[2L5-GS-13] AI application: Finance (2)

[2L5-GS-13-04] Investigation how negative trading fees (rebates) affect a stock market with an agent-based model

〇Mahiro Hoshino¹, Takanobu Mizuta², Isao Yagi¹ (1. Department of Information and Computer Sciences, Faculty of Information Technology, Kanagawa Institute of Technology, 2. SPARX Asset Management Co., Ltd.)

Keywords:Artificial market, Multi-Agent System, Agent simulation, Maker-Taker fee, Finance

Recently, most stock exchanges in the U.S.
employ maker-taker fees, in which an exchange pay rebates to traders placing make orders(remainging on an order book) and charges fee to traders taking orders(exceuted immediately).
The maker-taker fees will encourage traders to place many make orders and the orders will provide liquidity to the exchange.
However, effects of the maker-taker fees for a total cost of a taking order, including charged fee 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.
We found that the maker-taker fees encourage the traders to provide liquidity, whereas increase the total costs of taking orders.