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Chapitre d'ouvrage Année : 2017

A Reexamination of High Frequency Trading Regulation Effectiveness in an Artificial Market Framework

Résumé

In this paper we analyze the impact of the French cancel order tax on market quality measured by market liquidity and volatility. Additionally, this paper raises the question whether this tax leads to reduction of high-frequency trading (HFT) activities and a declining in trading volume. Moreover, we test market rules that have not been yet introduced using artificial market framework.
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Dates et versions

halshs-01444738, version 1 (24-01-2017)

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Iryna Veryzhenko, Lise Arena. A Reexamination of High Frequency Trading Regulation Effectiveness in an Artificial Market Framework. Advances in Intelligent Systems and Computing , 473, Springer, 2017, Trends in Practical Applications of Scalable Multi-Agent Systems, the PAAMS Collection, 978-3-319-40159-1. ⟨10.1007/978-3-319-40159-1_2⟩. ⟨halshs-01444738⟩
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