Post Flash Crash Recovery: An Agent-based Analysis
Iryna Veryzhenko
(1)
,
Nathalie Oriol
(2)
Nathalie Oriol
- Fonction : Auteur
- PersonId : 3539
- IdHAL : nathalie-oriol
- IdRef : 132092824
Résumé
In this paper we focus on the traders that purely rely on algorithms in their decision making and their impact on market quality during moments of instability. We describe an agent-based framework that successfully reproduces main aspects of flash crash. We simulate the effect of a large liquidity shock generated by a very aggressive market order. We show that, despite the absence of market makers, the electronic order-book architecture favors market resiliency and recovery.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Communication dans un congrès |
Titre |
en
Post Flash Crash Recovery: An Agent-based Analysis
|
Résumé |
en
In this paper we focus on the traders that purely rely on algorithms in their decision making and their impact on market quality during moments of instability. We describe an agent-based framework that successfully reproduces main aspects of flash crash. We simulate the effect of a large liquidity shock generated by a very aggressive market order. We show that, despite the absence of market makers, the electronic order-book architecture favors market resiliency and recovery.
|
Auteur(s) |
Iryna Veryzhenko
1
, Nathalie Oriol
2
1
LIRSA -
Laboratoire interdisciplinaire de recherche en sciences de l'action
( 186209 )
- CNAM 292 rue Saint Martin 75 141 PARIS Cédex 03
- France
2
GREDEG -
Groupe de Recherche en Droit, Economie et Gestion
( 185786 )
- GREDEG - Bâtiment 2 - Campus Azur du CNRS - 250 rue Albert Einstein - CS 10269 - F
06905 SOPHIA ANTIPOLIS Cedex
- France
|
Langue du document |
Anglais
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Invité |
Non
|
Audience |
Internationale
|
Date de publication |
2016
|
Titre du congrès |
8th International Conference on Agents and Artificial Intelligence - ICAART 2016
|
Date début congrès |
2016-02-24
|
Date fin congrès |
2016-02-26
|
Ville |
Rome
|
Pays |
Italie
|
Titre de la collection |
Proceedings of the 8th International Conference on Agents and Artificial Intelligence
|
Licence |
Paternité - Pas d'utilisation commerciale - Pas de modification
|
Actes |
Oui
|
Source |
Proceedings of the 8th International Conference on Agents and Artificial Intelligence - (Volume 1)
February 24-26, 2016, in Rome, Italy
|
Page/Identifiant |
190-197
|
Domaine(s) |
|
Mots-clés (JEL) |
|
Éditeur commercial |
|
Référence interne |
|
Collaboration/Projet |
|
Éditeur scientifique |
|
Mots-clés |
en
Agent-based modeling, Limit order book, Technical trading, Flash crash.
|
DOI | 10.5220/0005707401900197 |
Loading...