Comparing effects of price limit and circuit breaker in stock exchanges by an agent-based model
The prevention of rapidly and steeply falling market prices is vital to avoid financial crisis. To this end, some stock exchanges implement a price limit or a circuit breaker, and there has been intensive investigation into which regulation best prevents rapid and large variations in price. In this study, we examine this question using an artificial market model that is an agent-based model for a financial market. Our findings show that the price limit and the circuit breaker basically have the same effect when the parameters, limit price range and limit time range, are the same. However, the price limit is less effective when limit the time range is smaller than the cancel time range. With the price limit, many sell orders are accumulated around the lower limit price, and when the lower limit price is changed before the accumulated sell orders are cancelled, it leads to the accumulation of sell orders of various prices. These accumulated sell orders essentially act as a wall against buy orders, thereby preventing price from rising. Caution should be taken in the sense that these results pertain to a limited situation. Specifically, our finding that the circuit breaker is better than the price limit should be adapted only in cases where the reason for falling prices is erroneous orders and when individual stocks are regulated.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
A Risk-Based Probabilistic Transient Stability Approach for Ranking of Circuit Breakers in a Power System
Power systems are getting more complex than ever and are consequently operating close to their limit of stability. Moreover, with the increasing demand of renewable wind generation, and the requirement to maintain a secu…
DroidBreaker: Practical and Functional Problem-Space Attacks on Machine-Learning Android Malware Detectors
Adversarial APKs are Android applications modified in the problem space to evade machine-learning malware detectors. In this work, we first show that, despite claims, existing problem-space attacks remain largely impract…
Improving Alignment and Robustness with Circuit Breakers
AI systems can take harmful actions and are highly vulnerable to adversarial attacks. We present an approach, inspired by recent advances in representation engineering, that interrupts the models as they respond with har…
Adversarial RobustnessComparison of Different Configurations of Saturated Core Fault Current Limiters in a Power Grid by Numerical Method
Short circuit fault currents are increasing due to growing demand for electricity and high complexity in power systems. Because the fault currents reach the highest value which the breakers are unable to restrict, the el…
Stock Price Prediction Under Anomalous Circumstances
The stock market is volatile and complicated, especially in 2020. Because of a series of global and regional "black swans," such as the COVID-19 pandemic, the U.S. stock market triggered the circuit breaker three times w…
PredictionSentiment AnalysisStock Price Prediction