1.
HFT는 계속 진행중인 논쟁입니다. 그렇지만 미국도 논쟁이 그리 매끄럽게 진행되지 못하는 듯 합니다. 각자가 처한 입장에 따라 다른 의견을 개진하니까요! 그런데 미국 Woodbine Associates에서 실증적인 데이타를 이용한 분석자료를 발간하였습니다.
보고서이름이 무척 깁니다.
High-Frequency Trading: The Impact of High Frequency Strategies on Spreads and Volatility in Highly Liquid U.S. Equities
2.
분석보고서를 발간하면서 이해당사자들을 대상으로 설문조사방식이 아니라 ReqNMS에 의해 수집된 거래데이타를 기준으로 분석을 하였다고 합니다.
* High-frequency trading improved execution quality for 76 percent of?the 39 most-liquid large-cap U.S. equities during 2008 and 2009. The?median change in share-weighted average effective spread for marketable?limit orders these securities was negative, indicating that, on a?month-over-month basis, executions increasingly occurred more in line?with the security’s fundamental value.
* High-frequency trading reduced very short-term volatility in 67?percent of the 39 most liquid large-cap U.S. equities. The median change?in share-weighted average realized spread, a metric that captures?direction and magnitude of post-execution price movement, was positive,?while directionally the movement was in favor of displayed limit order?users. This implies that, over time, the range of movement around?fundamental prices in these securities declined and that traders with?larger positions, breaking them up and trading over time, were more?likely to realize lower transaction costs.
* Improvement in execution quality and reduction in short-term?volatility, on average, benefited all market participants including?institutional investors, retail investors, and non-high-frequency?broker/dealer proprietary trading. Improved execution quality and
reduced volatility imply that, in a period of increasing use of?high-frequency strategies, execution prices were more closely aligned?with fundamental prices and that movement around the fundamental prices?decreased. This implies lower transaction cost and consequently?increased preservation of investment returns.
이렇게 작성한 보고서의 결론은 “HFT는 기관투자가뿐 아니라 개인투자자에게도 유동성과 변동성을 공급하여 좋은 체결을 얻도록 한다”입니다. 그러나 모든 통계가 가치중립적이라고 생각하지 않기때문에 HFT에 대한 유리한 환경을 조성하지 못하지 않을까~~~
3.
예전에 HFT와 관련된 소식을 전할 때 언급한 것처럼 미국의 Latency Arbitage전략을 구사하는 헤지펀드들은 유럽이나 다른 시장으로? 목표로 계속 움직이고 있습니다.
EU차원에서 조사가 진행중이기때문에 이들은 다음 목표로 브라질과 일본을 정한 듯 합니다.
Asia-Pacific is the next frontier for high-frequency trading
Brazil, Japan Well-Positioned For HFT Entry
High Frequency Trading in Asia
HFT와 관련되어 남미시장의 장점을 정리한 내용입니다.
All of Latin America has rich potential for high-frequency players, said Vinode Ramgopal, ceo of Marco Polo Network. For instance, some of the issues traded in Latin America are cross-listed in local and international markets. Index offerings on BM&FBovespa and Bolsa Mexicana de Valores (BMV), futures on BM&FBovespa, BMV and Mercado Mexicano de Derivados, and single stock futures on BMV also set the region up nicely for high-frequency traders of multiple asset classes, he explained.
Ramgopal noted that Brazil is best-positioned due to its direct-market access availability, sponsored access laws and co-location facilities. Mexico and Chile are also on the cusp, but while both countries’ exchanges enable direct market access, neither of them offer sponsored access, and Chile lacks co-location. For any exchange, the challenge in Latin America is adaptation. Ramgopal emphasized that firms looking to enter the market should develop a familiarity with the local environment, local market rules and friction of local costs.
브라질에서 진행되는 HFT현항은 아래글에서도 간단히 분석하고 있습니다.
BM&F Bovespa sees 2010 high frequency trading surge
아울러 아시아, 일본의 경우 Arrowhea의 효과가를 HFT에서 나타나고 있다고 분석하고 있습니다.
In the Asia-Pacific region, Japan should be the location of choice for firms, and firms already in the region should keep an eye on Hong Kong and Singapore, according to Steve Silberstein, chief information officer of Chi-X Global. Japan, Hong Kong, Singapore and Australia all have direct market access via brokers, but Japan’s primary market latency is lower than the others, with no stamp tax and no currency restriction. With the launch of TSE’s Arrowhead in January, Japan’s market volumes increased by 10-20% immediately, with spreads decreasing by a quarter. Similarly, latency dropped to three milliseconds, lower than Hong Kong at 100 milliseconds, Singapore at 16 milliseconds, and even Australia, which has a latency of five milliseconds. Hong Kong also employs a stamp tax for transactions. Australia does not employ such a tax, but it does put a tax on exchange fees.
그렇지만 미국과 같은 방식은 아니라고 합니다. 당연히 거래제도와 감독기관의 규제가 다르기때문입니다.
Take Kairos Asset Management, a hedge fund based in Sao Paulo, Brazil, where high-frequency trading has begun to emerge in early form since markets there became fully electronic in the past 18 months.
Kairos uses high-frequency algorithms and technology developer Lime Brokerage LLC based in New York for low-latency execution into New York-area venues. Kairos has been using co-located servers to trade derivatives in the BM&FBovespa exchange based in Sao Paulo. In capitalization, the B&MFBovespa claims to be the fourth-largest exchange in the Americas behind only the NYSE, Nasdaq and Toronto Stock Exchange.
“We are maybe one or two feet from [the B&MFBovespa’s] matching engine,” says Kairos chief operating officer and managing director Alberto Ara?jo. “High-frequency trading in equities has not taken off yet because unlike in the U.S., traders are charged for canceled orders,” he noted. In high-frequency trading in the U.S., for instance, as much as 90 percent of the thousands of orders that are placed every second actually get canceled, when the desired price or amount of stock can’t be found on a given stock at a given moment.
Keys to Success for Remote Traders:Co-Location and More Co-Location중에서
아울러 아시아의 경우엔 Best Execution이라는 제도가 없는 관계로 HFT가? 본격화되기엔 많은 제도적 한계가 있다고 분석합니다. 또한 Latency Intra도 취약하다고? 합니다.(물론 Arrowhead가 가동되기 전의 상황…)
The regulatory environment in the U.S. and?Europe, which is geared toward best execution, does not exist in Asia,”?said Takayuki Saito, head of direct execution sales at UBS AG’s
Asia-Pacific division.
High-frequency trading surges across the globe중에서
또한 몇주전 미국에서 있었던 주가대폭락은 아시아 감독당국으로 하여금 보수적인 태로를 더 갖게끔 하였다고 합니다.
FOCUS: U.S. Glitch May Slow Rollout of High Frequency Trading In Asia
위의 기사중 KRX와 삼성증권 관계자들의 인터뷰가 나옵니다.(^^)
3.
HFT가 하나의 흐름으로 전세계를 휩쓸고 지나갑니다. 국제적으로 자본의 이동이 자유로운 상황에서? 더높은 이익을 쫓아서 투자처를 바꾸는 것은 당연합니다. 외국인의 비중인 높은 시장인 KRX도 예외가 아닐 듯 합니다.
그럴 경우 외국에서와 같은 논쟁이 한국에서 불 붙지 않을까 합니다. NGO까지 개입하면서
High-Frequency Trading as High-Tech Robbery
How a Computer Program Designed to Save the Free Market Turned Into a Monster
고주파거래를 부정적으로 묘사한 단어중 가장 강력한 단어가 Robbery와 Scam입니다.
“High Frequency Trading (HFT): Wall Street’s Latest Scam”
이런 표현도 등장하네요.과연 KRX와? 금융감독원은 어떻게 할까요?
보다 높은 변동성을 찾아서 SGX,TSE 혹은 호주나 중국거래소로 이동할 경우 KRX는 막대한 타격을 받습니다. 예방적 차원에서?조건부 허가로 정책기조가 바뀔 확율은 높다고 생각합니다. 아니면 암묵적인 방조를 택할 수 도 있습니다. 공식화하기엔 부정적인 여론이?무섭고 그렇다고 명시적으로 부정하기엔 KRX의 유동성이나 주가관리가 문제고.
