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The Impact of Sequential versus Parallel Clearing Mechanisms in Agent-Based Simulations of Artificial Limit Order Book Exchanges
Matej Steinbacher, Mitja Steinbacher, Matjaz Steinbacher
https://arxiv.org/abs/2509.01683

The Impact of Sequential versus Parallel Clearing Mechanisms in Agent-Based Simulations of Artificial Limit Order Book Exchanges
This study examines the impact of different computing implementations of clearing mechanisms on multi-asset price dynamics within an artificial stock market framework. We show that sequential processing of order books introduces a systematic and significant bias by affecting the allocation of traders' capital within a single time step. This occurs because applying budget constraints sequentially grants assets processed earlier preferential access to funds, distorting individual asset demand and…