README.rst

FiQuant Market Microstructure Simulator

The project simulates a generic agent based market model. The aim is to explore intimately, by simulation, the process of price formation and the market microstructure. It is developed at Chair of Quantitative Finance of École Centrale Paris

• Installation notes
• History
• Strategy Definition Language
  • Compiler usage
  • Packages
  • Types
  • Functions
  • Expressions
  • Syntax
  • Possible language improvements
• Components
  • Events, functions and observables
  • Statistics
  • Discrete event simulation
  • Orders, order factories and requests
  • Meta orders
  • Market representation
  • Simple strategies
  • Adaptive strategies
• Rationale for module design
• Simple and compound modules