1.
몇 일전 소개하였던 HFT Market Microstructure Theory는 Frontiers of Finance 2014 행사중 하나였습니다.
Frontiers of Finance 2014를 구성한 여러 프로그램중 고빈도매매와 관련한 세션은 두 번 있었습니다.
Session B – -High Frequency Trading I
Andreas Park (University of Toronto) ‘Do retails traders benefit from improvements in liquidity’ (with Katya Malinova, University of Toronto & Ryan Riordan, University of Ontario)slides
Discussant: Arie Gozluklu
Bart Z. Yueshen (VU University Amsterdam)> ‘Queuing Uncertainty’ slidesSession C – High Frequency Trading II
Elvira Sojli (Erasmus University Rotterdam) ‘ Trading on Algos’ (with Johannes A. Skjeltorp, Norges Bank & Wing Wah Tham, Erasmus University)
Chen Yao (Warwick University) ‘Tick Size Constraints, Market Structure and Liquidity’ (with Mao Ye, University of Illinois)
이 중에서 ‘Trading on Algos’
This paper studies the impact of algorithmic trading (AT) on asset prices. We find that the heterogeneity of algorithmic traders across stocks generates predictable patterns in stock returns. A trading strategy that exploits the AT return predictability generates a monthly risk-adjusted performance between 50-130 basis points for the period 1999 to 2012. We find that stocks with lower AT have higher returns, after controlling for standard market-, size-, book-to-market-, momentum, and liquidity risk factors. This effect survives the inclusion of many cross-sectional return predictors and is statistically and economically significant. Return predictability is stronger among stocks with higher impediments to trade and higher predatory/opportunistic algorithmic traders. Our paper is the first to study and establish a strong link between algorithmic trading and asset prices.
2.
또다른 세션중 ‘Session C – Limit Orders’
Austin Gerig (University of Oxford) ‘Automated Liquidity Provision’ (with David Michayluk, University of Technology)
Discussant: Olga Lebedeva
Giovanni Cespa (CASS Business School) ‘Expectations, Liquidity and Short-Term Trading’ (with Xavier Vives, IESE Business School)
Discussant: Jerome Dugast
Jerome Dugast (Banque de France) ‘Are Liquidity Measures Relevant to Measure Investors’ Welfare’
그런데 개인적으로 관심이 갔던 논문은
Zhaohui Chen (University of Virginia) ‘Traders vs. Relationship Managers: Reputational Conflict’s in Full-Service Investment Banks’ (with Alan Morrison, University of Oxford & Willian J. Wilhelm Jr, University of Virginina)입니다.
신한은행에서 프로젝트를 할 때 RM을 무척이나 많이 들었기때문입니다.
