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首页> 外文会议>IEEE Conference on Computational Intelligence for Financial Engineering Economics >Do dark pools stabilize markets and reduce market impacts? Investigations using multi-agent simulations
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Do dark pools stabilize markets and reduce market impacts? Investigations using multi-agent simulations

机译：黑池能稳定市场并减少市场影响吗？使用多主体模拟进行调查

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In financial stock markets, dark pools, which never provide any order books and quotes, are becoming widely used. It is said that dark pools may lead to stabilization of markets. However, an increased use of dark pools does raise regulatory concerns as it may ultimately affect the quality of the price discovery mechanism. In this study, we built an artificial market model, multi-agent simulation, including one lit market, which provides all order books to investors, and one dark pool to investigate whether dark pools stabilize markets or not. We found that as the dark pool is increasingly used, markets become more stable. We also found that using the dark pool more reduces the market impacts. However, if other investors' usage rates of dark pools become too large, investors must use the dark pool more than other investors to avoid market impacts. When tick size of a lit market is large, dark pools are more useful to avoid market impacts. These results suggest that dark pools stabilize markets when the usage rate is under some threshold and negatively affect the market when the usage rate is over that threshold. Our simulation results suggested the threshold might be much lager than the usage rate in present real financial markets.
机译：在金融股票市场中，从来没有提供任何订单簿和报价的黑池正在被广泛使用。据说，黑池可能导致市场稳定。但是，增加使用暗池确实会引起监管机构的关注，因为这最终可能会影响价格发现机制的质量。在这项研究中，我们建立了一个人工市场模型，多主体模拟（包括一个点燃的市场，该市场向投资者提供所有定单），以及一个暗池，用于研究暗池是否稳定了市场。我们发现，随着越来越多的人使用黑池，市场变得更加稳定。我们还发现，使用黑池可以减少对市场的影响。但是，如果其他投资者对暗池的使用率变得太大，则投资者必须比其他投资者更多地使用暗池，以避免市场影响。当照明市场的波动幅度较大时，暗池将更有用以避免市场影响。这些结果表明，当使用率低于某个阈值时，黑池使市场稳定，而当使用率超过该阈值时，暗池会对市场产生负面影响。我们的模拟结果表明，该阈值可能比当前实际金融市场中的使用率大得多。

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