On Markets Structures and others Sights… Working Index. Alessandro Cappellini September 30 th 2005

Index Introduction Markets and models Humans Experiments and Policy Rules Investigate traders behaviours: surveys and experiments Simulating some more cognitivism and realism in models A quantitative perspective AEM: an electric market model Conclusions

Introduction The main aim of this work, is to line the experiences collected from the master thesis, a stock market experiment, during the Ph.D. program. The knowledge obtained is large, starting from practice in simulation and coding, enlarging literature familiarity, cooperation with other discipline with a general enrichment and awareness. The thesis is basically a collection of heterogeneous and heterodox works on financial markets.

Markets and models A brief review of literature on markets (what they are, which forces move them), traders (definition and classifications) and stylised facts (bubbles, speculations). A brief description on methods used: ACE models.

Humans Experiments and Policy Rules The chapter is mainly based on the paper presented in ESA conference held in Alessandria, about market manipulation. There will be a description of regulations against manipulation (EU directive) and a description of some behaviours in SumWEB experiment. Taking idea from these facts, me, Enrico Scalas (University of Eastern Piedmont), Michael Kirchler and Juergen Huber (University of Innsbruck) started in regulation analysis/comparisons on different stock markets. Early results could be ready in spring 2006.

Investigate traders behaviours: surveys and experiments During the month of October 2005 a set of questionnaires will be filled by a group of skilled people and by students. During October/November a survey/experiment will be published on the internet. There will be resumed the results, collected and analysed with Enrico Rubaltelli (University of Modena and Reggio Emilia) and A.I.Fin.C. (Italian Association of Behavioural Finance).

Simulating some more cognitivism and realism in models In this chapter we present some application of what we presented before. The major feature could be the exploration of some concept as “news” and “information” in markets. A research will be developed with Gianluigi Ferraris (University of Turin). We aim at designing first a social “learning” and communication (Memetics) then a personal learning (Genetics Algorithms), investigating differences, similitude and interactions between the cognitive layers.

A quantitative perspective In this chapter I would like to collect what will be developed at ISI, mainly with Sorin Solomon (Hebrew University of Jerusalem) Lev Muchnick (Bar-Ilan University), Gilles Daniles (University of Manchester) A core could be represented by the presentation will be hold in Econophysics Colloquium in Canberra in November 2005.

AEM: an electric market model With Paolo Mezzera (SIET) we would like to model the auctions system of Italian Power Exchange Market (IPEX) and then new Block Italian Power Exchange Market (BIPEX). This is a quite different field application, in a non financial market with different constrain (time to deliver goods, types of auctions), but in which could be used financial techniques and the experience of past works.