The 22nd International Conference on Principles and Practice of Multi-Agent Systems, Oct. 31, 2019
The 22nd International Conference on Principles and Practice of Multi-Agent Systems (PRIMA 2019)
In this paper, we compare data of the high-frequency-trader market-making (HFT-MM) strategy from both the real financial market and our simulation. For the former, we extracted trader clusters and identified one cluster whose statistical indexes indicated HFT-MM features. Subsequently, we analyzed the difference between these traders' orders and the market price. For 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 differed significantly when the real data exhibited a wider range of orders. Thus, to build a more realistic simulation in future research, the simulated model must be based on more actual data.
Artificial Market; Multi-Agent Simulation; Data-Mining; High-frequency Trade; Market-Making; Clustering;
@inproceedings{Hirano2019-prima22,
title={{Comparison of Behaviors of Actual and Simulated HFT Traders for Agent Design}},
author={Masanori HIRANO and Kiyoshi IZUMI and Hiroyasu MATSUSHIMA and Hiroki SAKAJI},
booktitle={The 22nd International Conference on Principles and Practice of Multi-Agent Systems},
year={2019}
}