Table of Links Abstract and 1. Introduction Abstract and 1. Introduction 2. Relevant Work 2. Relevant Work 3. Methods 3. Methods 3.1 Models 3.1 Models 3.2 Summarising Features 3.2 Summarising Features 3.3 Calibration of Market Model Parameters 3.3 Calibration of Market Model Parameters 4. Experiments 4. Experiments 4.1 Zero Intelligence Trader 4.1 Zero Intelligence Trader 4.2 Extended Chiarella 4.2 Extended Chiarella 4.3 Historical Data 4.3 Historical Data 5. Discussion & Future Work 5. Discussion & Future Work 6. Significance, Acknowledgments, and References 6. Significance, Acknowledgments, and References 4 EXPERIMENTS We use the same neural network architecture for both ZI trader model and extended Chiarella: we use four layers for the embedding network with hidden size of 64 and out dimension of 256, and three layers with hidden size of 128 for the neural density estimator. The batch size was 128 and we used a learning rate of 0.001 with plateau scheduler, drop-out rate of 0.1, and early stopping. On average we found training took approximately 80 epochs before converging. We conducted hyper-optimisation using a coarse grid search and fixed the model architectures based on the lowest average test loss for both models. We found that the choice in normalising flow was the only significant factor in differentiating performance across architectures used on either simulation model. Authors: (1) Namid R. Stillman, Simudyne Limited, United Kingdom (namid@simudyne.com); (2) Rory Baggott, Simudyne Limited, United Kingdom (rory@simudyne.com); (3) Justin Lyon, Simudyne Limited, United Kingdom (justin@simudyne.com); (4) Jianfei Zhang, Hong Kong Exchanges and Clearing Limited, Hong Kong (jianfeizhang@hkex.com.hk); (5) Dingqiu Zhu, Hong Kong Exchanges and Clearing Limited, Hong Kong (dingqiuzhu@hkex.com.hk); (6) Tao Chen, Hong Kong Exchanges and Clearing Limited, Hong Kong (taochen@hkex.com.hk); (7) Perukrishnen Vytelingum, Simudyne Limited, United Kingdom (krishnen@simudyne.com). Authors: Authors: (1) Namid R. Stillman, Simudyne Limited, United Kingdom (namid@simudyne.com); (2) Rory Baggott, Simudyne Limited, United Kingdom (rory@simudyne.com); (3) Justin Lyon, Simudyne Limited, United Kingdom (justin@simudyne.com); (4) Jianfei Zhang, Hong Kong Exchanges and Clearing Limited, Hong Kong (jianfeizhang@hkex.com.hk); (5) Dingqiu Zhu, Hong Kong Exchanges and Clearing Limited, Hong Kong (dingqiuzhu@hkex.com.hk); (6) Tao Chen, Hong Kong Exchanges and Clearing Limited, Hong Kong (taochen@hkex.com.hk); (7) Perukrishnen Vytelingum, Simudyne Limited, United Kingdom (krishnen@simudyne.com). This paper is available on arxiv under CC BY 4.0 DEED license. This paper is available on arxiv under CC BY 4.0 DEED license. available on arxiv
