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Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro - In: Journal of economic behavior & organization : JEBO 157 (2019), pp. 15-41

Persistent link: https://www.econbiz.de/10012138458

Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro - 2016

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Assessing the impact of an EU financial transactions tax on asset volatility : an event study

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Die Bedeutung von Derivaten für die Funktionsfähigkeit von Finanzmärkten

Johanning, Lutz - In: Derivate und Finanzstabilität : Erfahrungen aus vier …, (pp. 59-71). 2013

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Market stability vs. market resilience : regulatory policies experiments in an agent based model with low- and high-frequency trading

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 … volatility and the frequency of flash crashes. However, these policies also imply a longer duration of flash crashes. Furthermore …, the introduction of an ex-ante circuit breaker markedly reduces price volatility and removes flash crashes. In contrast …

Persistent link: https://www.econbiz.de/10011457384