Platform design for large-scale artificial market simulation and preliminary evaluation on the K computer

• Published in: Artificial life and robotics Vol. 22; no. 3; pp. 301 - 307
• Main Authors: Torii, Takuma, Kamada, Tomio, Izumi, Kiyoshi, Yamada, Kenta
• Format: Journal Article
• Language: English
• Published: Tokyo Springer Japan 01.09.2017; Springer Nature B.V
• Subjects: Artificial Intelligence; Computation by Abstract Devices; Computer Science; Computer simulation; Computing costs; Control; Electronic trading systems; High frequency trading; Markets; Mechatronics; Original Article; Parallel processing (computers); Regulation of financial institutions; Robotics; Simulation; Supercomputers; High-frequency trading; Multi-asset; Parallel and distributed simulation; Simulation platform; Artificial market
• ISSN: 1433-5298; 1614-7456
• DOI: 10.1007/s10015-017-0368-z

Artificial market simulations have the potential to be a strong tool for studying rapid and large market fluctuations and designing financial regulations. High-frequency traders, that exchange multiple assets simultaneously within a millisecond, are said to be a cause of rapid and large market fluctuations. For such a large-scale problem, this paper proposes a software or computing platform for large-scale and high-frequency artificial market simulations (Plham: /pl Λ m). The computing platform, Plham, enables modeling financial markets composed of various brands of assets and a large number of agents trading on a short timescale. The design feature of Plham is the separation of artificial market models (simulation models) from their execution (execution models). This allows users to define their simulation models without parallel computing expertise and to choose one of the execution models they need. This computing platform provides a prototype execution model for parallel simulations, which exploits the variety in trading frequency among traders, that is, the fact that some traders do not require up-to-date information of markets changing in millisecond order. We evaluated a prototype implementation on the K computer using up to 256 computing nodes.