SHIFT: A Highly Realistic Financial Market Simulation Platform
6th International Symposium in Computational Economics and Finance, Paris, October 29-31, 2020
23 Pages Posted: 20 Mar 2020 Last revised: 28 Aug 2020
Date Written: August 27, 2020
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market micro-structure. 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.
Keywords: Financial Engineering, High Frequency Trading, Market Micro-structure, Real Time Simulation, Trading Strategies
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