no code implementations • 20 Nov 2023 • Namid R. Stillman, Rory Baggott, Justin Lyon, Jianfei Zhang, Dingqiu Zhu, Tao Chen, Perukrishnen Vytelingum
The ability to construct a realistic simulator of financial exchanges, including reproducing the dynamics of the limit order book, can give insight into many counterfactual scenarios, such as a flash crash, a margin call, or changes in macroeconomic outlook.
no code implementations • 28 Oct 2023 • Kang Gao, Stephen Weston, Perukrishnen Vytelingum, Namid R. Stillman, Wayne Luk, Ce Guo
With the proposed Chiarella-Heston model, we generate a training dataset to train a deep hedging agent for optimal hedging strategies under various transaction cost levels.
no code implementations • 29 Aug 2022 • Kang Gao, Perukrishnen Vytelingum, Stephen Weston, Wayne Luk, Ce Guo
We scrutinise the market dynamics during the simulated flash crash and show that the simulated dynamics are consistent with what happened in historical flash crash scenarios.
no code implementations • 29 Aug 2022 • Kang Gao, Perukrishnen Vytelingum, Stephen Weston, Wayne Luk, Ce Guo
It is shown that the machine learning surrogate learned in the proposed method is an accurate proxy of the true agent-based market simulation.