论文标题
使用基于代理的模拟分析制造商费用对股票市场的影响
Analysis of the impact of maker-taker fees on the stock market using agent-based simulation
论文作者
论文摘要
最近，美国的大多数证券交易所都雇用了制造商费用，在该费用中，交易所向交易者支付回扣，在订单簿中下达订单，并向从订单簿中收取订单的交易者收取费用。制造商的费用鼓励交易者下达许多为交易所提供市场流动性的订单。但是，尚不清楚制造商费用如何影响接收订单的总成本，包括所有收费费和市场影响。在这项研究中，我们调查了制造商费用对人工市场模型采购订单的总成本的影响，这是一种基于代理的金融市场模型。我们发现，制造商的费用鼓励市场效率，但增加了接受订单的总成本。
Recently, most stock exchanges in the U.S. employ maker-taker fees, in which an exchange pays rebates to traders placing orders in the order book and charges fees to traders taking orders from the order book. Maker-taker fees encourage traders to place many orders that provide market liquidity to the exchange. However, it is not clear how maker-taker fees affect the total cost of a taking order, including all the charged fees and the market impact. In this study, we investigated the effect of maker-taker fees on the total cost of a taking order with our artificial market model, which is an agent-based model for financial markets. We found that maker-taker fees encourage market efficiency but increase the total costs of taking orders.
