1.
무슨 유명한 상으로 명예가 주어지는 상은 아닌 듯 합니다. 대신 100,000 달러의 상금을 받습니다. AQR Insight Award는 투자자문사, 기관투자자를 위한 참신한 시각을 제공한 논문에게 주어지는 상입니다. AQR Capital Management이 후원합니다.
THE TOPICS
We are open to papers on any investment-related topic — such as asset allocation, security selection, portfolio construction or risk management — as long as they deliver clear, significant insights for asset managers.AWARD DETAILS
$100,000, to be shared among as many as three winners at the sole discretion of the judges. Paper submission deadline is January 15, 2014. As many as five finalists will be invited to present their research to AQR’s judges and select guests in Greenwich, Connecticut, with all expenses paid.
이번에 세번째 수상자를 발표하였습니다.총 응모한 248개의 논문중 선택하였다고 합니다.
수상 논문에 대한 평입니다.
In their paper, the authors contrast important costs and benefits of continuous trading when traders transact virtually instantly in ever smaller increments of time and trading in discrete intervals of time, say, every 100 milliseconds, and conclude discrete interval trading better serves market participants.
3 win AQR Insight Awards for high-frequency trading paper중에서
초록입니다.
We argue that the continuous limit order book is a flawed market design and propose that financial exchanges instead use frequent batch auctions: uniform-price sealed-bid double auctions conducted at frequent but discrete time intervals, e.g., every 1 second. Our argument has four parts. First, we use millisecond-level direct-feed data from exchanges to show that the continuous limit order book market design does not really “work” in continuous time: market correlations completely break down at high-frequency time horizons. Second, we show that this correlation breakdown creates frequent technical arbitrage opportunities, available to whomever is fastest, which in turn creates an arms race to exploit such opportunities. Third, we develop a simple new theory model motivated by these empirical facts. The model shows that the arms race is not only socially wasteful – a prisoner’s dilemma built directly into the market design – but moreover that its cost is ultimately borne by investors via wider spreads and thinner markets. Last, we show that frequent batch auctions eliminate the arms race, both because they reduce the value of tiny speed advantages and because they transform competition on speed into competition on price. Consequently, frequent batch auctions lead to narrower spreads, deeper markets, and increased social welfare.
2.
아래는 수상 논문입니다.
The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
그리고 아래 네편은 주목할만한 논문이라고 상금없는 논문들입니다.
Structural GARCH: The Volatility-Leverage Connection
Comomentum: Inferring Arbitrage Activity From Return Correlations
The Risk Premia Embedded in Index Options
The Worst, the Best, Ignoring All the Rest: The Rank Effect and Trading Behavior
마지막으로 두번째 선정 논문은 아래에 있습니다.
2014 AQR Insight Award Winners
뉴스와이어가 이와 관련한 보도자료를 내놓았습니다.
