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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Veryzhenko, I., Arena, L., Harb, E., Oriol, N. (2016). A Reexamination of High Frequency Trading Regulation Effectiveness in an Artificial Market Framework. In: de la Prieta, F., et al. Trends in Practical Applications of Scalable Multi-Agent Systems, the PAAMS Collection. PAAMS 2016. Advances in Intelligent Systems and Computing, vol 473. Springer, Cham. https://doi.org/10.1007/978-3-319-40159-1_2
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DOI: https://doi.org/10.1007/978-3-319-40159-1_2
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