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Authors: Iryna Veryzhenko 1 and Nathalie Oriol 2

Affiliations: 1 LIRSA, France ; 2 University of Nice Sophia-Antipolis, France

Keyword(s): Agent-based modeling, Limit order book, Technical trading, Flash crash.

Related Ontology Subjects/Areas/Topics: Agents ; Artificial Intelligence ; Artificial Intelligence and Decision Support Systems ; Auctions and Markets ; Bioinformatics ; Biomedical Engineering ; Distributed and Mobile Software Systems ; Economic Agent Models ; Enterprise Information Systems ; Information Systems Analysis and Specification ; Knowledge Engineering and Ontology Development ; Knowledge-Based Systems ; Methodologies and Technologies ; Multi-Agent Systems ; Operational Research ; Simulation ; Software Engineering ; Symbolic Systems

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 several formats:
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; ISSN 2184-433X, SciTePress, pages 190-197. DOI: 10.5220/0005707401900197

@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},
issn={2184-433X},
}

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
IS - 2184-433X
AU - Veryzhenko, I.
AU - Oriol, N.
PY - 2016
SP - 190
EP - 197
DO - 10.5220/0005707401900197
PB - SciTePress

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