Post Flash Crash Recovery: An Agent-based Analysis

Iryna Veryzhenko, Nathalie Oriol

Abstract

In this paper we focus on the traders that purely rely on algorithms in their decision making and their impact on market quality during moments of instability. We describe an agent-based framework that successfully reproduces main aspects of flash crash. We simulate the effect of a large liquidity shock generated by a very aggressive market order. We show that, despite the absence of market makers, the electronic order-book architecture favors market resiliency and recovery.

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Paper Citation


in Harvard Style

Veryzhenko I. and Oriol N. (2016). Post Flash Crash Recovery: An Agent-based Analysis . In Proceedings of the 8th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART, ISBN 978-989-758-172-4, pages 190-197. DOI: 10.5220/0005707401900197


in Bibtex Style

@conference{icaart16,
author={Iryna Veryzhenko and Nathalie Oriol},
title={Post Flash Crash Recovery: An Agent-based Analysis},
booktitle={Proceedings of the 8th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,},
year={2016},
pages={190-197},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005707401900197},
isbn={978-989-758-172-4},
}


in EndNote Style

TY - CONF
JO - Proceedings of the 8th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,
TI - Post Flash Crash Recovery: An Agent-based Analysis
SN - 978-989-758-172-4
AU - Veryzhenko I.
AU - Oriol N.
PY - 2016
SP - 190
EP - 197
DO - 10.5220/0005707401900197