SICE Journal of Control, Measurement, and System Integration
Online ISSN : 1884-9970
Print ISSN : 1882-4889
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Investigating the Impact of Trading Frequencies of Market Makers: A Multi-Agent Simulation Approach
Chi WANGKiyoshi IZUMITakanobu MIZUTAShinobu YOSHIMURA
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Volume 6 (2013) Issue 3 Pages 216-220

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Abstract

This research builds an artificial market, which was composed of stylized traders and of market makers, to study the market impact under different trading frequencies of market makers. In addition, the authors implemented a learning algorithm for market makers to search the optimal trading frequency. The results indicate that the market makers have a positive effect on reducing the price volatility, but that, when the market is highly volatile, the market making strategy can cause a crash of the market. The learning algorithm may intensify the crash/spike.

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© 2013 The Society of Instrument and Control Engineers
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