Platform design for large-scale artificial market simulation and preliminary evaluation on the K computer

Platform design for large-scale artificial market simulation and preliminary evaluation on the K... Artificial market simulations have the potential to be a strong tool for studying rapid and large market fluctuations and designing financial regulations. High-frequency traders, that exchange multiple assets simultaneously within a millisecond, are said to be a cause of rapid and large market fluctuations. For such a large-scale problem, this paper proposes a software or computing platform for large-scale and high-frequency artificial market simulations (Plham: /pl $$\Lambda$$ Λ m). The computing platform, Plham, enables modeling financial markets composed of various brands of assets and a large number of agents trading on a short timescale. The design feature of Plham is the separation of artificial market models (simulation models) from their execution (execution models). This allows users to define their simulation models without parallel computing expertise and to choose one of the execution models they need. This computing platform provides a prototype execution model for parallel simulations, which exploits the variety in trading frequency among traders, that is, the fact that some traders do not require up-to-date information of markets changing in millisecond order. We evaluated a prototype implementation on the K computer using up to 256 computing nodes. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Artificial Life and Robotics Springer Journals

Platform design for large-scale artificial market simulation and preliminary evaluation on the K computer

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Publisher
Springer Journals
Copyright
Copyright © 2017 by ISAROB
Subject
Computer Science; Artificial Intelligence (incl. Robotics); Computation by Abstract Devices; Control, Robotics, Mechatronics
ISSN
1433-5298
eISSN
1614-7456
D.O.I.
10.1007/s10015-017-0368-z
Publisher site
See Article on Publisher Site

Abstract

Artificial market simulations have the potential to be a strong tool for studying rapid and large market fluctuations and designing financial regulations. High-frequency traders, that exchange multiple assets simultaneously within a millisecond, are said to be a cause of rapid and large market fluctuations. For such a large-scale problem, this paper proposes a software or computing platform for large-scale and high-frequency artificial market simulations (Plham: /pl $$\Lambda$$ Λ m). The computing platform, Plham, enables modeling financial markets composed of various brands of assets and a large number of agents trading on a short timescale. The design feature of Plham is the separation of artificial market models (simulation models) from their execution (execution models). This allows users to define their simulation models without parallel computing expertise and to choose one of the execution models they need. This computing platform provides a prototype execution model for parallel simulations, which exploits the variety in trading frequency among traders, that is, the fact that some traders do not require up-to-date information of markets changing in millisecond order. We evaluated a prototype implementation on the K computer using up to 256 computing nodes.

Journal

Artificial Life and RoboticsSpringer Journals

Published: May 31, 2017

References

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