An oTree-based flexible architecture for financial market experiments

This document presents an architecture for experiments in finance. The architecture builds on oTree, a modern platform for behavioral experiments, allowing for sophisticated economic environments, market institutions, and trader strategies. The system supports both continuous-and discrete-time marke...

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Bibliographic Details
Published in:Journal of behavioral and experimental finance 2020-03, Vol.25, p.100205, Article 100205
Main Authors: Aldrich, Eric M., Demirci, Hasan Ali, López Vargas, Kristian
Format: Article
Language:English
Subjects:
Algorithmic trading
Economic software
Experimental finance
Laboratory experiments
Market design
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Summary:This document presents an architecture for experiments in finance. The architecture builds on oTree, a modern platform for behavioral experiments, allowing for sophisticated economic environments, market institutions, and trader strategies. The system supports both continuous-and discrete-time markets, and allows for communication latencies at time resolutions of 10–20 ms. Such precise communication latencies facilitate the experimental study of high-frequency trading. The architecture also modularizes its main components, which makes the system flexible, portable, and scalable.
ISSN:2214-6350
2214-6350
DOI:10.1016/j.jbef.2019.03.007