模拟驱动的实验假设与设计:价格影响与泡沫研究

IF 1.3 4区 工程技术 Q4 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS Simulation-Transactions of the Society for Modeling and Simulation International Pub Date : 2022-12-13 DOI:10.1177/00375497221138923
F. Cordoni, Caterina Giannetti, F. Lillo, G. Bottazzi
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引用次数: 2

摘要

每个实验的一个关键方面是在数据收集之前提出假设。在本文中,我们使用基于模拟的方法来生成合成数据,并为我们的市场实验制定假设,并校准其实验室设计。在本实验中,我们将完善的实验室市场模型扩展到双资产情况,同时考虑具有多资产策略的异质人工交易者。我们的主要目标是通过自我影响(即交易指令如何影响价格动态)和交叉影响(即由其他资产的交易活动引起的一种资产的价格变化)确定在价格泡沫形成中所起的作用。为此,我们对交易者将其资本从一种资产转移到另一种资产的可能性进行了不同的处理,从而人为地改变了市场的流动性。为了模拟合成数据生成的不同场景,我们根据流动性改变了人工交易者的交易策略类型。我们的研究结果表明,流动性的增加增加了交叉影响,特别是当代理人是市场中立的。然而,对于所有模型规范,自影响仍然是重要的和恒定的。
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Simulation-driven experimental hypotheses and design: a study of price impact and bubbles
A crucial aspect of every experiment is the formulation of hypotheses prior to data collection. In this paper, we use a simulation-based approach to generate synthetic data and formulate the hypotheses for our market experiment and calibrate its laboratory design. In this experiment, we extend well-established laboratory market models to the two-asset case, accounting at the same time for heterogeneous artificial traders with multi-asset strategies. Our main objective is to identify the role played in the price-bubble formation by both self-impact (i.e., how trading orders affect the price dynamics) and cross-impact (i.e., the price changes in one asset caused by the trading activity on other assets). To this end, we vary across treatments the possibility of traders of diverting their capital from one asset to the other, thereby artificially changing the amount of liquidity in the market. To simulate different scenarios for the synthetic data generation, we vary along with the liquidity the type of trading strategies of our artificial traders. Our results suggest that an increase in liquidity increases the cross-impact, especially when agents are market-neutral. Self-impact, however, remains significant and constant for all model specifications.
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来源期刊
CiteScore
3.50
自引率
31.20%
发文量
60
审稿时长
3 months
期刊介绍: SIMULATION is a peer-reviewed journal, which covers subjects including the modelling and simulation of: computer networking and communications, high performance computers, real-time systems, mobile and intelligent agents, simulation software, and language design, system engineering and design, aerospace, traffic systems, microelectronics, robotics, mechatronics, and air traffic and chemistry, physics, biology, medicine, biomedicine, sociology, and cognition.
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