Otto Loistl

Capital Market Microstructure Modelling

The former Institute for Investmentbanking and Catallactic has been strongly engaged in research programmes covering the field of capital market microstructure, not only by archiving and teaching existing information on the topic but especially by coming up with own ideas and instruments. These efforts are reflected by the development of a computer-based simulation tool, named KapSyn. 

The KapSyn Programme is capable of modelling the microstructure of any stock exchange and is mainly used to estimate the transaction costs depending on the input of capital market microstructure parameters. The model can also be used when trying to analyse the effects of capital market regulation in particular concerning the flow of information. So far the XETRA- and NASDAQ-microstrucures have been implemented in this model.

The KapSyn Model has been developed by Otto Loistl and Thomas Landes. The programming of the software has been carried out by Otto Loistl and Olaf Vetter. The basic idea of the KapSyn-Modell is explained by the paper of Landes/Loistl, which is also available for download.

Unrestricted available:

• User-Handbook (Release 3.01 / Jan. 2000) [0,9 MB]

• Landes/Loistl (Basic Reading) [1,3 MB]

Publications referring to KapSyn

• Loistl, O./Schossmann, B./Veverka, A., Tick Size and Spreads: The Case of Nasdaq's Decimalization., European Journal of Operational Research, Vol. 155, Nr. 2, S. 317-334, 2004.

• Loistl, O./Schossmann, B./Vetter, O./Veverka, A., A Comparison of Transaction Costs on Xetra and on Nasdaq. Quantitative Finance, Vol. 2, No. 3, S. 199-216, 2002

• Loistl, O. / Schossmann, B. / Vetter, O., XETRA Efficiency Evaluation and NASDAQ Modelling by KapSyn. European Journal of Operation Research (EJOR) - Feature Issue Financial Modelling, Vol. 135, Nr. 2, S. 270-295, 2001

Market Study on KapSyn

• Reinhart, S., Marktstudie zum Aktienkursprognose- und Transaktionskostenberechnungstool KapSyn, Wien, 2002 (German only). Befragt wurden deutsche und österreichische Fondsmanager, Aktienanalysten und Trader zu den Einsatzmöglichkeiten des KapSyn-Programms zu Aktienkursprognosen und zur Transaktionskostensteuerung.

Working/Discussion Paper

• Loistl, O./Veverka, A., An Integration of Current Markets’ Microstructure Results into a Consistent Picture, Catallactic Modelling of Capital Markets' Micro Structure, 2004; presented at the 34th meeting of the Euro Working Group on Financial Modeling held at Paris 13-15 May 2004. Abstract; Paper

• Loistl, O./Vetter, O./Veverka, A., The Xetra Designated Sponsor's Role in Liquid and Non-Liquid Markets., 2002.

• Kührer, M./Loistl, O./Veverka, A., A Holistic Approach to Portfolio Management. Working Paper, 2001

Symposia referring to Catallactics

• InterSymp2006

• InterSymp2005

• InterSymp2004

• InterSymp2003