Analysis of Dynamics of Real Order Book by Means of U-Mart System

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  • U-Martを用いた実市場における板ダイナミクスの解析
  • U-Mart オ モチイタ ジツ シジョウ ニ オケル イタ ダイナミクス ノ カイセキ

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Abstract

<p>Recently, lots of people try to trade in stock market by internet trades and the economic market has strong influence to the society. The analysis of economic market is very important issue, but there exists critical problems to analyze real market. To analyze the market system, several artificial market systems have been proposed. U-Mart project, one of the famous artificial market projects, has been organized to provide common test bed for interdisciplinary investigation. They have developed and provided artificial futures market named “U-Mart”. The latest version of U-Mart is 4.0 which can simulate common spot markets with order book information.</p><p>Although U-Mart system is excellent simulator, there is one problem that U-Mart has no relation to the real market. In this paper, to solve this problem, we proposed novel method to replay real market faithfully on the U-Mart. We considered all the issue such as situation of contracts, best bid/ask price and real order book. We also analyzed the sensitivity of the real market by adding the artificial orders to order book of U-Mart.</p>

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