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Are Price Limits Effective? An Examination of an Artificial Stock Market

https://doi.org/10.1371/journal.pone.0160406
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-94-009-2193-1openalex-snapshot
Regulatory Reform of Stock and Futures Markets
inferredcites →https://doi.org/10.1007/s00191-015-0418-4openalex-snapshot
Rock around the clock: An agent-based model of low- and high-frequency trading
inferredcites →https://doi.org/10.1007/s100510050292openalex-snapshot
Inverse cubic law for the distribution of stock price variations
inferredcites →https://doi.org/10.1007/s11156-005-4247-7openalex-snapshot
The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges
inferredcites →https://doi.org/10.1007/s11403-012-0107-4openalex-snapshot
Do price limits hurt the market?
inferredcites →https://doi.org/10.1007/s11403-013-0116-yopenalex-snapshot
The effects of a financial transaction tax in an artificial financial market
inferredcites →https://doi.org/10.1016/j.econmod.2012.12.001openalex-snapshot
Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach
inferredcites →https://doi.org/10.1016/j.ins.2012.06.019openalex-snapshot
Calibration of the agent-based continuous double auction stock market by scaling analysis
inferredcites →https://doi.org/10.1016/j.jebo.2009.08.010openalex-snapshot
Some effects of transaction taxes under different microstructures
inferredcites →https://doi.org/10.1016/j.jedc.2007.01.025openalex-snapshot
An empirical behavioral model of liquidity and volatility
inferredcites →https://doi.org/10.1016/j.jedc.2008.08.001openalex-snapshot
The impact of heterogeneous trading rules on the limit order book and order flows
inferredcites →https://doi.org/10.1016/j.jedc.2010.05.015openalex-snapshot
Examining the effectiveness of price limits in an artificial stock market
inferredcites →https://doi.org/10.1016/j.pacfin.2007.11.002openalex-snapshot
The effect of price limits on intraday volatility and information asymmetry
inferredcites →https://doi.org/10.1016/j.physa.2007.10.012openalex-snapshot
Empirical distributions of Chinese stock returns at different microscopic timescales
inferredcites →https://doi.org/10.1016/s0165-1889(02)00185-9openalex-snapshot
Speculative markets and the effectiveness of price limits
inferredcites →https://doi.org/10.1016/s1059-0560(00)00082-4openalex-snapshot
Daily price limits and stock price behavior: evidence from the Taiwan stock exchange
inferredcites →https://doi.org/10.1016/s1386-4181(00)00009-4openalex-snapshot
Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-snapshot
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1038/17290openalex-snapshot
Scaling and criticality in a stochastic multi-agent model of a financial market
inferredcites →https://doi.org/10.1088/1469-7688/2/5/303openalex-snapshot
A simulation analysis of the microstructure of double auction markets*
inferredcites →https://doi.org/10.1103/physreve.60.5305openalex-snapshot
Scaling of the distribution of fluctuations of financial market indices
inferredcites →https://doi.org/10.1103/physreve.60.6519openalex-snapshot
Scaling of the distribution of price fluctuations of individual companies
inferredcites →https://doi.org/10.1103/physreve.82.066103openalex-snapshot
Tests of nonuniversality of the stock return distributions in an emerging market
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb04827.xopenalex-snapshot
Price Limit Performance: Evidence from the Tokyo Stock Exchange
inferredcites →https://doi.org/10.1111/jfir.12021openalex-snapshot
RECONSIDERING PRICE LIMIT EFFECTIVENESS
inferredcites →https://doi.org/10.1140/epjb/e2009-00052-4openalex-snapshot
On the probability distribution of stock returns in the Mike-Farmer model
inferredcites →https://doi.org/10.1209/0295-5075/86/48002openalex-snapshot
Emergence of long memory in stock volatility from a modified Mike-Farmer model
inferredcites →https://doi.org/10.1209/0295-5075/98/38003openalex-snapshot
Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations
inferredcites →https://doi.org/10.2139/ssrn.1726750openalex-snapshot
Transaction Taxes and Traders with Heterogeneous Investment Horizons in an Agent-Based Financial Market Model
inferredcites →https://doi.org/10.5018/economics-ejournal.ja.2010-8openalex-snapshot
Transaction Taxes and Traders with Heterogeneous Investment Horizons in an Agent-Based Financial Market Model

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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A Review of Recent Artificial Market Simulation Studies for Financial Market Regulations And/Or Rules
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Circuit breakers as market stability levers: A survey of research, praxis, and challenges
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Singular Stochastic Differential Equations for Time Evolution of Stocks Within Non-white Noise Approach
inferred← citeshttps://doi.org/10.1007/s11156-019-00842-3openalex-snapshot
Price limit changes, order decisions, and stock price movements: an empirical analysis of the Taiwan Stock Exchange
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New family of 4-D hyperchaotic and chaotic systems with quadric surfaces of equilibria
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Two-dimensional stochastic dynamics as model for time evolution of the financial market
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Leveraging asymmetric price limits for financial stability in industrial applications: An agent-based model
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Biocontrol of insect-pests bruchid in postharvest storage of Vigna unguiculata grains: Process modeling, optimization, and characterization
inferred← citeshttps://doi.org/10.1016/j.frl.2022.103577openalex-snapshot
Price limit change and magnet effect: The role of investor attention
inferred← citeshttps://doi.org/10.1016/j.frl.2023.104302openalex-snapshot
Does price limit reduce stock price volatility on the limit up and down day?
inferred← citeshttps://doi.org/10.1016/j.jbef.2018.01.007openalex-snapshot
Trading aggression when price limit hits are imminent: NARDL based intraday investigation of magnet effect
inferred← citeshttps://doi.org/10.1016/j.pacfin.2019.04.006openalex-snapshot
Price limit changes and market quality in the Taiwan Stock Exchange
inferred← citeshttps://doi.org/10.1016/j.physa.2018.03.066openalex-snapshot
The cooling-off effect of price limits in the Chinese stock markets
inferred← citeshttps://doi.org/10.1016/j.physa.2018.08.087openalex-snapshot
Stock market information flow: Explanations from market status and information-related behavior
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Spatial and temporal variability of sea surface temperature during El-Niño Southern Oscillation and Indian Ocean Dipole in the Strait of Malacca and Andaman Sea
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Animal models of post-traumatic epilepsy and their neurobehavioral comorbidities
inferred← citeshttps://doi.org/10.1080/1540496x.2018.1559141openalex-snapshot
The Effect of Extremely Small Price Limits: Evidence from the Early Period of the Chinese Stock Market
inferred← citeshttps://doi.org/10.1108/cfri-07-2016-0096openalex-snapshot
The performance of China’s stock market price limits: noise mitigator or noise maker?
inferred← citeshttps://doi.org/10.1108/imefm-04-2020-0151openalex-snapshot
Price-limit effectiveness: evidence from the Borsa Istanbul (BIST)
inferred← citeshttps://doi.org/10.1109/access.2020.3008717openalex-snapshot
Investor Behavior and Risk Contagion in an Information-Based Artificial Stock Market
inferred← citeshttps://doi.org/10.1109/ssci52147.2023.10371874openalex-snapshot
Comparing Effects of Price Limit and Circuit Breaker in Stock Exchanges by an Agent-Based Model
inferred← citeshttps://doi.org/10.1142/s0219622022500286openalex-snapshot
An Agent-Based Model for the Impact of Price Limit Changes on Market Quality
inferred← citeshttps://doi.org/10.1155/2019/2946018openalex-snapshot
Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network
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Policy Effectiveness Analysis of China’s Circuit Breaker Mechanism
inferred← citeshttps://doi.org/10.1186/s40854-021-00288-4openalex-snapshot
An empirical behavioral order-driven model with price limit rules
inferred← citeshttps://doi.org/10.1353/jda.2018.0039openalex-snapshot
Charateristics of Stocks That Frequentley Hit Price Limits: Empirical Evidence from Japan
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Genetic diversity, SNP-trait associations and genomic selection accuracy in a west African collection of Kersting’s groundnut [Macrotyloma geocarpum(Harms) Maréchal & Baudet]
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DArTSeq SNP-based markers revealed high genetic diversity and structured population in Ethiopian cowpea [Vigna unguiculata (L.) Walp] germplasms
inferred← citeshttps://doi.org/10.1527/tjsai.36-5_ag21-aopenalex-snapshot
How Price Limits Effect the Behaviors of a Market with Differences on Speed of Information Acquisition: An Approach with Artificial Market(An Agent-based Model for Financial Market)
inferred← citeshttps://doi.org/10.1527/tjsai.39-4_fin23-iopenalex-snapshot
Analysis of the Impact of an Execution Algorithm with an Order Book Imbalance Strategy on the Financial Market Using an Agent-based Simulation
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Shanghai Stock Exchange’s Science and Technology Innovation Board: A Review
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Genome-Wide Association Study Reveals Candidate Genes for Flowering Time in Cowpea (Vigna unguiculata [L.] Walp.)
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Nonlinear Stochastic Equation within an Itô Prescription for Modelling of Financial Market
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