文章基本信息

标题：Market Microstructure Design and Flash Crashes: A Simulation Approach
本地全文：下载
作者：Paul Brewer ; Jaksa Cvitanic ; Charles R. Plott 等
期刊名称：Journal of Applied Economics
印刷版ISSN：1514-0326
电子版ISSN：1667-6726
出版年度：2013
卷号：16
期号：2
页码：223-250
DOI：10.1016/S1514-0326(13)60010-0
摘要：We study consequences of regulatory interventions in limit order markets that aim at stabilizing the market after an occurrence of a ''flash crash''. We use a simulation platform that creates random arrivals of trade orders, that allows us to analyze subtle theoretical features of liquidity and price variability under various market structures. The simulations are performed under continuous double-auction microstructure, and under alternatives, including imposing minimum resting times, shutting off trading for a period of time, and switching to call auction mechanisms. We find that the latter is the most effective in restoring the liquidity of the book and recovery of the price level. However, one has to be cautious about possible consequences of the intervention on the traders' strategies, including an undesirable slowdown of a convergence to a new equilibrium after a change in fundamentals.
关键词：G17 ; G18 ; market microstructure ; flash crash ; high frequency trading ; call markets ; market regulation ; market simulation