ManSim: A Cross-Border HFT Financial Markets Simulator

Posted: 5 May 2013

See all articles by Babis Theodoulidis

Babis Theodoulidis

affiliation not provided to SSRN

David Diaz

Universidad de Chile - Escuela de Economia y Negocios

Date Written: May 4, 2013

Abstract

Significant technological advancements have been made in trading platforms and trading infrastructures such as dark trading venues, broker-dealer crossing networks, high-frequency trading systems, etc. However, the impact of these on market participants is still poorly understood.

Previous literature has identified the urgent need to develop national strategic modelling and predictive simulation capabilities for the global financial markets in order to improve our understanding of systemic risk and thus, better deal with the potential for future financial disasters. It has also been argued that the development of such systems would require a multidisciplinary effort into agent theory, ecology, epidemiology and complex systems simulation models in order to develop tools that can be used to inform governmental policy.

This report introduces the Manchester Simulator (ManSim) which can be used to analyse a wide variety of observable processes encapsulated in a financial market by accommodating the role of a central tape, global order book, networking configurations, cross-border markets, cross-market transactions, high frequency trading and trading strategies.

Keywords: financial markets, simulator, high frequency trading, cross-border, agent-based

Suggested Citation

Theodoulidis, Babis and Diaz, David, ManSim: A Cross-Border HFT Financial Markets Simulator (May 4, 2013). Available at SSRN: https://ssrn.com/abstract=2260832

Babis Theodoulidis (Contact Author)

affiliation not provided to SSRN

David Diaz

Universidad de Chile - Escuela de Economia y Negocios ( email )

Diagonal Paraguay 257
oficina 1102
Santiago, RM 0000
Chile
5629783373 (Phone)

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