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An oTree-based flexible architecture for financial market experiments

Author

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  • Aldrich, Eric M.
  • Demirci, Hasan Ali
  • López Vargas, Kristian

Abstract

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.

Suggested Citation

  • Aldrich, Eric M. & Demirci, Hasan Ali & López Vargas, Kristian, 2020. "An oTree-based flexible architecture for financial market experiments," Journal of Behavioral and Experimental Finance, Elsevier, vol. 25(C).
    • Handle: RePEc:eee:beexfi:v:25:y:2020:i:c:s2214635018302715
    DOI: 10.1016/j.jbef.2019.03.007
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    References listed on IDEAS

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    1. James Pettit & Daniel Friedman & Curtis Kephart & Ryan Oprea, 2014. "Software for continuous game experiments," Experimental Economics, Springer;Economic Science Association, vol. 17(4), pages 631-648, December.
    2. Eric Budish & Peter Cramton & John Shim, 2015. "Editor's Choice The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 130(4), pages 1547-1621.
    3. Chen, Daniel L. & Schonger, Martin & Wickens, Chris, 2016. "oTree—An open-source platform for laboratory, online, and field experiments," Journal of Behavioral and Experimental Finance, Elsevier, vol. 9(C), pages 88-97.
    4. Urs Fischbacher, 2007. "z-Tree: Zurich toolbox for ready-made economic experiments," Experimental Economics, Springer;Economic Science Association, vol. 10(2), pages 171-178, June.
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    Cited by:

    1. Andraszewicz, Sandra & Friedman, Jason & Kaszás, Dániel & Hölscher, Christoph, 2023. "Zurich Trading Simulator (ZTS) — A dynamic trading experimental tool for oTree," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    2. Mark Marner-Hausen, 2022. "Developing a Framework for Real-Time Trading in a Laboratory Financial Market," ECONtribute Discussion Papers Series 172, University of Bonn and University of Cologne, Germany.

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