[2F1-GS-5] Agents:

[2F1-GS-5-02] Market price simulation and theoretical analysis based on trader-level micro-models

〇Taiki Wakatuki¹, Kiyoshi Kanazawa¹ (1. Kyoto University)

Keywords:Market Simulation, Multi-Agent

The stochastic process is widely used for financial price dynamics. Particularly, the quadratic Hawkes process focuses on the positive-feedback loops between financial events and is suited for modeling the intermittent behavior of financial price changes. However, the quadratic Hawkes process was introduced phenomenologically and lacked the theoretical basis regarding its microscopic dynamics. In this talk, we propose a generalized Santa Fe order-book model by considering the positive feedback loops between market orders. Furthermore, we analyze this microscopic model by a mean-field approach and derive the quadratic Hawkes model from first principles.