1.
미국 자산운용사인 Load Addett가 High-Frequency Trading: The Tricks of the Trade을 발표하였습니다. 이 글은 HFT를 세가지로 분류합니다.
1) Rebate Arbitrage:
“One HFT technique that can influence market prices involves the relatively small rebates offered by equity exchanges in order to generate trading flow and, consequently, revenue. Once an HFT program identifies the footprint of an existing order, it can trade ahead of that order—thus potentially affecting the price of the stock—while also collecting a rebate.”
2) Market Making:
“This process may start with an HFT program identifying an existing order and how much price discretion the order has to buy or sell a stock. Price discretion could be determined, for example, by the existing order’s response to a series of offers to sell stock from a high-frequency trader. Once this discretionary amount is identified, the HFT program could trade ahead of the existing order and then fill that order at its price threshold. As a result of this process, the market maker would provide the investor with liquidity, but at a potential cost of moving from its initial price toward its discretionary threshold.”
3) Predatory Trading:
“Once an HFT program identifies an order, it might adjust its quotes for the stock, therefore prompting the investor to adjust as well. For example, if this process results in an investor raising its bidding price for a stock, the HFT program might sell the stock short to the investor at that price. Yet, considering that the sequential bidding process inflated the price of the stock, the HFT program could cover its short position once the stock price presumably reverts to tis previous level. ”
Predatory Trading은 SEC가 Order Anticipation Strategy라고 한 전략과 비슷합니다. Load Addett는 HFT에 당하지 않기 위한 첫걸음으로 HFT가 알 수 없는 매매전략을 운영하라고 권고합니다.
The first step a firm can take to protect its trades against HFT’s influence involves avoiding the trading patterns that these programs might identify.
그렇지만 가장 중요한 것은 기계가 아니라 사람이라고 합니다.
Yet the greater point may be that in an environment increasingly dominated by electronic trading, human monitoring of these processes has also become more critical. The need for heightened human oversight is underscored by the patience, experience, and spontaneity required of traders and investors to mitigate the influence of HFT in order to receive the best trade executions for their clients.
한국은 HFT논쟁이 개인 대 외국인 혹은 기관의 구도로 이루어지는 반면 미국은 기관 대 HFT구도입니다. 이런 배경은 미국시장에서 기관투자가가 큰 비중을 차지하는 반면 개인투자자는 작은 비중입니다. Load Addett도 기관투자가이면서 기관투자가의 이해를 반영합니다.
2.
위의 글도 HFT논쟁중 나왔습니다. 여전히 논쟁은 계속입니다. NBC는 HFT의 동작원리를 인포그래픽을 설명합니다.
How High Frequency Trading Works
아래 이미지를 누르시면 큰 이미지로 읽으실 수 있습니다.
