Futures Markets

Advanced simulation paradigm of human behaviour unveils complex financial systemic projection ArXiv ID: 2503.20787 “View on arXiv” Authors: Unknown Abstract The high-order complexity of human behaviour is likely the root cause of extreme difficulty in financial market projections. We consider that behavioural simulation can unveil systemic dynamics to support analysis. Simulating diverse human groups must account for the behavioural heterogeneity, especially in finance. To address the fidelity of simulated agents, on the basis of agent-based modeling, we propose a new paradigm of behavioural simulation where each agent is supported and driven by a hierarchical knowledge architecture. This architecture, integrating language and professional models, imitates behavioural processes in specific scenarios. Evaluated on futures markets, our simulator achieves a 13.29% deviation in simulating crisis scenarios whose price increase rate reaches 285.34%. Under normal conditions, our simulator also exhibits lower mean square error in predicting futures price of specific commodities. This technique bridges non-quantitative information with diverse market behaviour, offering a promising platform to simulate investor behaviour and its impact on market dynamics. ...

Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market ArXiv ID: 2401.10722 “View on arXiv” Authors: Unknown Abstract This paper presents an in-depth analysis of stylized facts in the context of futures on German bonds. The study examines four futures contracts on German bonds: Schatz, Bobl, Bund and Buxl, using tick-by-tick limit order book datasets. It uncovers a range of stylized facts and empirical observations, including the distribution of order sizes, patterns of order flow, and inter-arrival times of orders. The findings reveal both commonalities and unique characteristics across the different futures, thereby enriching our understanding of these markets. Furthermore, the paper introduces insightful realism metrics that can be used to benchmark market simulators. The study contributes to the literature on financial stylized facts by extending empirical observations to this class of assets, which has been relatively underexplored in existing research. This work provides valuable guidance for the development of more accurate and realistic market simulators. ...