Regulations' effectiveness for market turbulence by large erroneous orders using multi agent simulation

We built an artificial market model and investigated the impact of large erroneous orders on price formations. Comparing the case of consented large erroneous orders in the short term with that of continuous small erroneous orders in the long term, if amounts of orders are the same, we found that the orders induced almost the same price fall range. We also analyzed effects of price variation limits for erroneous orders and found that price variation limits that employ a limitation term shorter than the time erroneous orders exist effectively prevent large price fluctuations. We also investigated effects of up-tick rules adopting the trigger method that the Japan Financial Services Agency adopted on November 2013.