  Exploiting a precise reproduction of a stock exchange, the robustness of the
Continuous Double Auction (CDA) mechanism, evaluated by means of the waiting
time distributions, has been proved versus 36 different set ups made by varying
both the operators' behaviour and the market micro structure. The obtained
results demonstrate that the CDA remains able to clear strongly different order
flows, though the Milan stock exchange seemed to be a little more efficient
than the NYSE under the allocative point of view, witnessing the intrinsic
complexity of the stock market. The simulation has been built as an Agent Based
Model in order to obtain a plausible order flow. The decisions of single agents
and their interaction through the market book are realistic and reproduce some
empirical analysis results. The mentioned results have been obtained either by
the analysis of the complete pending time series and the same computation of
the asks and bids series alone.
