文章基本信息

标题：人工市場を用いたメイカー・テイカー制が取引コストと市場流動性に与える影響の分析
本地全文：下载
作者：星野真広 ; 水田孝信 ; 八木勲等
期刊名称：人工知能学会論文誌
印刷版ISSN：1346-0714
电子版ISSN：1346-8030
出版年度：2021
卷号：36
期号：5
页码：1-10
DOI：10.1527/tjsai.36-5_AG21-G
语种：Japanese
出版社：The Japanese Society for Artificial Intelligence
摘要：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.
关键词：maker-taker fees;market liquidity;financial market;artificial market;multi-agent system;agent-based simulation