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【JFQA】高频交易者之间的相互作用

作者:     日期:2017-09-13    来源:

Journal of Financial and Quantitative Analysis · Volume 52, Issue 4 August 2017, pp. 1375-1402

 

高频交易者之间的相互作用

作者:Evangelos Benos (Bank of England), James Brugler (University of Melbourne), Erik Hjalmarsson (University of Gothenburg)

摘要:应用英国股票市场的高频交易(HFT)个股的独特交易数据,我们研究了个股HFT的交易活动相互关联的程度以及对价格效率的影响。我们发现,HFT订单流量、净头寸和总量显示出比投资银行对比组显著更高的普遍性。然而,日内HFT订单流量普遍性与永久性价格影响相关联,表明HFT交易中的普遍性是基于信息的,因此一般不会导致不正当的价格压力和价格错位。

 

Interactions among High-Frequency Traders

Evangelos Benos (Bank of England), James Brugler (University of Melbourne), Erik Hjalmarsson (University of Gothenburg)

ABSTRACT

Using unique transactions data for individual high-frequency trading (HFT) firms in the U.K. equity market, we examine the extent to which the trading activity of individual HFT firms is correlated with each other and the impact on price efficiency. We find that HFT order flow, net positions, and total volume exhibit significantly higher commonality than those of a comparison group of investment banks. However, intraday HFT order flow commonality is associated with a permanent price impact, suggesting that commonality in HFT activity is information based and so does not generally contribute to undue price pressure and price dislocations.

原文链接: https://doi.org/10.1017/S0022109017000485

翻译:陈然