著者

星野 真広 水田 孝信 八木 勲

出版者

一般社団法人 人工知能学会

雑誌

人工知能学会論文誌 (ISSN:13460714)

巻号頁・発行日

vol.36, no.5, pp.AG21-G_1-10, 2021-09-01 (Released:2021-09-01)

参考文献数

23

被引用文献数

1

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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.

著者

星野 真広 水田 孝信 八木 勲

出版者

人工知能学会

雑誌

2020年度 人工知能学会全国大会(第34回)

巻号頁・発行日

2020-04-01