2020/10/18 by Isao Yagi, Yagi, Isao, Mahiro Hoshino +3 · 1 citation
Economics, Econometrics and Finance · #FOS: Computer and information sciences #FOS: Economics and business #Firm Innovation and Growth #Multiagent Systems (cs.MA) #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.2010.08992
openalex publication_date 2020/10/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Recently, most stock exchanges in the U.S. employ maker-taker fees, in which\nan exchange pays rebates to traders placing orders in the order book and\ncharges fees to traders taking orders from the order book. Maker-taker fees\nencourage traders to place many orders that provide market liquidity to the\nexchange. However, it is not clear how maker-taker fees affect the total cost\nof a taking order, including all the charged fees and the market impact. In\nthis study, we investigated the effect of maker-taker fees on the total cost of\na taking order with our artificial market model, which is an agent-based model\nfor financial markets. We found that maker-taker fees encourage market\nefficiency but increase the total costs of taking orders.\n