Journal article

Authors list: Mandes, Alexandru

Publication year: 2020

Pages: 407-450

Journal: Computational Economics

Volume number: 55

Issue number: 2

ISSN: 0927-7099

eISSN: 1572-9974

DOI Link: https://doi.org/10.1007/s10614-019-09891-1

Publisher: Springer

Abstract: 
The current contribution addresses the impact of high-frequency electronic liquidity provision strategies on the intraday dynamics of financial markets, by means of an artificial stock market. As novel design feature, an event-based intraday time implementation is proposed, allowing for the generation of time-stamped intraday events, which make possible both the aggregation of time series at various time frequencies, as well as the correct simulation of trading strategies that follow different temporal frequencies, e.g., low- and high-frequency. We provide new insights with respect to the determinants of extreme events, such as flash crashes. Finally, we compare the causal chains and the effectiveness of two potential regulatory policies under the same market circumstances, i.e., minimum resting time and financial-transaction taxes, not only with respect to their flash crash prevention power, but also regarding their impact on market participants and market quality, shedding new light on the policy trade-offs.

Harvard Citation style: Mandes, A. (2020) Impact of Electronic Liquidity Providers Within a High-Frequency Agent-Based Modeling Framework, Computational Economics, 55(2), pp. 407-450. https://doi.org/10.1007/s10614-019-09891-1

APA Citation style: Mandes, A. (2020). Impact of Electronic Liquidity Providers Within a High-Frequency Agent-Based Modeling Framework. Computational Economics. 55(2), 407-450. https://doi.org/10.1007/s10614-019-09891-1