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

Author

Listed:
  • Iryna Veryzhenko

    (LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM] - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université)

  • 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)

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.

Suggested Citation

  • Iryna Veryzhenko & Lise Arena, 2017. "A Reexamination of High Frequency Trading Regulation Effectiveness in an Artificial Market Framework," Post-Print halshs-01444738, HAL.
    • Handle: RePEc:hal:journl:halshs-01444738
    DOI: 10.1007/978-3-319-40159-1_2
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    References listed on IDEAS

    as
    1. Friederich, Sylvain & Payne, Richard, 2015. "Order-to-trade ratios and market liquidity," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 214-223.
    2. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
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    6. Herbert A. Simon, 1996. "The Sciences of the Artificial, 3rd Edition," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262691914, December.
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