Post Flash Crash Recovery: An Agent-based Analysis

Iryna Veryzhenko and Nathalie Oriol
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Iryna Veryzhenko: LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM]

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Abstract: 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.

Keywords: Agent-based modeling; Limit order book; Technical trading; Flash crash. (search for similar items in EconPapers)
Date: 2016-02-24
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Citations: View citations in EconPapers (1)

Published in 8th International Conference on Agents and Artificial Intelligence - ICAART 2016, Feb 2016, Rome, Italy. pp.190-197, ⟨10.5220/0005707401900197⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01444792

DOI: 10.5220/0005707401900197

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