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As demonstrated during the recent financial crisis, regulators requireadditional analytical tools to assess systemic risk in the financial sector.This paper describes one such tool; namely a novel market modeling and analysiscapability. Our model builds upon two leading market models: one whichemphasizes market micro-structure and another which emphasizes an ecology oftrading strategies. We address a limitation of market modeling, namely theconsideration of only one dominant trading strategy (i.e., long positions). Ourmodel aligns closely with several widely held stylized facts of financialmarkets. And a final contribution of this work stems from our empiricalanalysis of the fractal nature of both empirical markets and our market model.

Adding to the Regulator's Toolbox: Integration and Extension of Two Leading Market Models