Related papers: How Traders enter the Market through the Book
Market makers play a key role in financial markets by providing liquidity. They usually fill order books with buy and sell limit orders in order to provide traders alternative price levels to operate. This paper focuses precisely on the…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time…
In this paper, we propose an event-driven Limit Order Book (LOB) model that captures twelve of the most observed LOB events in exchange-based financial markets. To model these events, we propose using the state-of-the-art Neural Hawkes…
We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of the system magnetization. The model reproduces…
In this work, we present a continuous-time large-population game for modeling market microstructure betweentwo consecutive trades. The proposed modeling framework is inspired by our previous work [23]. In this framework, the Limit Order…
In the present work we introduce a stochastic cellular automata model in order to simulate the dynamics of the stock market. A direct percolation method is used to create a hierarchy of clusters of active traders on a two dimensional grid.…
We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…
We introduce ABIDES, an Agent-Based Interactive Discrete Event Simulation environment. ABIDES is designed from the ground up to support AI agent research in market applications. While simulations are certainly available within trading firms…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
An artificial stock market is established with the modeling method and ideas of cellular automata. Cells are used to represent stockholders, who have the capability of self-teaching and are affected by the investing history of the…
Over the past few years, the futures market has been successfully developing in the North-West region. Futures markets are one of the most effective and liquid-visible trading mechanisms. A large number of buyers are forced to compete with…
Simulations of artificial stock markets were considered as early as 1964 and multi-agent ones were introduced as early as 1989. Starting the early 90's, collaborations of economists and physicists produced increasingly realistic simulation…
We show how a multi-agent simulator can support two important but distinct methods for assessing a trading strategy: Market Replay and Interactive Agent-Based Simulation (IABS). Our solution is important because each method offers strengths…
Before a person can be prosecuted and convicted for insider trading, he must first execute the overt act of trading. If no sale of security is consummated, no crime is also consummated. However, through a complex and insidious combination…
The development of reinforced learning methods has extended application to many areas including algorithmic trading. In this paper trading on the stock exchange is interpreted into a game with a Markov property consisting of states,…
We present a new financial framework where two families of RL-based agents representing the Liquidity Providers and Liquidity Takers learn simultaneously to satisfy their objective. Thanks to a parametrized reward formulation and the use of…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
We propose a series of simple models for the microstructure of a double auction market without intermediaries. We specialize to those markets, such interdealer broker markets, which are dominated by professional traders, who trade mainly…
Investors and regulators can greatly benefit from a realistic market simulator that enables them to anticipate the consequences of their decisions in real markets. However, traditional rule-based market simulators often fall short in…