TY - GEN
T1 - An agent based model of the E-Mini S&P 500 applied to flash crash analysis
AU - Paddrik, Mark
AU - Hayes, Roy
AU - Todd, Andrew
AU - Yang, Steve
AU - Beling, Peter
AU - Scherer, William
PY - 2012
Y1 - 2012
N2 - We propose a zero-intelligence agent-based model of the E-Mini S&P 500 futures market, which allows for a close examination of the market microstructure. Several classes of agents are characterized by their order speed and order placement within the limit order book. These agents' orders populate the simulated market in a way consistent with real world participation rates. By modeling separate trading classes the simulation is able to capture interactions between classes, which are essential to recreating market phenomenon. The simulated market is validated against empirically observed characteristics of price returns and volatility. We therefore conclude that our agent based simulation model can accurately capture the key characteristics of the nearest months E-Mini S&P 500 futures market. Additionally, to illustrate the applicability of the simulation, experiments were run, which confirm the leading hypothesis for the cause of the May 6th 2010 Flash Crash.
AB - We propose a zero-intelligence agent-based model of the E-Mini S&P 500 futures market, which allows for a close examination of the market microstructure. Several classes of agents are characterized by their order speed and order placement within the limit order book. These agents' orders populate the simulated market in a way consistent with real world participation rates. By modeling separate trading classes the simulation is able to capture interactions between classes, which are essential to recreating market phenomenon. The simulated market is validated against empirically observed characteristics of price returns and volatility. We therefore conclude that our agent based simulation model can accurately capture the key characteristics of the nearest months E-Mini S&P 500 futures market. Additionally, to illustrate the applicability of the simulation, experiments were run, which confirm the leading hypothesis for the cause of the May 6th 2010 Flash Crash.
UR - http://www.scopus.com/inward/record.url?scp=84869805312&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84869805312&partnerID=8YFLogxK
U2 - 10.1109/CIFEr.2012.6327800
DO - 10.1109/CIFEr.2012.6327800
M3 - Conference contribution
AN - SCOPUS:84869805312
SN - 9781467318037
T3 - 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings
SP - 257
EP - 264
BT - 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings
T2 - 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012
Y2 - 29 March 2012 through 30 March 2012
ER -