Battalio, R., Corwin, S. A., & Jennings, R. (2016). Can brokers have it all? On the relation between make-take fees and limit order execution quality. The Journal of Finance, 71(5), 2193–2238.
Brolley, M., & Malinova, K. (2020). Maker-taker fees and liquidity: The role of commission structures. https://ssrn.com/abstract=3726190. Accessed 23 June 2022.
CFTC-SEC. (2011). Recommendations regarding regulatory responses to the market events of may 6, 2010. Tech. rep., CFTC-SEC Joint Advisory Committee.
Chen, S. H., Chang, C. L., & Du, Y. R. (2012). Agent-based economic models and econometrics. The Knowledge Engineering Review, 27(2), 187–219.
Chiarella, C., Iori, G., & Perelló, J. (2009). The impact of heterogeneous trading rules on the limit order book and order flows. Journal of Economic Dynamics and Control, 33(3), 525–537.
Cont, R. (2001). Empirical properties of asset returns: Stylized facts and statistical issues. Quantitative Finance, 1, 223–236.
Cox, J., Van Ness, B., & Van Ness, R. (2019). Increasing the tick: Examining the impact of the tick size change on maker-taker and taker-maker market models. Financial Review, 54(3), 417–449.
Di Maggio, M., Liu, J., Rizova, S., & Wiley, R. (2020). Exchange fees and overall trading costs. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3625801
Foucault, T., Kadan, O., & Kandel, E. (2013). Liquidity cycles and make/take fees in electronic markets. The Journal of Finance, 68(1), 299–341.
Garvey, R., Huang, T., & Wu, F. (2017). What influences ‘maker-taker’ decisions in U.S. equity markets? SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3037319.
Kusada, Y., Mizuta, T., Hayakawa, S., & Izumi, K. (2014). Impacts of position-based market makers on markets’ shares of trading volumes-an artificial market approach. In: Social Modeling and Simulations+ Econophysics Colloquium 2014.
Lin, Y., Swan, P., & Harris, F. (2016). Maker-taker fee, liquidity competition, and high frequency trading. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2826376
Lutat, M. (2010). The effect of maker-taker pricing on market liquidity in electronic trading systems—Empirical evidence from European equity trading. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1752843
MacKenzie, D., & Pardo-Guerra, J. P. (2014). Insurgent capitalism: Island, bricolage and the re-making of finance. Economy and Society, 43(2), 153–182. https://doi.org/10.1080/03085147.2014.881597.
Mandelbrot, B. (1967). The variation of some other speculative prices. The Journal of Business, 40(4), 393–413. http://www.jstor.org/stable/2351623. Accessed 23 June 2022.
Mizuta, T., Izumi, K., Yagi, I., & Yoshimura, S. (2015). Investigation of price variation limits, short selling regulation, and uptick rules and their optimal design by artificial market simulations. Electronics and Communications in Japan, 98(7), 13–21.
Mizuta, T., Matsumoto, W., Kosugi, S., Izumi, K., Kusumoto, T., & Yoshimura, S. (2014). Do dark pools stabilize markets and reduce market impacts? investigations using multi-agent simulations. In: 2014 IEEE Conference on computational intelligence for financial engineering & economics (CIFEr), pp. 71–76. IEEE.
Mizuta, T., Noritake, Y., Hayakawa, S., & Izumi, K. (2016). Affecting market efficiency by increasing speed of order matching systems on financial exchanges-investigation using agent based model. In: 2016 IEEE Symposium Series on Computational Intelligence (SSCI), pp. 1–8. IEEE.
Muranaga, J. (1999). Dynamics of market liquidity of Japanese stocks: An analysis of tick-by-tick data of the tokyo stock exchange. In: B.F.I. Settlements (ed.) Market liquidity: Research findings and selected policy implications, vol. 11, pp. 1–25. Bank for International Settlements. https://EconPapers.repec.org/RePEc:bis:biscgc:11-13.
Nakajima, Y., Shiozawa, Y. (2004). Usefulness and feasibility of market maker in a thin market. In The International Conference experiments in economic sciences: new approaches to solving real-world problems, pp. 1000–1003. https://www.cc.kyoto-su.ac.jp/project/orc/execo/EES2004/proceedings.html. Accessed 23 June 2022.
Nishizaki, K., Tsuchikawa, A., & Yagi, T. (2013). Indicators related to liquidity in JGB markets. Bank of Japan Review Series 13-E-3, Bank of Japan. https://EconPapers.repec.org/RePEc:boj:bojrev:13-e-3. Accessed 23 June 2022.
Sewell, M. (2011). Characterization of financial time series. http://finance.martinsewell.com/stylized-facts/. Accessed 23 June 2022.
Yagi, I., Hoshino, M., & Mizuta, T. (2020). Analysis of the impact of maker-taker fees on the stock market using agent-based simulation. In Proceedings of the first ACM international conference on AI in finance, ICAIF '20. New York: Association for Computing Machinery. https://doi.org/10.1145/3383455.3422523.
Yagi, I., Masuda, Y., & Mizuta, T. (2019). Detection of factors influencing market liquidity using an agent-based simulation. In A. S. Chakrabarti, L. Pichl, & T. Kaizoji (Eds.), Network theory and agent-based modeling in economics and finance (pp. 111–131). Springer.
Yeh, C. H., & Yang, C. Y. (2013). Do price limits hurt the market? Journal of Economic Interaction and Coordination, 8(1), 125–153. https://doi.org/10.1007/s11403-012-0107-4
Zhou, X., & Li, H. (2017). Buying on margin and short selling in an artificial double auction market. https://doi.org/10.1007/s10614-017-9722-4.