Abstract
The U.S. stock market, more precisely known as the National Market System (NMS), is fragmented into various trading venues. The heterogeneity across this set of venues spans many dimensions; to include geographic location, price discovery mechanisms and fee structures. The prevailing models in the scientific community lag behind in replicating the complexity of today’s NMS. In this study, we introduce a new generation of market model, with an explicit focus on an initial representation of the complexity and heterogeneity described above. As an extension of previous work we present the motivation and an overview of the literature relevant to the study of dynamics in multi-exchange markets. We also employ the ODD + D protocol to document our model formulation and its evolutionary trajectory from its predecessors. Experiments are described which show the relational, structural, equivalence between this model and real-world markets.
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Acknowledgements
The authors gratefully acknowledge the following: collaborative contributions from Tobin Bergen-Hill, Michael Foley, Christine Harvey, John Ring, David Slater, James Thompson, Brendan Tivnan, and Colin Van Oort; helpful insights from Anshul Anand, Chris Danforth, Jordan Feidler, Andre Frank, Bill Gibson, David Klamm, Mark Rosenthal, Chuck Schnitzlein, Kevin Toner, Tom Wilk and attendees at the 2016 International Congress on Agent Computing and 2017 Winter Simulation Conference; and data sources from Nanex, Nasdaq and Tradeworx. The authors’ affiliation with The MITRE Corporation is provided for identification purposes only and is not intended to convey or imply MITRE’s concurrence with, or support for, the positions, opinions or viewpoints expressed by the authors.
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Appendix
Appendix
ODD+D documentation of the NMS model and its evolution
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Tivnan, B.F., Burke, C.D., Koehler, M.T.K., McMahon, M.T., Veneman, J.G. (2021). Towards a Model of the National Market System: Fragmented and Heterogenous Venues. In: Yang, Z., von Briesen, E. (eds) Proceedings of the 2020 Conference of The Computational Social Science Society of the Americas. Springer Proceedings in Complexity. Springer, Cham. https://doi.org/10.1007/978-3-030-83418-0_15
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DOI: https://doi.org/10.1007/978-3-030-83418-0_15
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