摘要翻译：
利用一个证券交易所的精确再现，通过等待时间分布来评价连续双重拍卖(CDA)机制的鲁棒性，并与改变经营者行为和市场微观结构的36种不同设置进行了比较。结果表明，尽管从配置角度来看，米兰证券交易所似乎比纽约证券交易所更有效率，但CDA仍然能够很好地清除不同的订单流，见证了股票市场内在的复杂性。为了获得一个合理的订单流，仿真被建立为一个基于Agent的模型。通过市场书得出的单个代理人的决策及其相互作用具有现实性，并再现了一些实证分析结果。上述结果是通过对完全待定时间序列的分析和单独对请求和出价序列的相同计算得到的。
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英文标题：
《Waiting Times in Simulated Stock Markets》
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作者：
Alessandro Cappellini, Gianluigi Ferraris
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  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 set ups made by varying both the operators' behaviour and the market micro structure. The obtained results demonstrate that the CDA remains able to clear strongly different order flows, though the Milan stock exchange seemed to be a little more efficient than the NYSE under the allocative point of view, witnessing the intrinsic complexity of the stock market. The simulation has been built as an Agent Based Model in order to obtain a plausible order flow. The decisions of single agents and their interaction through the market book are realistic and reproduce some empirical analysis results. The mentioned results have been obtained either by the analysis of the complete pending time series and the same computation of the asks and bids series alone.
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PDF链接：
https://arxiv.org/pdf/0802.3291