on continuous trading with one intraday auction, or exclusively based on multiple auctions as in block market. We also investigate the eﬀect of special auctions as volatility auction and intraday auction (adopted in Johannesburg Stock Exchange), activated to face exceptional price variations. We discover some interesting statistical properties in those comparisons. E.g. the distribution of orders’ pending time (permanence in book until their execution), follows a realistic power law both with PQT and PTQ rules. Regarding the policy making, it is crucial to explore diﬀerent ”little” variations of a standard market protocol in order to obtain diﬀerent aggregate outcomes, as in terms of market participation and order size. 1 http://rules.nyse.com/ Rule 72. Priority and Precedence of Bids and Oﬀers 2 http://www.borsaitaliana.it/documenti/regolamenti/ Article 4.1.4 1