Market structure or traders’ behavior An assessment of flash crash phenomena and their regulation based on a multi-agent simulationReport as inadecuate




Market structure or traders’ behavior An assessment of flash crash phenomena and their regulation based on a multi-agent simulation - Download this document for free, or read online. Document in PDF available to download.

1 GREDEG - Groupe de Recherche en Droit, Economie et Gestion 2 LIRSA - Laboratoire Interdisciplinaire de Recherche en Sciences de l-Action

Abstract : This paper aims at studying the flash crash caused by an operational shock with different market participants. We reproduce this shock in artificial market framework to study market quality in different scenarios, with or without strategic traders. We show that traders’ srategies influence the magnitude of the collapse.But, with the help of zero-intelligence traders framework, we show that despite theabsence of market makers, the order-driven market is resilient and favors a price recovery. We find that a short-sales ban imposed by regulator reduces short-term volatility.

Keywords : flash crash limit order book technical trading Agent-based modeling zero-intelligence trader





Author: Nathalie Oriol - Iryna Veryzhenko -

Source: https://hal.archives-ouvertes.fr/



DOWNLOAD PDF




Related documents