1.
HFT는 한 시대의 유행이었을까요? 아니면 시장의 변화를 알리는 전조(前兆)였을까요? HFT를 특정한 전략으로 이해하는 사람들은 전자로 판단합니다. HFT를 좀더 넓은 관점으로 이해하면 후자로 이해합니다. 저는 후자의 생각을 가집니다. High Frequency + Low Latency + Automatic Strategy + Computor로 이루어진 흐름입니다. 요즘은 빅데이타가 더해진 모양으로 발전하고 있습니다.
해외에서 나오는 글을 읽어보면 HFT는 여전한 이슈입니다. 그중 몇가지를 소개합니다. 먼저 Norges Bank Investment Management가 발간한 자료입니다.
High Frequency Trading – An Asset Manager’s Perspective
최근에 이슈인 것을 두루 다루고 있습니다. 아래는 요약입니다. 요약만 보면 재미없을 듯 하지만 내용은 무척 좋습니다. 개념을 정리할 수 있도록 그림으로 잘 표현해놓았습니다. 아주 공을 많이 들인 보고서입니다. 더불어 수학기호가 없는 보고서입니다. 편히 읽을 수 있습니다.
•The nature of equity markets has evolved with the advent of computer-based trading (CBT) and high frequency trading (HFT). Some market observers have been critical of HFTs and this topic has become controversial.
• HFTs do not constitute one coherent entity and their trading strategies can vary. It is therefore important to address their contribution to and impact on market quality and efficiency with such differences in mind.
• There is little consensus yet on what constitutes an appropriate framework for assessing market quality. More emphasis can be put on time-variation in trade-related measures including market impact across trade horizons that is more typical of large institutional order flow.
• Regulatory policies should try to take into consideration intended as well as unintended consequences given complexity in market microstructure. Introduction of new policies should consider potential negative impact on liquidity provisioning without robust alternatives in place.
• In our view, issues of concern to large, long-term investors more deserving of attention include –– Anticipation of large orders by some HFTs leading to potential adverse market impact –– Transient liquidity due to high propensity for HFTs to rapidly cancel quotes real-time –– Un-level playing field amongst market makers from low latency ultra HFT strategies
• On the broader implications for well-functioning markets, we address three aspects – implicit transaction costs, market abuse and equality, and endogenous and systemic risk. In our view, more research and debate is needed in these areas.
• Markets will continue to evolve. The recent emergence of HFTs is an indication that continued research and development of trading strategies, as well as debate on appropriate market structure, are important responsibilities of asset managers and other market participants.
2.
두번째는 High Frequency Traders: Taking Advantage of Speed입니다.실거래 데이타를 이용하여 HFT의 특징이나 관계등을 분석하지 않고 HFT와 다수의 LFT로 이루어진 시장을 모형화하고 HFT의 변화에 따른 영향을 분석하였습니다. 특히 속도에 주안점을 두었습니다. 저자는 속도를 자본시장의 본질이라고 판단합니다.
Speed has always been of the essence in financial markets. Traders were among the first to adopt the telegraph and then the telephone. Closer to us, “high frequency” meant anything intraday; then inute-by-minute transactions became the norm, quickly to be replaced by second-by-second time stamps. The time it now takes for an order to be sent and displayed on an electronic exchange, that the latency associated with the implementation of an order, is currently measured in milliseconds. The latest software and infrastructure developments are making it possible for the most cutting-edge trading firms to implement microsecond-based algorithms.
두번째 논문은 앞선 보고서와 달리 수학기호가 넘쳐나는 논문입니다. 읽기가 쉽지 않습니다. 능력이 필요합니다.(^^)
How Aggressive are High-Frequency Traders?라는 논문도 있습니다. 스톡홀롬 증권거래소의 데이타를 이용하여 market-making high-frequency traders (HFTs), opportunistic HFTs, non-HFTs의 주문 특성(Aggresiveness)를 연구한 논문입니다.
