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

TL;DR

This paper uses an agent-based simulation to analyze how maker-taker fee structures influence market efficiency and the total costs incurred by traders placing taking orders in the stock market.

Contribution

It introduces an agent-based model to evaluate the effects of maker-taker fees on market dynamics and trader costs, providing new insights into fee impacts.

Findings

Maker-taker fees promote market efficiency.

Maker-taker fees increase total costs for taking orders.

Agent-based simulation effectively models fee impacts.

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.