Presentation Information
[4Yin-A-06]How Many Orders does a Spoofer Need? Investigated by an Agent-Based Model
〇TAKANOBU MIZUTA1, ISAO YAGI2 (1. SPARX Asset Management Co., Ltd., 2. Kogakuin University)
Keywords:
an agent-based artificial financial market model,agent simulation,finance,stock market,market manipulation
Unfair trades in a financial market makes participants to feel anxious and leads that the market does not works well. Therefore, most financial markets prohibit unfair trades. "Spoofers" places order which they has no intention to trade to manipulate market prices and to profit illegally. Most financial markets prohibit such orders, are called "spoofing orders". The question, however, how many orders a spoofer needs to manipulate market prices and to profit illegally is remain to be answered. Therefore, in this study, I built an artificial market mode (an agent-based model for financial markets) that imbalance of buy and sell orders also affects the expected returns and implemented the spoofer agent. I then investigated how many orders the spoofer needs to manipulate market prices and to profit illegally. The results indicate that showing spoofing orders more than waiting orders on the order book enables the spoofer to earn illegally, amplifies price fluctuation and makes the market inefficiency.