F. Cecconi and J. Grazzini (Italy)
Financial forecasting, Financial modeling, Algorithmic trading, Agent based simulation
We describe an agent based simulator, SimStock, for equity markets. The simulator permits to implement classic and algorithmic trading strategies. The simulator engine, SimPly is an open library, written in Phyton. We show the structure of three type of artificial traders: a fundamentalist, i.e. a trader that use a valuation about the profitability of the assets to decide the trading behavior; chartist, which try to follow the market drift; an algorithmic trader, which build a tree of hypothesis about the others trading strategies. Our aim is to study the effect of high frequency trading (HFT), when the HFT is the effect of an AI agent. We show in this paper some preliminary results in that direction: i) the ef fect of trading frequency in price’s volatility, ii) the role of chartist in markets with high frequency traders.
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