SHIFT: A Highly Realistic Financial Market Simulation Platform
Abstract
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.
Cite
@article{arxiv.2002.11158,
title = {SHIFT: A Highly Realistic Financial Market Simulation Platform},
author = {Thiago W. Alves and Ionut Florescu and George Calhoun and Dragos Bozdog},
journal= {arXiv preprint arXiv:2002.11158},
year = {2020}
}
Comments
To be presented at the 6th International Symposium in Computational Economics and Finance in Paris, October 29-31, 2020