1.
미국 연방준비제도위원회 (Board of Governors of the Federal Reserve System)가 내놓는 논문집중 ‘Finance and Economics Discussion Series’가 있습니다. 이곳에 기계인식정보을 이용한 고빈도매매 기계간의 경쟁, 이로 인한 정보의 비대칭성을 다룬 논문이 올라왔습니다.
Machines vs. Machines: High Frequency Trading and Hard Information
Machines vs. Machines: High Frequency Trading and Hard Information
논문을 쓰신 분은 카이스트 출신인 허예솔씨입니다. 연방준비제도위원회에서 일하고 계시기때문에 전략을 다루지 않습니다. 고빈도매매를 어떻게 규제할지를 다루고 계십니다.
In today’s markets where high frequency traders (HFTs) act as both liquidity providers and takers, I argue that information asymmetry induced by liquidity-taking HFTs’ use of machine-readable information is important. This particular type of information asymmetry arises because some machines may access the information before other machines or because of randomness in relative speed. Applying a novel statistical approach to measure HFT activity through limit order book data and using a natural experiment of index inclusion, I show that liquidity-providing HFTs supply less liquidity to stocks that su ffer more from this information asymmetry problem. Moreover, when markets are volatile, this information asymmetry problem becomes more severe, and HFTs supply less liquidity. I discuss implications for market-making activity in times of market stress and for HFT regulations.
2.
미국 말고 캐나다 중앙은행도 고빈도매매와 관련한 논문을 내놓았습니다. 요약을 보시면 아시겠지만 HFT 간의 경쟁을 다루고 있습니다.
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out. Earlier entry is associated with larger effects. After Passive HFT entry, incumbent spreads tighten. After Aggressive HFT entry, incumbent order flow loses informedness. Revenue data suggest entry reduces the profitability of HFT activity. The results show that part of the value of HFT comes from its competitiveness.
High – Frequency Trading Competition중에서
아래는 논문이 제시한 결과중 하나입니다.
人工知能学会金融情報学研究会에서 소개하였던 일본은행의 자료까지 포함하여 주요한 나라들의 중앙은행이 고빈도매매에 관심을 가지고 있습니다. 한국은행은?
