12 citations · 14 across the 8 of their papers we have counts for
3 papers · 1 filter
Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity
Isao Yagi, Yuji Masuda, Takanobu Mizuta
Many empirical studies have discussed market liquidity, which is regarded as a measure of a booming financial market. Further, various indicators for objectively evaluating market…
Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation
Isao Yagi, Shunya Maruyama, Takanobu Mizuta
A leveraged ETF is a fund aimed at achieving a rate of return several times greater than that of the underlying asset such as Nikkei 225 futures. Recently, it has been suggested th…
Analysis of the impact of maker-taker fees on the stock market using agent-based simulation
Isao Yagi, Mahiro Hoshino, Takanobu Mizuta
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…