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A Reexamination of High Frequency Trading Regulation Effectiveness in an Artificial Market Framework

Authors
  • Veryzhenko, Iryna
  • Arena, Lise
Publication Date
Jun 07, 2017
Source
HAL-UPMC
Keywords
Language
English
License
Unknown
External links

Abstract

In this paper we analyze the impact of the French cancel order tax on market quality measured by market liquidity and volatility. Additionally, this paper raises the question whether this tax leads to reduction of high-frequency trading (HFT) activities and a declining in trading volume. Moreover, we test market rules that have not been yet introduced using artificial market framework.

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