The Impact of Arbitrage Between Stock Markets With and Without Maker–Taker Fees Using an Agent-Based Simulation
Author:
Funder
Japan Society for the Promotion of Science London
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s00354-023-00239-w.pdf
Reference26 articles.
1. Foucault, T., Kadan, O., Kandel, E.: Liquidity cycles and make/take fees in electronic markets. J. Financ. 68(1), 299–341 (2013)
2. Battalio, R., Corwin, S.A., Jennings, R.: Can brokers have it all? On the relation between make-take fees and limit order execution quality. J. Financ. 71(5), 2193–2238 (2016)
3. Cox, J., Van Ness, B., Van Ness, R.: Increasing the tick: examining the impact of the tick size change on maker-taker and taker-maker market models. Financ. Rev. 54(3), 417–449 (2019)
4. Brolley, M., Malinova, K.: Maker-Taker Fees and Liquidity: The Role of Commission Structures (2020). https://ssrn.com/abstract=3726190
5. Yagi, I., Hoshino, M., Mizuta, T.: Analysis of the impact of maker-taker fees on the stock market using agent-based simulation. In: Proceedings of the First ACM International Conference on AI in Finance. ICAIF ’20. Association for Computing Machinery, New York, NY, USA (2020). https://doi.org/10.1145/3383455.3422523
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