Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation

Oriol Nathalie; Veryzhenko Iryna

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Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation

机译：市场结构或交易员的行为？一种多代理模型，以评估闪存现象及其监管

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Analyzing the market reaction to a flash crash caused by an operational shock with different market participants

机译：用不同市场参与者进行操作冲击引起的闪存崩溃的市场反应

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来源
《Quantitative finance》 |2019年第7期|共18页
作者
Oriol Nathalie; Veryzhenko Iryna;
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Univ Cote dAzur CNRS GREDEG 250 Rue Albert Einstein F-06560 Valbonne France;

Conservatoire Natl Arts &

Metiers LIRSA LabEx ReFi 40 Rue Jeuneurs F-75002 Paris France;

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正文语种 eng
中图分类经济;
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1. Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation [J] . Oriol Nathalie, Veryzhenko Iryna Quantitative finance . 2019,第7期

机译：市场结构或交易员的行为？一种多代理模型，以评估闪存现象及其监管
2. What will be the legacy of the ‘Flash Crash’? Developments in US equities market regulation [J] . Janet M. Angstadt Capital Markets Law Journal . 2011,第1期

机译：“ Flash Crash”的后果是什么？美国股票市场监管的发展
3. Agent-based Modeling Simulation Analysis on the Regulation of Institutional Investor's Encroachment Behavior in Stock Market [J] . Yang Li, Shuo Liu Journal of Industrial Engineering and Management . 2014,第2期

机译：机构投资者对股票市场侵占行为的调节基于Agent的建模仿真分析
4. Traders' Behavioral Propensities and Stock Market Dynamic Regimes in a Stochastic Multi-agent Model [C] . International Conference on Information and Financial Engineering . 2009

机译：随机多代理模型中的贸易商的行为促进和股票市场动态制度
5. Artificial Financial Market: An Agent-Based Approach to Modeling the Influence of Traders Characteristics on Emergent Market Phenomena [D] . Kamyab Hessary, Yasaman. 2018

机译：人工金融市场：一种基于代理的方法来建模交易者特征对新兴市场现象的影响
6. Colloquium PaperAdaptive Agents Intelligence and Emergent Human Organization: Capturing Complexity through Agent-Based Modeling: Short-memory traders and their impact on group learning in financial markets [O] . Blake LeBaron 2002

机译：座谈会论文自适应代理情报和新兴人类组织：通过基于代理的建模来捕捉复杂性：短期交易者及其对金融市场中群体学习的影响
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation

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