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arXiv · 2010.08992

Analysis of the impact of maker-taker fees on the stock market using agent-based simulation

Isao Yagi·Mahiro Hoshino·Takanobu Mizuta
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Abstract

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 orders from the order book. Maker-taker fees encourage traders to place many orders that provide market liquidity to the exchange. However, it is not clear how maker-taker fees affect the total cost of a taking order, including all the charged fees and the market impact. In this study, we investigated the effect of maker-taker fees on the total cost of a taking order with our artificial market model, which is an agent-based model for financial markets. We found that maker-taker fees encourage market efficiency but increase the total costs of taking orders.

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Isao Yagi, Mahiro Hoshino, Takanobu Mizuta. 2020-10-18. Analysis of the impact of maker-taker fees on the stock market using agent-based simulation. https://arxiv.org/abs/2010.08992

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