SHIFT:一个高度逼真的金融市场模拟平台

Thiago W. Alves, I. Florescu, G. Calhoun, Dragoş Bozdog
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引用次数: 0

摘要

本文提出了一种新的金融市场模拟器,可以作为工业界和学术界研究市场微观结构的工具。它允许多个自动交易者和/或研究人员同时连接到一个类似交易所的环境,在那里他们能够同时异步交易几种金融资产。在当前的迭代中,这个订单驱动的市场实现了美国股票市场的基本规则,支持市场和限价订单,并以先进先出的方式执行它们。我们概述了系统架构,并给出了可能的用例。我们演示了一组自动化代理如何能够产生具有类似于金融市场实际价格统计特征的价格过程。最后,我们详细描述了市场压力情景,并得出了我们认为有趣的关于崩盘事件的结论。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
SHIFT: A Highly Realistic Financial Market Simulation Platform
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an exchange-like environment, where they are able to asynchronously trade several financial assets at the same time. In its current iteration, this order-driven market implements the basic rules of U.S. equity markets, supporting both market and limit orders, and executing them in a first-in-first-out fashion. We overview the system architecture and we present possible use cases. We demonstrate how a set of automated agents is capable of producing a price process with characteristics similar to the statistics of real price from financial markets. Finally, we detail a market stress scenario and we draw, what we believe to be, interesting conclusions about crash events.
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