高频交易对证券市场的影响:一个综述
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摘要
高频交易是金融科技与证券市场结合的新生事物,如何认识和看待高频交易对证券市场的影响,一直是全球范围内广受关注的问题。本文在厘清高频交易概念界定的基础上,对既有文献进行了系统梳理和评述,发现在一般情况下高频交易可以提升市场稳定性并提供流动性,但在某些极端情况下则会降低流动性而损害市场质量。同时,在分割化的市场中,高频交易会通过市场势力再分配以及逆向选择等机制破坏交易策略公平性,与之相关的过度竞争和"军备竞赛"则会损害市场福利。而监管因素如何影响高频交易的作用、高频交易在亚洲市场以及中国市场的合理发展路径,则有待进一步研究。
As a nascent Fin-tech trading method, the high frequency trading(HFT) has attracted wide attention. This paper is a review focusing on the market consequences of the HFT. The consensus of literature shows that, on one hand, the appearance of HFT could generally improve the market stability and provide liquidity, while under some extreme condition, would extract the market liquidity and thus impair the market quality. On the other hand, the HFT turns out to be unfair, since it results in redistribution of market power and reverse selection problem, and is detrimental to the market, because of the over competitiveness and the "arms race" on relevant facilities. Moreover, the interaction between regulatory policies and HFT's market consequences, as well as the plausible development of HFT market in Asia and China, may be left for future research.
As a nascent Fin-tech trading method, the high frequency trading(HFT) has attracted wide attention. This paper is a review focusing on the market consequences of the HFT. The consensus of literature shows that, on one hand, the appearance of HFT could generally improve the market stability and provide liquidity, while under some extreme condition, would extract the market liquidity and thus impair the market quality. On the other hand, the HFT turns out to be unfair, since it results in redistribution of market power and reverse selection problem, and is detrimental to the market, because of the over competitiveness and the "arms race" on relevant facilities. Moreover, the interaction between regulatory policies and HFT's market consequences, as well as the plausible development of HFT market in Asia and China, may be left for future research.
引文
[1]Baron M,Brogaard J,Hagstr?mer B.Risk and return in highfrequency trading[J].Journal of financial and quantitative analysis,2014:1-57.
[2]Biais B,Foucault T,Moinas S.Equilibrium fast trading[J].Journal of Financial economics,2015,116(2):292-313.
[3]Boehmer E,Fong K,Wu J.International evidence on algorithmic trading[C]//.AFA 2013 San Diego Meetings Paper.2012.35-82.
[4]Brogaard J,Carrion A,Moyaert T,et al.High frequency trading and extreme price movements[J].Journal of Financial Economics,2018,128(2):253-265.
[5]Brogaard J,Hendershott T,Riordan R.High frequency trading and the 2008 short-sale ban[J].Journal of Financial Economics,2017,124(1):22-42.
[6]Brogaard J,Hagstr?mer B,Nordén L,et al.Trading fast and slow:Colocation and liquidity[J].The Review of Financial Studies,2015,28(12):3407-3443.
[7]Brogaard J,Hendershott T,Riordan R.High-frequency trading and price discovery[J].The Review of Financial Studies,2014,27(8):2267-2306.
[8]Budish E,Cramton P,Shim J.Implementation details for frequent batch auctions:Slowing down markets to the blink of an eye[J].American Economic Review,2014,104(5):418-24.
[9]Budish E,Cramton P,Shim J.The high-frequency trading arms race:Frequent batch auctions as a market design response[J].The Quarterly Journal of Economics,2015,130(4):1547-1621.
[10]Chakrabarty B,Moulton P C,Trzcinka C.The performance of short-term institutional trades[J].Journal of Financial and Quantitative Analysis,2017,52(4):1403-1428.
[11]Chiyachantana,C.N.and Jain,P.K.Institutional Trading Frictions[J].Social Science Electronic Publishing,2009,7(3),37-44.
[12]Clark C.How to keep markets safe in the era of high-speed trading[J].Chicago Fed Letter,2012(303):1.
[13]Conrad J,Wahal S,Xiang J.High-frequency quoting,trading,and the efficiency of prices[J].Journal of Financial Economics,2015,116(2):271-291.
[14]Du S,Zhu H.What is the optimal trading frequency in financial markets?[J].The Review of Economic Studies,2017,84(4):1606-1651.
[15]Gai J,Yao C,Ye M.The externalities of high frequency trading[J].Available at SSRN 2066839,2013.
[16]Goldstein M A,Kumar P,Graves F C.Computerized and highfrequency trading[J].Financial Review,2014,49(2):177-202.
[17]Grossman S J,Miller M H.Liquidity and market structure[J].the Journal of Finance,1988,43(3):617-633.
[18]Hagstr?mer B,Nordén L.The diversity of high-frequency traders[J].Journal of Financial Markets,2013,16(4):741-770.
[19]Hagstr?mer B,Nordén L,Zhang D.How Aggressive Are High-Frequency Traders?[J].Financial Review,2014,49(2):395-419.
[20]Hendershott T,Jones C M,Menkveld A J.Does algorithmic trading improve liquidity?[J].The Journal of Finance,2011,66(1):1-33.
[21]Hendershott T,Moulton P C.Automation,speed,and stock market quality:The NYSE's hybrid[J].Journal of Financial Markets,2011,14(4):568-604.
[22]Hoffmann P.A dynamic limit order market with fast and slow traders[J].Journal of Financial Economics,2014,113(1):156-169.
[23]Jain P K,Jain P,McInish T H.Does high-frequency trading increase systemic risk?[J].Journal of Financial Markets,2016,31:1-24.
[24]Jarnecic E,Snape M.The provision of liquidity by highfrequency participants[J].Financial Review,2014,49(2):371-394.
[25]Jones C M.What do we know about high-frequency trading?[J].Columbia Business School Research Paper,2013(13-11).
[26]Kirilenko A A,Lo A W.Moore's law versus murphy's law:Algorithmic trading and its discontents[J].Journal of Economic Perspectives,2013,27(2):51-72.
[27]Kirilenko A,Kyle A S,Samadi M,et al.The flash crash:Highfrequency trading in an electronic market[J].The Journal of Finance,2017,72(3):967-998.
[28]Laughlin G,Aguirre A,Grundfest J.Information transmission between financial markets in Chicago and New York[J].Financial Review,2014,49(2):283-312.
[29]Leal S J,Napoletano M.Market stability vs.market resilience:Regulatory policies experiments in an agent-based model with lowand high-frequency trading[J].Journal of Economic Behavior&Organization,2017.178-201.
[30]Linton O,O’Hara M,Zigrand J P.The regulatory challenge of highfrequency markets[J].High-Frequency Trading.Risk Books,2013.207-230.
[31]Malinova K,Park A.Subsidizing liquidity:The impact of make/take fees on market quality[J].The Journal of Finance,2015,70(2):509-536.
[32]McInish T,Upson J,Wood R A.The flash crash:trading aggressiveness,liquidity supply,and the impact of intermarket sweep orders[J].Financial Review,2014,49(3):481-509.
[33]Menkveld A J.High frequency trading and the new market makers[J].Journal of Financial Markets,2013,16(4):712-740.
[34]Menkveld A J.High-Frequency Traders and Market Structure[J].Financial Review,2014,49(2):333-344.
[35]Menkveld A J,Yueshen B Z.The Flash Crash:A cautionary tale about highly fragmented markets[J].Management Science,2018.Published online https://doi.org/10.1287/mnsc.
[36]Moosa I,Ramiah V.The regulation of high-frequency trading:an Asian perspective[J].Handbook of Asian Finance:REITs,Trading,and Fund Performance,2014,2:153-170.
[37]O'Hara M,Yao C,Ye M.What's not there:Odd lots and market data[J].The Journal of Finance,2014,69(5):2199-2236.
[38]O’Hara M.High frequency market microstructure[J].Journal of Financial Economics,2015,116(2):257-270.
[39]Pagnotta E S,Philippon T.Competing on speed[J].Econometrica,2018,86(3):1067-1115.
[40]Patterson S.High-frequency traders’safeguards come under scrutiny[N].The Wall Street Journal,2013-7-18.
[41]Patterson S,Strasburg J,Pleven L.High-speed traders exploit loophole[N].Wall Street Journal,2013-5-1.
[42]Popper N.On Wall Street,the rising cost of faster trades[N].The New York Times,2012-8-14 Page A1.
[43]Stiglitz J E.Tapping the brakes:Are less active markets safer and better for the economy?[C]//Federal Reserve Bank of Atlanta 2014Financial Markets Conference Tuning Financial Regulation for Stability and Efficiency,2014-4-15,15.
1.但高频交易中的主机托管(Co-location)这一策略在此处是个例外,Charkrabarty et al.(2017)[10]和Boehmer et al.(2012)[3]等研究均发现主机托管的引入提升了市场质量。
2.参见U.S.Securities and Exchange Commission:“Data Highlights 2013-05:The Speed of Equity Markets”,October 9,2013.以及U.S.Securities and Exchange Commission:“Data Highlight 2014-02:Equity Market Speed Relative to Order Placement”,March 19,2014.以及Narang,M.(2010):“Tradeworx Inc.Public Commentary on SEC Market Structure Concept Release”,SEC Comment Letter.
3.参见Haldane,A.(2011):“The Race To Zero”,Bank of England Speeches,International Economic Association 16th World Congress.以及Haldane,A.(2012):“Financial Arms Races”,Bank of England Speeches,Delivered at the Institute for New Economic Thinking.Berlin,Germany,April 14.
4.同注3。
5.参见Cespa G,Vives X.The welfare impact of high frequency trading[R].Working paper,2013.IESE Business School.
6.少部分学者如Jones(2013)[25]则将这种态度称为监管层的不适(Discomfort)。
7.同注2。
8.参见《关于进一步加强期货经营机构客户交易终端信息采集有关事项的公告》。
9.参见《关于〈期货交易管理条例〉第七十条第一款第五项的规定(征求意见稿)》。
10.同注5。
[2]Biais B,Foucault T,Moinas S.Equilibrium fast trading[J].Journal of Financial economics,2015,116(2):292-313.
[3]Boehmer E,Fong K,Wu J.International evidence on algorithmic trading[C]//.AFA 2013 San Diego Meetings Paper.2012.35-82.
[4]Brogaard J,Carrion A,Moyaert T,et al.High frequency trading and extreme price movements[J].Journal of Financial Economics,2018,128(2):253-265.
[5]Brogaard J,Hendershott T,Riordan R.High frequency trading and the 2008 short-sale ban[J].Journal of Financial Economics,2017,124(1):22-42.
[6]Brogaard J,Hagstr?mer B,Nordén L,et al.Trading fast and slow:Colocation and liquidity[J].The Review of Financial Studies,2015,28(12):3407-3443.
[7]Brogaard J,Hendershott T,Riordan R.High-frequency trading and price discovery[J].The Review of Financial Studies,2014,27(8):2267-2306.
[8]Budish E,Cramton P,Shim J.Implementation details for frequent batch auctions:Slowing down markets to the blink of an eye[J].American Economic Review,2014,104(5):418-24.
[9]Budish E,Cramton P,Shim J.The high-frequency trading arms race:Frequent batch auctions as a market design response[J].The Quarterly Journal of Economics,2015,130(4):1547-1621.
[10]Chakrabarty B,Moulton P C,Trzcinka C.The performance of short-term institutional trades[J].Journal of Financial and Quantitative Analysis,2017,52(4):1403-1428.
[11]Chiyachantana,C.N.and Jain,P.K.Institutional Trading Frictions[J].Social Science Electronic Publishing,2009,7(3),37-44.
[12]Clark C.How to keep markets safe in the era of high-speed trading[J].Chicago Fed Letter,2012(303):1.
[13]Conrad J,Wahal S,Xiang J.High-frequency quoting,trading,and the efficiency of prices[J].Journal of Financial Economics,2015,116(2):271-291.
[14]Du S,Zhu H.What is the optimal trading frequency in financial markets?[J].The Review of Economic Studies,2017,84(4):1606-1651.
[15]Gai J,Yao C,Ye M.The externalities of high frequency trading[J].Available at SSRN 2066839,2013.
[16]Goldstein M A,Kumar P,Graves F C.Computerized and highfrequency trading[J].Financial Review,2014,49(2):177-202.
[17]Grossman S J,Miller M H.Liquidity and market structure[J].the Journal of Finance,1988,43(3):617-633.
[18]Hagstr?mer B,Nordén L.The diversity of high-frequency traders[J].Journal of Financial Markets,2013,16(4):741-770.
[19]Hagstr?mer B,Nordén L,Zhang D.How Aggressive Are High-Frequency Traders?[J].Financial Review,2014,49(2):395-419.
[20]Hendershott T,Jones C M,Menkveld A J.Does algorithmic trading improve liquidity?[J].The Journal of Finance,2011,66(1):1-33.
[21]Hendershott T,Moulton P C.Automation,speed,and stock market quality:The NYSE's hybrid[J].Journal of Financial Markets,2011,14(4):568-604.
[22]Hoffmann P.A dynamic limit order market with fast and slow traders[J].Journal of Financial Economics,2014,113(1):156-169.
[23]Jain P K,Jain P,McInish T H.Does high-frequency trading increase systemic risk?[J].Journal of Financial Markets,2016,31:1-24.
[24]Jarnecic E,Snape M.The provision of liquidity by highfrequency participants[J].Financial Review,2014,49(2):371-394.
[25]Jones C M.What do we know about high-frequency trading?[J].Columbia Business School Research Paper,2013(13-11).
[26]Kirilenko A A,Lo A W.Moore's law versus murphy's law:Algorithmic trading and its discontents[J].Journal of Economic Perspectives,2013,27(2):51-72.
[27]Kirilenko A,Kyle A S,Samadi M,et al.The flash crash:Highfrequency trading in an electronic market[J].The Journal of Finance,2017,72(3):967-998.
[28]Laughlin G,Aguirre A,Grundfest J.Information transmission between financial markets in Chicago and New York[J].Financial Review,2014,49(2):283-312.
[29]Leal S J,Napoletano M.Market stability vs.market resilience:Regulatory policies experiments in an agent-based model with lowand high-frequency trading[J].Journal of Economic Behavior&Organization,2017.178-201.
[30]Linton O,O’Hara M,Zigrand J P.The regulatory challenge of highfrequency markets[J].High-Frequency Trading.Risk Books,2013.207-230.
[31]Malinova K,Park A.Subsidizing liquidity:The impact of make/take fees on market quality[J].The Journal of Finance,2015,70(2):509-536.
[32]McInish T,Upson J,Wood R A.The flash crash:trading aggressiveness,liquidity supply,and the impact of intermarket sweep orders[J].Financial Review,2014,49(3):481-509.
[33]Menkveld A J.High frequency trading and the new market makers[J].Journal of Financial Markets,2013,16(4):712-740.
[34]Menkveld A J.High-Frequency Traders and Market Structure[J].Financial Review,2014,49(2):333-344.
[35]Menkveld A J,Yueshen B Z.The Flash Crash:A cautionary tale about highly fragmented markets[J].Management Science,2018.Published online https://doi.org/10.1287/mnsc.
[36]Moosa I,Ramiah V.The regulation of high-frequency trading:an Asian perspective[J].Handbook of Asian Finance:REITs,Trading,and Fund Performance,2014,2:153-170.
[37]O'Hara M,Yao C,Ye M.What's not there:Odd lots and market data[J].The Journal of Finance,2014,69(5):2199-2236.
[38]O’Hara M.High frequency market microstructure[J].Journal of Financial Economics,2015,116(2):257-270.
[39]Pagnotta E S,Philippon T.Competing on speed[J].Econometrica,2018,86(3):1067-1115.
[40]Patterson S.High-frequency traders’safeguards come under scrutiny[N].The Wall Street Journal,2013-7-18.
[41]Patterson S,Strasburg J,Pleven L.High-speed traders exploit loophole[N].Wall Street Journal,2013-5-1.
[42]Popper N.On Wall Street,the rising cost of faster trades[N].The New York Times,2012-8-14 Page A1.
[43]Stiglitz J E.Tapping the brakes:Are less active markets safer and better for the economy?[C]//Federal Reserve Bank of Atlanta 2014Financial Markets Conference Tuning Financial Regulation for Stability and Efficiency,2014-4-15,15.
1.但高频交易中的主机托管(Co-location)这一策略在此处是个例外,Charkrabarty et al.(2017)[10]和Boehmer et al.(2012)[3]等研究均发现主机托管的引入提升了市场质量。
2.参见U.S.Securities and Exchange Commission:“Data Highlights 2013-05:The Speed of Equity Markets”,October 9,2013.以及U.S.Securities and Exchange Commission:“Data Highlight 2014-02:Equity Market Speed Relative to Order Placement”,March 19,2014.以及Narang,M.(2010):“Tradeworx Inc.Public Commentary on SEC Market Structure Concept Release”,SEC Comment Letter.
3.参见Haldane,A.(2011):“The Race To Zero”,Bank of England Speeches,International Economic Association 16th World Congress.以及Haldane,A.(2012):“Financial Arms Races”,Bank of England Speeches,Delivered at the Institute for New Economic Thinking.Berlin,Germany,April 14.
4.同注3。
5.参见Cespa G,Vives X.The welfare impact of high frequency trading[R].Working paper,2013.IESE Business School.
6.少部分学者如Jones(2013)[25]则将这种态度称为监管层的不适(Discomfort)。
7.同注2。
8.参见《关于进一步加强期货经营机构客户交易终端信息采集有关事项的公告》。
9.参见《关于〈期货交易管理条例〉第七十条第一款第五项的规定(征求意见稿)》。
10.同注5。
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