Market Data Simulation

A simple electronic market is implemented where low intelligence agents engage in trading according to characteristics reported concerning typical patterns and statistics. We manage to recover distinctive patterns such as the U-shape of traded volume and gamma distributed order book while introducing a price driving process forcing the price towards its fundamental value. Two such processes are compared and shown to successfully produce market data explaining price paths almost indistinguishable from paths generated by stochastic processes such as the geometric Brownian motion. The introduction of the price driving processes makes it possible to force specific volatility, drift or similar features in addition to effortless generation of market data for correlated stocks.