EconPapers    
Economics at your fingertips  
 

Comparing Actual and Simulated HFT Traders' Behavior for Agent Design

Masanori Hirano (), Kiyoshi Izumi (), Hiroyasu Matsushima () and Hiroki Sakaji ()
Additional contact information
Masanori Hirano: https://mhirano.jp/
Kiyoshi Izumi: http://socsim.t.u-tokyo.ac.jp

Journal of Artificial Societies and Social Simulation, 2020, vol. 23, issue 3, 6

Abstract: Recently financial markets have shown significant risks and levels of volatility. Understanding the sources of these risks require simulation models capable of representing adequately the real mechanisms of markets. In this paper, we compared data of the high-frequency-trader market-making (HFT-MM) strategy from both the real financial market and our simulation. Regarding the former, we extracted trader clusters and identified one cluster whose statistical indexes indicated HFT-MM features. We then analyzed the difference between these traders' orders and the market price. In our simulation, we built an artificial market model with a continuous double auction system, stylized trader agents, and HFT-MM trader agents based on prior research. As an experiment, we compared the distribution of the order placements of HFT-MM traders in the real and simulated financial data. We found that the order placement distribution near the market or best price in both the real data and the simulations were similar. However, the orders far from the market or best price differed significantly when the real data exhibited a wider range of orders. This indicates that in order to build more realistic simulation of financial markets, integrating fine-grained data is essential.

Keywords: Artificial Market; Multi-Agent Simulation; Data-Mining; High-Frequency Trade; Market-Making; Clustering (search for similar items in EconPapers)
Date: 2020-06-30
References: View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://jasss.soc.surrey.ac.uk/23/3/6/6.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jas:jasssj:2019-114-5

Access Statistics for this article

More articles in Journal of Artificial Societies and Social Simulation from Journal of Artificial Societies and Social Simulation
Bibliographic data for series maintained by Flaminio Squazzoni ().

 
Page updated 2021-07-15
Handle: RePEc:jas:jasssj:2019-114-5