Impact of Market Maker to Efficiency of Stock Market with Dark Pool - Artificial Market Approach

Abstract

In this research, we analyzed impact on m arket efficiency of interaction between high frequency trading (HFT) and dark pool to a stock market using artificial market simulation. We introduced a market maker agent, a representative strategy of HFT, and changed its spread for order price. We also c hanged each stylized trader agents' percentage to use dark pool. The result showed that the smaller the spread of the market maker is, the more efficient the stock market becomes. We discussed the mechanism that percentage to use dark pool have a different impact to the efficiency of the market depending on the size of the ma rket maker's spread.