Jacob Leal, Sandrine; Napoletano, Mauro - 2016
-post and ex-ante types), of cancellation fees and of transaction taxes on asset price volatility and on the occurrence and … information and they can cancel their orders depending on expected profits. Monte-Carlo simulations reveal that reducing HF order … volatility and the frequency of flash crashes. However, these policies also imply a longer duration of flash crashes. Furthermore …
