The Impact of Sequential versus Parallel Clearing Mechanisms in Agent-Based Simulations of Artificial Limit Order Book Exchanges
Matej Steinbacher, Mitja Steinbacher, Matjaz Steinbacher
本研究考察了在人工股票市场框架内清算机制的不同计算实现对多资产价格动态的影响。 我们表明,订单簿的顺序处理通过在单个时间步骤内影响交易者资本的分配来引入系统和显着的偏见。 这是因为适用预算限制按顺序授予先前处理的资产优先获得资金,扭曲了个人资产需求,从而扭曲了其价格轨迹。 调查结果强调,虽然整体价格水平主要由货币与股票比率等宏观因素驱动,但市场的微观结构清算机制在单个资产的价值配置中起着关键作用。 这强调了仔细考虑和验证人工市场中的清算机制以准确模拟复杂的金融行为的必要性。
This study examines the impact of different computing implementations of clearing mechanisms on multi-asset price dynamics within an artificial stock market framework. We show that sequential processing of order books introduces a systematic and significant bias by affecting the allocation of traders' capital within a single time step. This occurs because applying budget constraints sequentially grants assets processed earlier preferential access to funds, distorting individual asset demand and ...