マーケットメーカーがダーク・プールの存在する市場の効率性に与える影響：人工市場アプローチによる分析
2016 年 2016 巻 FIN-016 号 p. 29-
詳細
2016 年 2016 巻 FIN-016 号 p. 29-
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.
