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Bit by Bit: How to Realistically Simulate a Crypto-Exchange

Bit by Bit: How to Realistically Simulate a Crypto-Exchange
Bit by Bit: How to Realistically Simulate a Crypto-Exchange
A market simulator is an environment which allows its users to participate in a synthetic market to test and hypothesise new strategies. Creating a simulator which can replicate the market dynamics accurately is challenging, due to the various knock-on effects of a participant’s action in a live market setting. In this paper, we present a multi-agent simulation capable of effectively representing a cryptocurrency exchange, by populating a high-fidelity market simulator with a set of low intelligence agents to represent distinct types of market participants. By fine tuning the ratios and the hyperparameters of these agents against empirical findings from the cryptocurrency market, we present a simulation with the ability to closely mimic expected market behaviour.
Financial Exchange, Continuous Double Auction, Market Simulation, Multi-Agent System, Cryptocurrency, Limit Order Book
ACM Press
Cho, Christopher Jaehoon
de0dcf2d-d858-485c-b62b-0234fbac47a2
Norman, Timothy
663e522f-807c-4569-9201-dc141c8eb50d
Cho, Christopher Jaehoon
de0dcf2d-d858-485c-b62b-0234fbac47a2
Norman, Timothy
663e522f-807c-4569-9201-dc141c8eb50d

Cho, Christopher Jaehoon and Norman, Timothy (2021) Bit by Bit: How to Realistically Simulate a Crypto-Exchange. In Proceedings of the 2nd ACM International Conference on AI in Finance. ACM Press. 9 pp .

Record type: Conference or Workshop Item (Paper)

Abstract

A market simulator is an environment which allows its users to participate in a synthetic market to test and hypothesise new strategies. Creating a simulator which can replicate the market dynamics accurately is challenging, due to the various knock-on effects of a participant’s action in a live market setting. In this paper, we present a multi-agent simulation capable of effectively representing a cryptocurrency exchange, by populating a high-fidelity market simulator with a set of low intelligence agents to represent distinct types of market participants. By fine tuning the ratios and the hyperparameters of these agents against empirical findings from the cryptocurrency market, we present a simulation with the ability to closely mimic expected market behaviour.

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More information

Published date: 4 November 2021
Keywords: Financial Exchange, Continuous Double Auction, Market Simulation, Multi-Agent System, Cryptocurrency, Limit Order Book

Identifiers

Local EPrints ID: 452185
URI: http://eprints.soton.ac.uk/id/eprint/452185
PURE UUID: e575a9d2-0cde-44c6-9f10-dfbde4d0d6f0
ORCID for Timothy Norman: ORCID iD orcid.org/0000-0002-6387-4034

Catalogue record

Date deposited: 29 Nov 2021 17:32
Last modified: 23 Jul 2022 02:12

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Contributors

Author: Christopher Jaehoon Cho
Author: Timothy Norman ORCID iD

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