35 citations · 46 across the 3 of their papers we have counts for
3 papers
The Importance of Low Latency to Order Book Imbalance Trading Strategies
David Byrd, Sruthi Palaparthi, Maria Hybinette +1
There is a pervasive assumption that low latency access to an exchange is a key factor in the profitability of many high-frequency trading strategies. This belief is evidenced by t…
How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?
Tucker Hybinette Balch, Mahmoud Mahfouz, Joshua Lockhart +2
We show how a multi-agent simulator can support two important but distinct methods for assessing a trading strategy: Market Replay and Interactive Agent-Based Simulation (IABS). Ou…
ABIDES: Towards High-Fidelity Market Simulation for AI Research
David Byrd, Maria Hybinette, Tucker Hybinette Balch
We introduce ABIDES, an Agent-Based Interactive Discrete Event Simulation environment. ABIDES is designed from the ground up to support AI agent research in market applications. Wh…