Analysis of the impact of maker-taker fees on the stock market using agent-based simulation
Abstract
Recently, most stock exchanges in the U.S. employ maker-taker fees, in which an exchange pays rebates to traders placing orders in the order book and charges fees to traders taking orders from the order book. Maker-taker fees encourage traders to place many orders that provide market liquidity to the exchange. However, it is not clear how maker-taker fees affect the total cost of a taking order, including all the charged fees and the market impact. In this study, we investigated the effect of maker-taker fees on the total cost of a taking order with our artificial market model, which is an agent-based model for financial markets. We found that maker-taker fees encourage market efficiency but increase the total costs of taking orders.
Keywords
Cite
@article{arxiv.2010.08992,
title = {Analysis of the impact of maker-taker fees on the stock market using agent-based simulation},
author = {Isao Yagi and Mahiro Hoshino and Takanobu Mizuta},
journal= {arXiv preprint arXiv:2010.08992},
year = {2020}
}
Comments
ACM International Conference on AI in Finance 2020 (ICAIF '20)