JSE Matching engine simulator
Date
2017
Authors
Sing, Dharmesh
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Abstract
The Johannesburg Stock Exchange (JSE) started High Frequency Trading when
their matching engine moved from London to Johannesburg in 2012. The study of
market microstructure at the JSE is not possible without access to their matching
engine. This dissertation investigates the challenges of studying market microstructure
and describes the design and implementation of an open source matching engine.
CoinTossX was developed as an open source low latency high throughput stock exchange.
The software was developed in Java and used open source libraries. The
software is tested using an 8-variate mutually-exciting Hawkes process to govern the
times of coupled liquidity demand and supply events, while trade and quote prices
and volumes are generated consistent with the event type. The testing showed that
CoinTossX is able to support multiple clients, stocks and matching algorithms.
Description
A dissertation submitted in fulfilment of the requirements
of the degree of Master of Science
in the
School of Computer Science and Applied Mathematics. June 11, 2017
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Citation
Sing, Dharmesh (2017) JSE matching engine simulator, University of the Witwatersrand, Johannesburg, https://hdl.handle.net/10539/25136