论文标题
Shift：高度现实的金融市场模拟平台
SHIFT: A Highly Realistic Financial Market Simulation Platform
论文作者
论文摘要
本文提出了一个新的金融市场模拟器，该模拟器可以用作行业和学术界的工具，用于市场微观结构研究。它允许多个自动交易者和/或研究人员同时连接到类似交换的环境，在那里他们能够同时不同时交易多个金融资产。在目前的迭代中，这个以订单驱动的市场实现了美国股票市场的基本规则，支持市场和限制订单，并以第一届出局方式执行它们。我们概述了系统体系结构，并介绍了可能的用例。我们展示了一组自动化代理如何能够生产具有类似于金融市场统计数据的价格流程。最后，我们详细介绍了市场压力方案，我们绘制了关于崩溃事件的有趣结论。
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.
