An agent based model of the E-Mini S&P 500 applied to flash crash analysis
An agent based model of the E-Mini S&P 500 applied to flash crash analysis
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基于代理的 E-Mini S 模型
DOI：
10.2139/ssrn.1932152
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
W. Scherer
中科院分区：
文献类型：
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作者：
M. Paddrik;Roy Hayes;Andrew Todd;Steve Y. Yang;P. Beling;W. Scherer
我们提出了一个基于零智能代理的E-Mini S&P 500期货市场模型，该模型允许对市场微观结构进行仔细研究。几类代理的特点是他们的订单速度和订单放置在限制订单簿。这些代理人的订单以与真实的世界参与率一致的方式填充模拟市场。通过对单独的交易类进行建模，模拟能够捕捉类之间的交互，这对于重现市场现象至关重要。模拟市场的价格回报和波动性的实证观察特征进行验证。因此，我们的结论是，我们的基于代理的仿真模型可以准确地捕捉最近的几个月E-Mini S&P 500期货市场的关键特征。此外，为了说明模拟的适用性，进行了实验，证实了2010年5月6日闪电崩盘原因的主要假设。
We propose a zero-intelligence agent-based model of the E-Mini S&P 500 futures market, which allows for a close examination of the market microstructure. Several classes of agents are characterized by their order speed and order placement within the limit order book. These agents' orders populate the simulated market in a way consistent with real world participation rates. By modeling separate trading classes the simulation is able to capture interactions between classes, which are essential to recreating market phenomenon. The simulated market is validated against empirically observed characteristics of price returns and volatility. We therefore conclude that our agent based simulation model can accurately capture the key characteristics of the nearest months E-Mini S&P 500 futures market. Additionally, to illustrate the applicability of the simulation, experiments were run, which confirm the leading hypothesis for the cause of the May 6th 2010 Flash Crash.