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Communication Dans Un Congrès Année : 2016

Post Flash Crash Recovery: An Agent-based Analysis

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.

Dates et versions

halshs-01444792 , version 1 (24-01-2017)

Licence

Paternité - Pas d'utilisation commerciale - Pas de modification

Identifiants

Citer

Iryna Veryzhenko, Nathalie Oriol. Post Flash Crash Recovery: An Agent-based Analysis. 8th International Conference on Agents and Artificial Intelligence - ICAART 2016, Feb 2016, Rome, Italy. pp.190-197, ⟨10.5220/0005707401900197⟩. ⟨halshs-01444792⟩
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