A Multi‐agent System for Policy Design of Tick Size in Stock Index Futures Markets
Author
Abstract
Suggested Citation
DOI: 10.1002/sres.2292
Download full text from publisher
References listed on IDEAS
- Carl Chiarella & Giulia Iori, 2002. "A simulation analysis of the microstructure of double auction markets," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 346-353.
- Chiarella, Carl & Iori, Giulia, 2009.
"The impact of heterogeneous trading rules on the limit order book and order flows,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 525-537.
- Carl Chiarella & Giulia Iori, 2005. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Research Paper Series 152, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, C. & Iori, G. & Perello, J., 2008. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Working Papers 08/04, Department of Economics, City University London.
- Carl Chiarella & Giulia Iori & Josep Perello, 2007. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Papers 0711.3581, arXiv.org.
- Glosten, Lawrence R. & Milgrom, Paul R., 1985.
"Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,"
Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
- Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Ahn, Hee-Joon & Cai, Jun & Chan, Kalok & Hamao, Yasushi, 2007. "Tick size change and liquidity provision on the Tokyo Stock Exchange," Journal of the Japanese and International Economies, Elsevier, vol. 21(2), pages 173-194, June.
- Goettler, Ronald L. & Parlour, Christine A. & Rajan, Uday, 2009. "Informed traders and limit order markets," Journal of Financial Economics, Elsevier, vol. 93(1), pages 67-87, July.
- Tesfatsion, Leigh, 2001.
"Introduction to the special issue on agent-based computational economics,"
Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 281-293, March.
- Tesfatsion, Leigh S., 2001. "Introduction to the Special Issue on Agent-Based Computational Economics," Staff General Research Papers Archive 10038, Iowa State University, Department of Economics.
- Tesfatsion, Leigh S., 2001. "Introduction to the Special Issue on Agent-Based Computational Economics," Staff General Research Papers Archive 1915, Iowa State University, Department of Economics.
- W. Brian Arthur & Paul Tayler, "undated". "Asset Pricing Under Endogenous Expectations in an Artificial Stock Market," Computing in Economics and Finance 1997 57, Society for Computational Economics.
- Ke, Mei-Chu & Jiang, Ching-Hai & Huang, Yen-Sheng, 2004. "The impact of tick size on intraday stock price behavior: evidence from the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 19-39, January.
- Ascioglu, Asli & Comerton-Forde, Carole & McInish, Thomas H., 2010. "An examination of minimum tick sizes on the Tokyo Stock Exchange," Japan and the World Economy, Elsevier, vol. 22(1), pages 40-48, January.
- Theissen, Erik, 2000. "Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets," Journal of Financial Markets, Elsevier, vol. 3(4), pages 333-363, November.
- Ronald L. Goettler & Christine A. Parlour & Uday Rajan, 2005. "Equilibrium in a Dynamic Limit Order Market," Journal of Finance, American Finance Association, vol. 60(5), pages 2149-2192, October.
- Sugato Chakravarty & Robert A. Wood & Robert A. Van Ness, 2004. "Decimals And Liquidity: A Study Of The Nyse," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 27(1), pages 75-94, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Wei, Lijian & Zhang, Wei & Xiong, Xiong & Shi, Lei, 2015. "Position limit for the CSI 300 stock index futures market," Economic Systems, Elsevier, vol. 39(3), pages 369-389.
- Lijian Wei & Wei Zhang & Xiong Xiong & Lei Shi, 2014. "Position-Limit Design for the CSI 300 Futures Markets," Research Paper Series 349, Quantitative Finance Research Centre, University of Technology, Sydney.
- Xiong Xiong & Yian Cui & Xiaocong Yan & Jun Liu & Shaoyi He, 2020. "Cost-benefit analysis of trading strategies in the stock index futures market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-17, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- He, Xue-Zhong & Lin, Shen, 2022. "Reinforcement Learning Equilibrium in Limit Order Markets," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
- Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013. "Learning and Information Dissemination in Limit Order Markets," Research Paper Series 333, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, Carl & Ladley, Daniel, 2016. "Chasing trends at the micro-level: The effect of technical trading on order book dynamics," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 119-131.
- Anufriev, Mikhail & Panchenko, Valentyn, 2009.
"Asset prices, traders' behavior and market design,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1073-1090, May.
- Anufriev, M. & Panchenko, V., 2007. "Asset Prices, Traders' Behavior, and Market Design," CeNDEF Working Papers 07-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Chiarella, Carl & He, Xue-Zhong & Wei, Lijian, 2015. "Learning, information processing and order submission in limit order markets," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 245-268.
- Lijian Wei & Xiong Xiong & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2017. "The effect of genetic algorithm learning with a classifier system in limit order markets," Published Paper Series 2017-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Paolo Mazza & Mikael Petitjean, 2019.
"Testing the effect of technical analysis on market quality and order book dynamics,"
Applied Economics, Taylor & Francis Journals, vol. 51(18), pages 1947-1976, April.
- Paolo Mazza & Mikael Petitjean, 2018. "Testing the effect of technical analysis on market quality and order book dynamics," Post-Print hal-01914631, HAL.
- Mazza, Paolo & Petitjean, Mikael, 2019. "Testing the effect of technical analysis on market quality and order book dynamics," LIDAM Reprints LFIN 2019006, Université catholique de Louvain, Louvain Finance (LFIN).
- Alexandru Mandes & Peter Winker, 2017.
"Complexity and model comparison in agent based modeling of financial markets,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 469-506, October.
- Alexandru Mandes & Peter Winker, 2015. "Complexity and Model Comparison in Agent Based Modeling of Financial Markets," MAGKS Papers on Economics 201528, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Thanos Verousis & Pietro Perotti & Georgios Sermpinis, 2018. "One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 353-392, February.
- Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4, July-Dece.
- Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2013, January-A.
- Wei, Lijian & Zhang, Wei & Xiong, Xiong & Shi, Lei, 2015. "Position limit for the CSI 300 stock index futures market," Economic Systems, Elsevier, vol. 39(3), pages 369-389.
- Isao Yagi & Yuji Masuda & Takanobu Mizuta, 2020. "Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity," Papers 2010.13038, arXiv.org.
- Blake LeBaron & Ryuichi Yamamoto, 2008. "The Impact of Imitation on Long Memory in an Order-Driven Market," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 34(4), pages 504-517.
- Lijian Wei & Wei Zhang & Xiong Xiong & Lei Shi, 2014. "Position-Limit Design for the CSI 300 Futures Markets," Research Paper Series 349, Quantitative Finance Research Centre, University of Technology, Sydney.
- Paolo Pellizzari & Dan Ladley, 2014. "The simplicity of optimal trading in order book markets," Working Papers 2014:05, Department of Economics, University of Venice "Ca' Foscari".
- Alessio Emanuele Biondo, 2018. "Order book microstructure and policies for financial stability," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 35(1), pages 196-218, March.
- Duc Hong Vo & Bao Doan, 2023. "Minimum tick size, market quality and costs of trade execution in Vietnam," PLOS ONE, Public Library of Science, vol. 18(5), pages 1-19, May.
- Roberto Riccò & Barbara Rindi & Duane J. Seppi, 2020. "Information, Liquidity, and Dynamic Limit Order Markets," Working Papers 660, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Mazza, Paolo, 2015.
"Price dynamics and market liquidity: An intraday event study on Euronext,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 139-153.
- Paolo Mazza, 2015. "Price dynamics and market liquidity: An intraday event study on Euronext," Post-Print hal-01563014, HAL.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:srbeha:v:31:y:2014:i:4:p:512-526. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://onlinelibrary.wiley.com/journal/10.1111/1092-7026 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.