Platform design for large-scale artificial market simulation and preliminary evaluation on the K computer
Platform design for large-scale artificial market simulation and preliminary evaluation on the K computer
复制标题
K计算机大规模人工市场模拟及初步评估平台设计
DOI：
10.1007/s10015-017-0368-z
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发表时间：
2017
影响因子：
0.9
通讯作者：
Yamada Kenta
中科院分区：
文献类型：
--
作者：
Torii Takuma;Kamada Tomio;Izumi Kiyoshi;Yamada Kenta
人工市场模拟有可能成为研究快速和大规模市场波动和设计金融监管的有力工具。高频交易者在一毫秒内同时交换多种资产，据说是造成快速和大幅市场波动的原因。针对如此大规模的问题，本文提出了一种用于大规模、高频人工市场模拟的软件或计算平台（Plham：/plm）。计算平台Plham能够对由各种品牌的资产和大量在短时间内进行交易的代理人组成的金融市场进行建模。Plham的设计特点是将人工市场模型（仿真模型）与其执行（执行模型）分离。这允许用户在没有并行计算专业知识的情况下定义他们的仿真模型，并选择他们需要的执行模型之一。这个计算平台提供了一个原型执行模型的并行模拟，它利用了交易者之间的交易频率的变化，也就是说，一些交易者不需要最新的信息，以毫秒为单位的市场变化。我们评估了一个原型实现的K计算机上使用多达256个计算节点。
Artificial market simulations have the potential to be a strong tool for studying rapid and large market fluctuations and designing financial regulations. High-frequency traders, that exchange multiple assets simultaneously within a millisecond, are said to be a cause of rapid and large market fluctuations. For such a large-scale problem, this paper proposes a software or computing platform for large-scale and high-frequency artificial market simulations (Plham: /plm). The computing platform, Plham, enables modeling financial markets composed of various brands of assets and a large number of agents trading on a short timescale. The design feature of Plham is the separation of artificial market models (simulation models) from their execution (execution models). This allows users to define their simulation models without parallel computing expertise and to choose one of the execution models they need. This computing platform provides a prototype execution model for parallel simulations, which exploits the variety in trading frequency among traders, that is, the fact that some traders do not require up-to-date information of markets changing in millisecond order. We evaluated a prototype implementation on the K computer using up to 256 computing nodes.
纳斯达克市场模拟 - 从复杂自适应系统科学中洞察主要市场
影响因子：
1.1
作者：
V. Darley;Alexander Outkin
通讯作者：
Alexander Outkin
K Computer：日本下一代超级计算机开发项目
DOI：
10.1109/islped.2011.5993668
发表时间：
2011
期刊：
IEEE/ACM International Symposium on Low Power Electronics and Design
影响因子：
--
作者：
M. Yokokawa;F. Shoji;Atsuya Uno;M. Kurokawa;Tadashi Watanabe
通讯作者：
Tadashi Watanabe