Heterogeneous agent-based model, artificial stock market, and secondary priority rules

Yang, Xinhui, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Ryu, Doojin and Zhang, Jie 2026. Heterogeneous agent-based model, artificial stock market, and secondary priority rules. Expert Systems with Applications , 131454. 10.1016/j.eswa.2026.131454

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Abstract

This study utilizes a heterogeneous agent-based artificial stock market to examine how secondary priority rules (SPRs) within order precedence affect stock market quality. We analyze the effectiveness of three SPRs: the time, pro-rata, and equal-sharing priority rules. We use the time priority rule as a benchmark and consider investors’ trading strategies. The pro-rata priority rule can further promote market quality by achieving more active trading, higher liquidity, and more efficient asset pricing. In contrast, the equal-sharing priority rule impairs market quality. Our results provide new evidence on the relationship between SPRs and stock market quality.

Item Type:	Article
Date Type:	Published Online
Status:	In Press
Schools:	Schools > Mathematics
Publisher:	Elsevier
ISSN:	0957-4174
Date of Acceptance:	30 January 2026
Last Modified:	10 Feb 2026 10:45
URI:	https://orca.cardiff.ac.uk/id/eprint/184577

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