Economics, Econometrics and Finance
8 years ago

French tax on high-frequency trading leads to market quality decline.

Advances in intelligent systems and computing
A Reexamination of High Frequency Trading Regulation Effectiveness in an Artificial Market Framework
Iryna Veryzhenko, Lise Arena, Étienne Harb, Nathalie Oriol

Paper Summary

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The article examines how a tax on canceling orders in France affects market quality, high-frequency trading, and trading volume. The researchers use a computer simulation to test different market rules. They find that the tax can improve market quality by reducing volatility and increasing liquidity. Additionally, it may lead to a decrease in high-frequency trading activities and trading volume.