哪个交易代理商最好？使用金融市场的线程并行模拟改变啄食顺序
Which Trading Agent is Best? Using a Threaded Parallel Simulation of a Financial Market Changes the Pecking-Order
摘要：
本文提出了一个新的当代金融市场的模拟模型，提出了严重的怀疑，以前广泛接受的各种知名的公共领域的自动交易算法的相对性能的观点所产生的新的结果。在过去25年中，在一种军备竞赛中提出了各种公共领域交易算法，其中每个新的交易算法都与以前的最佳算法进行比较，从而建立了一个“啄食顺序”，即从各种交易算法中最好到最差的部分排序的支配等级。这些算法中的许多都是使用金融市场的简单最小模拟来开发和测试的，这些最小模拟仅弱地近似于真实市场涉及许多不同交易系统异步和并行操作的事实。在本文中，我们使用BSE，一个公共领域的市场模拟器，运行一组实验，从几个著名的交易算法生成基准结果。BSE采用了一种非常简单的时间切片方法来模拟并行性，这种方法有明显的已知弱点。然后，我们修改和扩展BSE，使其线程化，以便不同的交易者算法异步和并行操作：我们称此模拟器为Threaded-BSE（TBSE）。然后，我们在TBSE上重新运行交易员实验，并将TBSE结果与我们之前在BSE上的基准结果进行比较。我们的比较表明，在我们更现实的实验中的优势层次结构是从原来的简单的模拟器所给出的不同。我们的结论是，模拟的并行性很重要，早期的结果从简单的模拟比较不同的交易者算法不再是完全可信的。
英文摘要：
This paper presents novel results generated from a new simulation model of a contemporary financial market, that cast serious doubt on the previously widely accepted view of the relative performance of various well-known public-domain automated-trading algorithms. Various public-domain trading algorithms have been proposed over the past 25 years in a kind of arms-race, where each new trading algorithm was compared to the previous best, thereby establishing a "pecking order", i.e. a partially-ordered dominance hierarchy from best to worst of the various trading algorithms. Many of these algorithms were developed and tested using simple minimal simulations of financial markets that only weakly approximated the fact that real markets involve many different trading systems operating asynchronously and in parallel. In this paper we use BSE, a public-domain market simulator, to run a set of experiments generating benchmark results from several well-known trading algorithms. BSE incorporates a very simple time-sliced approach to simulating parallelism, which has obvious known weaknesses. We then alter and extend BSE to make it threaded, so that different trader algorithms operate asynchronously and in parallel: we call this simulator Threaded-BSE (TBSE). We then re-run the trader experiments on TBSE and compare the TBSE results to our earlier benchmark results from BSE. Our comparison shows that the dominance hierarchy in our more realistic experiments is different from the one given by the original simple simulator. We conclude that simulated parallelism matters a lot, and that earlier results from simple simulations comparing different trader algorithms are no longer to be entirely trusted.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
