![]() ![]() The authors visualize a short segment of the replay data in Figure 2 in the paper, Figure 2: Price-level volume plot. While the experimental agent is based on an interactive agent-based simulator named as ABIDES, the market replay agent is based on LOBSTER message data. Liquidity by replaying historical orders and an experimental agent representing the trading strategy to be evaluated. ![]() In particular, they implement backtesting using three agents: An exchange agent representing the exchange which keeps the order book (e.g., Nasdaq or NYSE), a market replay agent that provides Balch et.al have published a working paper, “How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?” In the paper, by using LOBSTER data they show how a multi-agent simulator can support two important but distinct methods for assessing a trading strategy: Market Replay (backtesting) and Interactive Agent-Based Simulation (IABS). Morgan Artificial Intelligence Research and Imperial College London A short review of a working paper by Balch et.al (2019) from J.P. Evaluate Trading Strategies by Using LOBSTER Data | March 11, 2020
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