Dark Pool Trading: An Experiment

Keywords: dark pools, z-Tree, experimental economics, asset market simulation, non-parametric tests, Stata

This project was done under Professor Yohanes Eko Riyanto, for my bachelor thesis. It can be found on the NTU Digital Repository.

I designed and coded an asset market simulation consisting of an exchange and a dark pool, using z-Tree, a C++-based programming language for experimental economics. The simulation supported multiple treatments, including a varying tick size, lot size restrictions to implement the role of institutional traders, and different pricing mechanisms in the dark pool. I started with a template prepared by Wang Yan and Edward, who are researchers working with Professor Eko.

Then, my group and I conducted experiments where undergraduate and graduate students traded fictional assets in the market simulation.

Finally, I analyzed experimental data using clustered regressions and non-parametric statistical tests like Mann-Whitney-Wilcoxon test and Kolmogorov-Smirnov test, on Stata.