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Fast Agent-Based Simulation Framework with Applications to...

Author
Peter Belcak, Jan-Peter Calliess, Stefan Zohren
Date Updated
2022/09/21
Category
q-fin.CP
Date Published
2020/08/18
Date Retrieved
2022/09/22
Description
We introduce a new software toolbox for agent-based simulation. Facilitating rapid prototyping by offering a user-friendly Python API, its core rests on an efficient C++ implementation to support simulation of large-scale multi-agent systems. Our software environment benefits from a versatile message-driven architecture. Originally developed to support research on financial markets, it offers the flexibility to simulate a wide-range of different (easily customisable) market rules and to study the effect of auxiliary factors, such as delays, on the market dynamics. As a simple illustration, we employ our toolbox to investigate the role of the order processing delay in normal trading and for the scenario of a significant price change. Owing to its general architecture, our toolbox can also be employed as a generic multi-agent system simulator. We provide an example of such a non-financial application by simulating a mechanism for the coordination of no-regret learning agents in a multi-agent network routing scenario previously proposed in the literature.
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Posts
19
Readers
13
Score
1.25
Tweeters
4
URL
https://arxiv.org/abs/2008.07871
Property
TOP