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

Iryna Veryzhenko and Lise Arena ()
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Iryna Veryzhenko: LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM]
Lise Arena: GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis (1965 - 2019) - CNRS - Centre National de la Recherche Scientifique - UniCA - Université Côte d'Azur

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Abstract: 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.

Keywords: High; frequency; trading; market; regulation; Market; liquidity; and; volatility; Agent-based; modeling (search for similar items in EconPapers)
Date: 2017-06-07
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Published in 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⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01444738

DOI: 10.1007/978-3-319-40159-1_2

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