1.
시장미시구조론과 경제학이 트레이딩을 바라보는 관점이 어떻게 차이가 있을까요? 아래의 글에 따르면 일반적으로 경제학은 트레이딩이나 매매체결에 영향을 주는 요인들을 추상화를 하지만 시장미시구조론은 이과 같은 요소들을 연구중심에 놓습니다.
Market microstructure is about the fundamental forces involved in market exchange. Economics and finance tends to abstract itself away from the underlying details of trading and exchange, but market microstructure puts these details at the center of the analysis, and investigates how these change the basic supply and demand interactions.
In short, market microstructure aims to understand the foundations of markets. It is concerned with (1) market structure and design, (2) price formation and discovery, and (3) liquidity and transaction costs. While a disperate subject (“market microstructure theory may appear an amorphous collection of models, with little in common but subject matter”, O’Hara p.2), there is fairly clear agreement on these subject areas
Market Microstructure 2: An Overview중에서
그러면 Market Microstructure를 어떻게 정의할까요? 최초로 Market Microstructure를 사용한 때는 1976년 Garman입니다. Garman은 논문 “Market microstructure”에서 아래와 같이 정의하였습니다.
We depart from the usual approaches of the theory of exchange by (1) making the assumption of asynchronous, temporally discrete market activities on the part of market agents and (2) adopting a viewpoint which treats the temporal microstructure, i.e., moment-to-moment aggregate exchange behavior, as an important descriptive aspect of such markets. (Garman 1976, p. 257, quoted in Hasbrouck Empirical Market Microstructure)
이후 연구중 NBER과 O’Hara의 정의를 소개합니다. 먼저 NBER working group on Market Microstructure은 다음과 같이 정의합니다.
“…theoretical, empirical, and experimental research on the economics of securities markets, including: the role of information in the price discovery process; the definition, measurement, control, and determinants of liquidity and transactions costs; and their implications for the efficiency, welfare, and regulation of alternative trading mechanisms and market structures.”
Maureen O’Hara의 정의는 아래와 같습니다.
“the study of the process and outcomes of exchanging assets under a specific set of rules. While much of economics abstracts from the mechanics of trading, microstructure theory focuses on how specific trading mechanisms affect the price formation process.” (p.1)
현재 Maureen O’Hara의 “Market Microstructure Theory”는 미시시장구조론의 교과서와 같습니다. 그리고 국내외를 막론하고 고빈도매매를 미시시장구조론에 입각하여 연구할 때 반드시 인용하는 논문입니다. 고빈도매매전략의 이론적 기반도 역시 이 논문입니다.
2.
그런데 O’Hara가 반성적인 논문을 발표하였습니다. 고빈도매매를 위해 사용하였던 시장미시구조론을 아래와 같이 반성합니다.
“the learning models we used in the past are now deficient and that the empirical methods we traditionally employed may no longer be appropriate.”
왜 그럴까요?
“The new high frequency world is thus both complex and constantly evolving. New technology and greater speed lead to new strategies, which lead to new methods of trading, and, in turn, to new market designs. But hidden within this new paradigm are other changes such as the evolving nature of liquidity, the changing character of information and adverse selection, and transformations to the fundamental properties of market data such as buys and sells, quotes and prices. These changes, in my view, are equally important to understand because they challenge the ways researchers have interpreted market data and analyzed market behavior and performance… I believe that the high frequency world has also fundamentally altered some of the basic constructs underlying microstructure research.”
O’hara교수가 위의 논문을 발표한 행사는 Frontiers of Finance 2014입니다. 제목은 High Frequency Market Microstructure입니다.
현실과 분리된 이론은 없습니다. 논문 전체를 읽지 않았지만 인용한 글을 보면 미국적인 시장환경이 만든 논문으로 보입니다. 한국처럼 KRX 독점인 시장, Market Fraqmentation이 낮은 시장과 그렇지 않은 시장을 동일한 잣대로 다룰 수 없어 보입니다. 그래도 자본시장이 가지는 본질적인 유사성이 있으므로 얻을 수 있는 무엇이 있지않을까 합니다. 미시시장구조론을 다루었던 글입니다.
Joel Hasbrouck과 시장 미시구조
Trading and Exchanges–Market Microstructure for Practitioners
혹 위 논문을 설명하는 강연을 하실 분이 있으시면 연락주세요.(^^)
