Multi-agent order book simulation: Mono- and multi-asset high-frequency market making strategies

Abstract

We present some simulation results on various mono- and multi-asset market making strategies. Starting with a zero-intelligence market, we gradually enhance the model by taking into account such properties as the autocorrelation of trade signs, or the existence of informed traders. We then use Monte Carlo simulations to study the effects of those properties on some elementary market making strategies. Finally, we present some possible improvements of the strategies. © Springer-Verlag Italia 2011.