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Posted in Research Topics.

The InterDyne Simulator (2011-)

The InterDyne Simulator is designed to support exploration of interaction dynamics and feedback effects in non-smooth complex systems. It is a general-purpose tool that can be applied to a wide variety of systems, though at UCL its primary use has been to simulate interaction dynamics in the financial markets.

  • InterDyne is a discrete-time simulator, and simulations proceed for a stated number of time steps. The mapping of a simulator time step to a period of real time is a semantic issue for the designer of the experiment being run on InterDyne. 

 

  • InterDyne is an intrinsically deterministic simulator - a simulation will always behave the same way every time it is run (unless the programmer expressly includes nondeterminism). This determinism greatly assists the understanding of the low-level interactions that cause complex behaviour, i.e. it facilitates determination of the causal pathway of a particular behaviour. Despite being intrinsically deterministic, Interdyne permits two types of non-determinism to be expressed - (i) the programmer may include non-deterministic (or pseudo-non-deterministic) elements in the code for a component; and (ii) where a simulation component receives many data items in one time step from many other components, Interdyne may be instructed to provide those data items either sorted according to the sender's identity or sorted pseudo-randomly - however, the pseudo-random behaviour will be identical each time the simulation is run. If it is desired to run a simulation multiple times, each time with a different behaviour, then the pseudo-random behaviour can be provided with a different seed on each run. 

 

  • InterDyne interaction is effected via communication between components; InterDyne supports both one-to-one communication and one-to-many communication.

 

  • InterDyne supports the precise definition of communication topology between components, to determine which interactions (communications) are permitted and which are not. This facilitates the design and implementation of simulations; an InterDyne simulation is a directed graph where the nodes are components (such as a trader, a news feed, or an exchange) and the edges are communication links.

 

  • InterDyne supports the specification of a separate information delay for each possible interaction path defined in the communication topology; these delays are applied to both one-to-one communications and one-to-many communications.

 

  • InterDyne permits components to be modelled at differing levels of detail. For example, one component may represent a trading algorithm modelled in great detail including internal data structures, interacting with another component that is modelled as a simple function generating orders according to a required statistical distribution.

 

  • InterDyne simulations are programmed using a functional language - the most recent version uses Haskell. This facilitates rapid development of simulations, and permits such simulations to be viewed as executable specifications.

 

  • InterDyne simulations may be interpreted either as executable specifications or as agent-based simulations.

 

  • The primary output from an InterDyne simulation is a trace file, suitable for further analysis.

 

Development of the InterDyne simulator

Development of the InterDyne Simulator began in 2011, initially implemented using the functional language Miranda and then ported to Haskell. Several UCL students and researchers have been involved either in the development of InterDyne, or in using InterDyne to run experiments in Interaction Dynamics. [Learn more]

InterDyne documents

A draft InterDyne User Manual is available; this provides an introduction to the basic features of InterDyne. Other working papers and project dissertations related to InterDyne are also available. [Learn more]