This is the website for the interface that uses the fully re-configurable high-performance low-latency matching engine developed by Dharmesh Sing for large-scale ABM modeling. This is being used for the following working paper which is based on the testing of the infrastructure as part of the graduate research project of Mr Sing:
The simulation of a realistic market data feed using mutually-exciting Hawkes processes
D. SING, D. HENDRICKS , and T. GEBBIE
We propose a feasible scheme for the simulation of an asynchronous stream of limit order book events.
An n-variate mutually-exciting Hawkes process is used to govern the times of coupled liquidity demand
and supply events, while trade and quote prices and volumes are generated consistent with the event
type. This provides a flexible framework to simulate a market data feed with varying throughput, with
full control over the trade and quote conditional intensities.
D. SING, D. HENDRICKS , and T. GEBBIE
We propose a feasible scheme for the simulation of an asynchronous stream of limit order book events.
An n-variate mutually-exciting Hawkes process is used to govern the times of coupled liquidity demand
and supply events, while trade and quote prices and volumes are generated consistent with the event
type. This provides a flexible framework to simulate a market data feed with varying throughput, with
full control over the trade and quote conditional intensities.
Keywords: market microstructure; Hawkes process; data simulation; limit order books
JEL Classification: C61, C63, D81, G10
JEL Classification: C61, C63, D81, G10
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