SHIFT: A Highly Realistic Financial Market Simulation Platform

Thiago W. Alves; Ionut Florescu; George Calhoun; Dragos Bozdog

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arXiv · 2002.11158

SHIFT: A Highly Realistic Financial Market Simulation Platform

Thiago W. Alves·Ionut Florescu·George Calhoun·Dragos Bozdog

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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 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.

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Thiago W. Alves, Ionut Florescu, George Calhoun, Dragos Bozdog. 2020-02-25. SHIFT: A Highly Realistic Financial Market Simulation Platform. https://arxiv.org/abs/2002.11158

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