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Noise Trader (NT)

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Abstract, Acknowledgements, and Statements and Declarations

  1. Introduction

  2. Background and Related Work

    2.1 Agent-based Financial Market simulation

    2.2 Flash Crash Episodes

  3. Model Structure and 3.1 Model Set-up

    3.2 Common Trader Behaviours

    3.3 Fundamental Trader (FT)

    3.4 Momentum Trader (MT)

    3.5 Noise Trader (NT)

    3.6 Market Maker (MM)

    3.7 Simulation Dynamics

  4. Model Calibration and Validation and 4.1 Calibration Target: Data and Stylised Facts for Realistic Simulation

    4.2 Calibration Workflow and Results

    4.3 Model Validation

  5. 2010 Flash Crash Scenarios and 5.1 Simulating Historical Flash Crash

    5.2 Flash Crash Under Different Conditions

  6. Mini Flash Crash Scenarios and 6.1 Introduction of Spiking Trader (ST)

    6.2 Mini Flash Crash Analysis

    6.3 Conditions for Mini Flash Crash Scenarios

  7. Conclusion and Future Work

    7.1 Summary of Achievements

    7.2 Future Works

References and Appendices

Authors:

(1) Kang Gao, Department of Computing, Imperial College London, London SW7 2AZ, UK and Simudyne Limited, London EC3V 9DS, UK ([email protected]);

(2) Perukrishnen Vytelingum, Simudyne Limited, London EC3V 9DS, UK;

(3) Stephen Weston, Department of Computing, Imperial College London, London SW7 2AZ, UK;

(4) Wayne Luk, Department of Computing, Imperial College London, London SW7 2AZ, UK;

(5) Ce Guo, Department of Computing, Imperial College London, London SW7 2AZ, UK.


This paper is available on arxiv under CC BY-NC-ND 4.0 DEED license.


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