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

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Abstract

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\(\Lambda\)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.

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Notes

  1. Plham is now available on https://github.com/plham.

  2. The results of this paper were obtained using an old version of Plham, before open sourcing.

  3. See http://x10-lang.org for further information.

  4. In X10, x10.util.List[T] is a generic collection with the type parameter T for the elements.

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Acknowledgements

This work was supported by CREST, JST. Part of the results is obtained by using the K computer at the RIKEN Advanced Institute for Computational Science.

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Authors and Affiliations

  1. The University of Tokyo, Tokyo, Japan

    Takuma Torii, Kiyoshi Izumi & Kenta Yamada

  2. Kobe University, Hyogo, Japan

    Tomio Kamada

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  1. Takuma Torii
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  2. Tomio Kamada
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  3. Kiyoshi Izumi
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  4. Kenta Yamada
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Correspondence to Takuma Torii.

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Torii, T., Kamada, T., Izumi, K. et al. Platform design for large-scale artificial market simulation and preliminary evaluation on the K computer. Artif Life Robotics 22, 301–307 (2017). https://doi.org/10.1007/s10015-017-0368-z

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  • DOI: https://doi.org/10.1007/s10015-017-0368-z

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