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Pré-publication, Document de travail Année : 2015

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

Résumé

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.
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Dates et versions

halshs-01254435, version 1 (12-01-2016)

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  • HAL Id : halshs-01254435 , version 1

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Nathalie Oriol, Iryna Veryzhenko. Market structure or traders’ behavior? An assessment of flash crash phenomena and their regulation based on a multi-agent simulation. 2015. ⟨halshs-01254435⟩
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Dernière date de mise à jour le 28/04/2024
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