Abstract
We built an artificial market model and investigated the impact of large erroneous orders on price formations. Comparing the case of consented large erroneous orders in the short term with that of continuous small erroneous orders in the long term, if amounts of orders are the same, we found that the orders induced almost the same price fall range. We also analyzed effects of price variation limits for erroneous orders and found that price variation limits that employ a limitation term shorter than the time erroneous orders exist effectively prevent large price fluctuations. We also investigated effects of up-tick rules adopting the trigger method that the Japan Financial Services Agency adopted on November 2013.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
