Rosario Nunzio Mantegna: "Microstructure of a double auction market"

Interdisciplinary lecture series

Rosario Nunzio Mantegna, Professor for Applied Physics, University of Palermo

Hosted by the Department of Physics, Chair Andreas Buchleitner, in cooperation with the FRIAS Interdisciplinary Research Group „Information, Liquidity, and Trust in Incomplete Markets“ (Ernst Eberlein/ Thomas Gehrig).

Rosario Nunzio Mantegna presents some classical models of price formation developed within the framework of market microstructure, which is a discipline describing the price formation process in financial markets. The models are therefore considered as a basis for a descriptive approach based on agent based modeling. A critical discussion of potentials and limitations of agent based models is provided.