MicroExchange/output/report.txt at main · Leotaby/MicroExchange · GitHub

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  ═══════════════════════════════════════════
  MicroExchange — Simulation Report
  ═══════════════════════════════════════════

  Engine Statistics
  ─────────────────────────────────────────
  Total orders:    590168
  Total trades:    209905
  Total volume:    25457000
  Active orders:   442418
  Feed messages:   629715 (A=0 T=209905 D=0 Q=419810)
  Wall time:       1.11 sec
  Throughput:      530743 events/sec

  Spread Decomposition (Huang-Stoll)
  ─────────────────────────────────────────
  Quoted spread:      1.06 ticks
  Effective spread:   0.77 ticks
  Realized spread:    0.83 ticks
  Price impact:       -0.06 ticks
  Adverse selection:  -7.51%

  Kyle's Lambda
  ─────────────────────────────────────────
  lambda:   1.640e-05 (ticks per share, signed)
  R²:       0.01
  t-stat:   3.1
  N:        719

  Stylized Facts
  ─────────────────────────────────────────
  Excess kurtosis:     1.16
  AC(|r|, lag=1):      0.24
  AC(|r|, lag=5):      0.06
  AC(|r|, lag=10):     0.04

  ✓ Fat tails (kurtosis > 3) → 1.16 (benchmark: > 0 (excess kurtosis))
  ✓ Volatility clustering (AC|r| lag1 > 0.1) → 0.24 (benchmark: 0.15-0.40)
  ✓ Slow AC decay (lag10 > 0) → 0.04 (benchmark: > 0)

  ═══════════════════════════════════════════

  Output files:
    output/trades.csv
    output/midprices.csv
    output/spreads.csv
    output/report.txt