Comparing Actual and Simulated HFT Traders' Behavior for Agent Design
Comparing Actual and Simulated HFT Traders' Behavior for Agent Design
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比较实际和模拟高频交易者的行为以进行代理设计
DOI：
10.18564/jasss.4304
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发表时间：
2020
期刊：
影响因子：
--
通讯作者：
Hiroki Sakaji
中科院分区：
文献类型：
--
作者：
Masanori Hirano;K. Izumi;Hiroyasu Matsushima;Hiroki Sakaji
最近，金融市场显示出巨大的风险和波动程度。了解这些风险的来源需要能够充分代表市场真实机制的模拟模型。在本文中，我们比较了来自真实金融市场和模拟的高频交易者做市（HFT-MM）策略的数据。针对前者，我们提取了交易者集群，并确定了一个统计指标具有HFT-MM特征的集群。然后我们分析了这些交易者的订单与市场价格之间的差异。在我们的模拟中，我们根据先前的研究构建了一个人工市场模型，其中包含连续的双重拍卖系统、程式化的交易者代理和 HFT-MM 交易者代理。作为实验，我们比较了真实和模拟金融数据中 HFT-MM 交易者的下单分布。我们发现，真实数据和模拟中接近市场或最佳价格的下单分布是相似的。然而，当真实数据表现出更广泛的订单范围时，远离市场或最佳价格的订单存在显着差异。这表明，为了建立更真实的金融市场模拟，整合细粒度数据至关重要。
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-tradermarket-making (HFT-MM) strategy from both the real financialmarket andour simulation. Regarding the former,weextracted trader clusters and identified one cluster whose statistical indexes indicated HFT-MM features. We then analyzed the di erence between these traders’ orders and themarket 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 di ered 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.
K计算机大规模人工市场模拟及初步评估平台设计
影响因子：
0.9
作者：
Torii Takuma;Kamada Tomio;Izumi Kiyoshi;Yamada Kenta
通讯作者：
Yamada Kenta