1.
Moneyscience가 소개하는 논문을 보면 하루에도 몇 십편이 넘습니다. 능력도 모자란 사람이 모든 논문을 다 읽을 수 없습니다. 읽어도 이해가 힘든 수학기호들이 날아다닙니다. 그래서 선별을 합니다. 우선 RSS로 올라온 제목을 보고 관심 있는 것을 찾습니다. 그리고 논문 초록을 살핍니다. 읽어야 할 논문인지, 소개할 논문인지 혹은 기록만 해놓고 잊어버릴 논문인지를 판단합니다.
오늘 소개할 논문을 읽어야 할 논문이었습니다. 우선 제목이 멋집니다. Optimal Strategy입니다. ‘최적’이라는 단어에 이끌렸습니다.(^^)
Optimal Strategies of High Frequency Traders
프린스톤 대학의 Bendheim Center for Finance가 주최하는 The Civitas Foundation Finance Seminar에서 발표한 논문입니다. 2013년 가을쯤이네요.
저자가 밝힌 논문의 목적입니다.
This paper aims to provide some theoretical guidance on optimal strategies of HFTs. It intends to seek answers, from a theoretical point of view, to the following questions that could not be resolved by current continuous-time models on HFTs: (1) why and under what circumstances are HFTs behaving more like a market maker rather than a market taker and vice versa, (2) how optimal HFT strategies change with the states of the market and of the HFTs themselves. To achieve such purposes, I develop a continuous-time, partial ㄷquilibrium model that improves on the existing literature. In my model, the HFT under consideration can be a traditional market
maker of the Holl and Stoll (1981) type. More interestingly, the model also incorporates the ideas of Hasbrouck and Saar (2009) and Hirschey (2013) identified earlier, so that the HFT can carry out strategies to detect hidden liquidity and chase short-term price momentum.
흔히 HFT를 Market Maker로 이해하거나 momentum/anticipatory 혹은 pinging trading로 이해하는데 이를 하나의 모델로 설명하겠다고 합니다. 그래서 내린 저자의 결론은 다음과 같습니다.
This paper offers some theoretical guidance on the strategies of high-frequency traders (HFTs). It develops a continuous-time model that incorporates a rich set of HFT strategies besides market making. In the model, an HFT can not only act as a traditional liquidity-providing market maker, but he can also employ pinging and momentum strategies to speculate on price movements. I use historical message data to reconstruct limit order books, and characterize the optimal strategies under the viscosity solution to my model. My results suggest that the HFT frequently behaves like a market maker for stocks with high order-book depths, yet the HFT’s activities are mostly market taking for stocks whose order books are shallow and have more volatile movements. The prediction is in line with recent empirical findings on HFTs.
2.
사실 논문을 읽어보면 처음부터 끝까지 수학입니다. 다만 중간중간 논문이 무엇을 하는지를 이해하도록 하는 것들이 있습니다. 모델을 구성하면서 사용한 패러매터입니다. ACM에 실린 고빈도매매 기술과 알고리즘에서 소개한 알고리즘이 떠올랐습니다.
저자가 내린 결론이 무엇이든 아래의 도표를 보면 큰 그림은 그려집니다.
평가는 각자의 몫입니다. 그런데 요즘 매매전략과 관련한 글을 보면 중국계가 많네요. 이런 연구를 한 사람들이 모두 트레이딩업무에 종사할리 없지만.
3.
HFT와 관련한 또다른 논문입니다. Brattle Group이라는 생소한 곳에서 내놓은 자료입니다.
A recent white paper co-authored by Brattle economists analyzes high-speed trading in securities markets in light of recent controversies about the impact of these strategies.
Computerized, high-speed order submission, cancellation, and trading has been riding a wave of technological momentum and innovation over the past decade. In light of recent high profile controversies about high-frequency trading (HFT) and other less transparent corners of the markets, the Securities and Exchange Commission (SEC) and the U.S. Commodity Futures Trading Commission (CFTC) are conducting ongoing investigations of the impacts of these strategies, as well as proposing further regulatory oversight and solutions to address their potentially adverse side effects.
The paper, forthcoming in The Financial Review, describes the evolution of increasingly fast automated trading over the past decade and some key features of its associated practices, strategies, and apparent profitability. The authors also survey and contrast several studies on the impacts of such high-speed trading on the performance of securities markets. Finally, they examine some of the regulatory questions surrounding the need, if any, for safeguards over the fairness and risks of high-speed, computerized trading.
The paper, “Computerized and High-Frequency Trading,” was co-authored by Brattle academic advisor Michael A. Goldstein, principal Frank C. Graves, and senior associate Pavitra K. Kumar and can be downloaded below.
Computerized and High-Frequency Trading