2021 年 36 巻 5 号 p. AG21-G_1-10
Recently, most stock exchanges in the U.S. employ maker-taker fees, in which an exchange pays rebates to traders placing make orders (remaining on an order book) and charges fees to traders taking orders (executed immediately). The maker-taker fees will encourage traders to place many make orders and the orders will provide liquidity to the exchange. However, the effects of the maker-taker fees for a total cost of a taking order, including all the charged fees and market impact, are not clear. In this study, we investigated the effects of the maker-taker fees for the total costs of a taking orders using our artificial market model, which is an agent-based model for financial markets. In addition, we examine the difference of market liquidity in the market between with and without a makertaker fee structure. We found that the maker-taker fees encourage the traders to provide liquidity, whereas increase the total costs of taking orders. Furthermore, we found market liquidity improved when the market maker rebates increased.
