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首页> 外文期刊>Journal of Economic Behavior & Organization >Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading
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Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading

机译：市场稳定性与市场弹性：监管政策在基于代理的模型中进行低频和高频交易的实验

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摘要

We investigate the effects of a set of regulatory policies directed towards high-frequency trading (HFT) through an agent-based model of a limit order book able to generate flash crashes as the result of the interactions between low- and high-frequency traders. In particular, we study the impact of the imposition of minimum resting times, of circuit breakers, of cancellation fees and of transaction taxes on asset price volatility and on the occurrence and the duration of flash crashes. Monte-Carlo simulations reveal that HFT-targeted policies imply a trade-off between market stability and resilience. Indeed, we find that policies able to tackle volatility and flash crashes also hinder the market from quickly recovering after a crash. This result is mainly due to the dual role of HFT, as both a cause of flash crashes and a key player in the post-crash recovery. (C) 2017 Elsevier B.V. All rights reserved.
机译：我们通过一套基于代理商的限价单簿模型研究针对高频交易（HFT）的一系列监管政策的效果，该模型能够生成由于低频交易者和高频交易者之间的互动而导致的崩溃。特别是，我们研究了施加最短休息时间，断路器，取消费和交易税对资产价格波动以及闪崩发生和持续时间的影响。蒙特卡洛的模拟显示，针对HFT的政策意味着市场稳定性与弹性之间的权衡。确实，我们发现能够应对波动和闪电崩盘的政策也阻碍了市场在崩盘后迅速恢复。此结果主要归因于HFT的双重作用，既是闪存崩溃的原因，也是崩溃后恢复中的关键角色。 （C）2017 Elsevier B.V.保留所有权利。

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