Hostname: page-component-78c5997874-fbnjt Total loading time: 0 Render date: 2024-11-09T09:09:35.962Z Has data issue: false hasContentIssue false

Simulating Securities Markets Operations: Some Examples, Observations, and Comments

Published online by Cambridge University Press:  19 October 2009

Extract

This paper discusses the use of simulation as a means of studying the operations of securities markets. To place simulation's role in the proper context, Section I begins with a review of public policy, research, and teaching considerations that have combined in recent years to create a growing need to improve our understanding of the operations of these markets. Following this is a brief discussion of the limitations of traditional price theory models to meet this need. Section II demonstrates the significant, yet largely untapped, potential of simulation in this regard.

Type
Research Article
Copyright
Copyright © School of Business Administration, University of Washington 1970

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Baumol, William J., The Stock Market and Eoonomio Efficiency, New York: Fordham University Press, 1965, pp. 56.Google Scholar
[2]Demsetz, Harold, “The Cost of Transacting,” Quarterly Journal of Economics, February 1968, p. 35.CrossRefGoogle Scholar
[3]Niederhoffer, V., and Osborne, M. F. M., “Market Making and Reversal of the Stock Exchange,” Journal of the American Statistical Association, December 1966, pp. 897916.CrossRefGoogle Scholar
[4]Patinkin, Don, Money, Interest, and Prices, New York: Row, Peterson, 1956, Note B, pp. 377385.Google Scholar
[5]Report of Special Study of the Securities Markets of the Securities and Exchange Commission, House Document 95, 88th Cong., 1st Sess.(Washington, D.C.: Government Printing Office, 1963), part 2.Google Scholar
[6] SEC, Release No. 8661, August 4, 1969, p. 2.Google Scholar
[7]Smidt, Seymour, “A New Look at the Random Walk Hypothesis,” Journal of Financial and Quantitative Analysis, September 1968, p. 243.CrossRefGoogle Scholar
[8]Stigler, George J., “Public Regulation of the Securities Market,” Journal of Business, April 1964, pp. 117134.CrossRefGoogle Scholar
[9]Working, Holbrook, “Price Effects of Scalping and Day Trading,”Proceedings of Chicago Board of Trade Symposium, 1954, pp. 114139.Google Scholar