Simulator: A Formalization of Double Auction Market Dynamics
Version 1.0; released 2010.10.13
High Frequency Finance Project

This demo has been designed for the purpose of illustrating the market dynamics on High Frequency Finance. The demo is based on the paper:

Tsang, E.P.K., Olsen, R. & Masry, S. A Formalization of Double Auction Market Dynamics, Quantitative Finance, accepted for publication, October 2012 (see early version)

The idea is briefly explained in a video.

The simulator demonstrates the effect of margin calls on a double auction market. The user can run the simulator using either the default setup or any of the embedded scenarios. The simulator allows the user to analyze the effect of potential orders in the market. This analysis enables to compute the consequential closure with respect to margin constraints. For example, one would be able to know "What is the minimum size of a market sell order to lead to a price drop of r%?" Answering questions like this would help to assess the stability of the market and value at risk. It could provide early warning signals


Disclaimer

Copyright (c) 2011. The University of Essex. All Rights Reserved.

Permission to use, copy, modify, and distribute this software and its documentation for educational, research, and not-for-profit and non commercial purposes, without fee and without a signed licensing agreement, is hereby granted, provided that the above copyright notice, this paragraph and the following two paragraphs appear in all copies, modifications, and distributions and all dealings between the University of Essex and third parties are governed exclusively by English law and all disputes are subject to the non–exclusive jurisdiction of the English courts. If you are not willing to accept these terms please return the software and its documentation to us. The creators must be immediately informed of all enhancements and modifications to the software and they shall be free to use these as they choose.

Contact: Prof Edward Tsang, CCFEA, University of Essex, Wivenhoe Park, Colchester, Essex, CO4 3SQ, UK

IN NO EVENT SHALL THE UNIVERSITY OF ESSEX BE LIABLE TO ANY PARTY FOR DIRECT, INDIRECT, SPECIAL, INCIDENTAL, OR CONSEQUENTIAL DAMAGES, INCLUDING LOST PROFITS, ARISING OUT OF THE USE OF THIS SOFTWARE AND ITS DOCUMENTATION, EVEN IF THE UNIVERSITY HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

THE UNIVERSITY SPECIFICALLY DISCLAIMS ANY EXPRESS WARRANTIES OR WARRANTIES IMPLIED BY LAW TO THE FULLEST EXTENT ALLOWED BY LAW, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE. THE SOFTWARE AND ACCOMPANYING DOCUMENTATION, IF ANY, PROVIDED HEREUNDER IS PROVIDED "AS IS". THE UNIVERSITY HAS NO OBLIGATION TO PROVIDE MAINTENANCE, SUPPORT, UPDATES, ENHANCEMENTS, OR MODIFICATIONS.


Page maintained by Edward Tsang; updated 2012.10.11