Market structure or traders’ behavior? An assessment of flash crash phenomena and their regulation based on a multi-agent simulation
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1 mai 2015
- handle: 10670/1.hjvqaj
- halshs: halshs-01254435
info:eu-repo/semantics/OpenAccess
Mots-clés
flash crash limit order book technical trading Agent-based modeling zero-intelligence traderSujets proches
Surgical shockCiter ce document
Nathalie Oriol et al., « Market structure or traders’ behavior? An assessment of flash crash phenomena and their regulation based on a multi-agent simulation », HAL-SHS : économie et finance, ID : 10670/1.hjvqaj
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Résumé
This paper aims at studying the flash crash caused by an operational shock with different market participants. We reproduce this shock in artificial market framework to study market quality in different scenarios, with or without strategic traders. We show that traders’ srategies influence the magnitude of the collapse.But, with the help of zero-intelligence traders framework, we show that despite theabsence of market makers, the order-driven market is resilient and favors a price recovery. We find that a short-sales ban imposed by regulator reduces short-term volatility.