Effectiveness of Maker-Taker Fees to Total Trading Costs and Market Liquidity Using an Agent-based Model-Reference-Cited by-同舟云学术

Effectiveness of Maker-Taker Fees to Total Trading Costs and Market Liquidity Using an Agent-based Model

Published:2021-09-01 Issue:5 Volume:36 Page:AG21-G_1-10
ISSN:1346-0714
Container-title:Transactions of the Japanese Society for Artificial Intelligence
language:en
Short-container-title:Transactions of the Japanese Society for Artificial Intelligence

Author:

Hoshino Mahiro¹,Mizuta Takanobu²,Yagi Isao³

Affiliation:

1. Information and Computer Sciences, Graduate School of Kanagawa Institute of Technology

2. SPARX Asset Management Co., Ltd.

3. Department of Information Systems and Applied Mathematics, Faculty of Informatics, Kogakuin University

Publisher

Japanese Society for Artificial Intelligence

Subject

Artificial Intelligence,Software

Link

https://www.jstage.jst.go.jp/article/tjsai/36/5/36_36-5_AG21-G/_pdf

Reference23 articles.

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3. [Chen 12] Chen, S.-H., Chang, C.-L., and Du, Y.-R.: Agent-based economic models and econometrics,The Knowledge Engineering Review, Vol. 27, No. 2, pp. 187–219 (2012)

4. [Chiarella 09] Chiarella, C., Iori, G., and Perell ́o, J.: The impact of heterogeneous trading rules on the limit order book and order flows, Journal of Economic Dynamics and Control, Vol. 33, No. 3, pp. 525–537 (2009)

5. [Cont 01] Cont, R.: Empirical properties of asset returns: Stylizedfacts and statistical issues, Quantitative Finance, Vol. 1, pp. 223–236(2001)

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1. Investigation into effectiveness of maker-taker fees in stock markets using artificial market;SSRN Electronic Journal;2022