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: 18 May 2020

See all articles by Thiago W. Alves

Thiago W. Alves

Stevens Institute of Technology

Ionut Florescu

Stevens Institute of Technology - School of Business; Stevens Institute of Technology

George Calhoun

affiliation not provided to SSRN

Dragos Bozdog

Stevens Institute of Technology

Date Written: May 15, 2020

Abstract

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

Suggested Citation

Winkler Alves, Thiago and Florescu, Ionut and Calhoun, George and Bozdog, Dragos, SHIFT: A Highly Realistic Financial Market Simulation Platform (May 15, 2020). 6th International Symposium in Computational Economics and Finance, Paris, October 29-31, 2020. Available at SSRN: https://ssrn.com/abstract=3544308 or http://dx.doi.org/10.2139/ssrn.3544308

Thiago Winkler Alves (Contact Author)

Stevens Institute of Technology ( email )

Hoboken, NJ 07030
United States

Ionut Florescu

Stevens Institute of Technology - School of Business ( email )

Hoboken, NJ 07030
United States

Stevens Institute of Technology ( email )

Castle Point on the Hudson
Hoboken, NJ 07030
United States

George Calhoun

affiliation not provided to SSRN

Dragos Bozdog

Stevens Institute of Technology ( email )

Hoboken, NJ 07030
United States
2012163527 (Phone)

HOME PAGE: http://personal.stevens.edu/~dbozdog/

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