1.
확실히 시장이 바뀌고 있습니다. HFT와 관련한 기사들이 줄고 있습니다. 한동안 Flash Boys의 여파로 늘었지만 잠잠합니다. 그럼에도 HFT는 전세계 시장에서 주된 흐름을 형성하고 있고 나라별로 HFT에 대한 정책적 대응이 주된 과제입니다. 미국 IRRC Institute가 내놓은 On The Impact and Future of HFT입니다.
This white paper informs on the state of high frequency trading (HFT) mainly in the U.S. The paper addresses three major issues: First, it addresses HFT as it is seen from various market agents’ perspectives, traders, institutional investors, regulators, academicians, and the public, collectively referred to as stakeholders. The paper establishes a survey to get information on aspects of HFT. An examination of a HFT dataset verifies known trends and claims of HFT volume, price efficiency and liquidity. Second, the paper examines the imminent problems and risks seen by various stakeholders from their vantage point. An assessment of sources of risk posed by HFT to institutional investors and other components of the financial system reveals two types of risks to be examined more carefully: the first is HFT-driven systematic risk and the other is a potential HFT systemic risk. Third the paper examines possible solutions to existing issues of HFT along with recent claims. We find that there are two classes of claims of unfair practices facing HFT: one is the insider information through asymmetric access to information flows and the other is price manipulation claim. The paper introduces the concepts of information transmission distance and systemic latency. We propose a new solution based on information transmission zoning concept, which requires minimum financial information flow re-architecting and no major changes in regulation NMS.
논문의 저자들이 주장하는 HFT의 영향은 아래와 같습니다.
KF&Y state that the arguments for or against HFT largely rely on four issues, which are often intertwined, leading to confusion. The four distinct characteristics are:
• Technology as an enabler
• Location and time-scale
• Fair practices using algorithmic trading strategies independently of time-scale
• Unfair advantages through asymmetric insider information and quote manipulation
이중 앞선 세가지는 기술의 발전이 낳고 결과입니다. 긍정적입니다. 반면 네번째는 다릅니다. HFT를 둘러싼 불공정시비가 네번째에서 발생한다고 봅니다. 그래서 information transmission distance을 도입하여 규제하자고 합니다.
2.
일본거래소도 HFT를 비켜갈 수 없습니다. 오히려 적극적으로 HFT를 육성하려고 합니다. 아래는 JPX가 최근 발간한 HFT와 관련한 자료들입니다.
米国市場の複雑性とHFTを巡る議論
High Frequency Quoting, Trading and Efficiency of Prices
3.
인터넷으로 검색해 보면 HFT에 가장 적극적인 곳이 러시아와 인도입니다. 인도 블로거가 올려놓은 HFT를 위한 인도자본시장 입문입니다. 아래가 목차입니다. 자세히 정리해놓았습니다.
Part 1:Introduction
Part 2:BSE Regulators & Governance body & Share Holding
Part 3:Requirements: International Investors or Foreign Investors to do HFT & MM Trading at BSE.
Part 4:Liquidity & Volumes at BSE
Part 5:BSE Exchange Technology
Part 6:BSE High Frequency Trading ASSET CLASSES
Part 7:Trading Cost (Cheapest Trading – Transaction Cost)
Part 8:Market making
Part 9:Co Location Infrastructure (Free of Cost )
Part 10:BSE TO NSE Connectivity or any other Exchange Data feed
Part 11:BSE back Testing Data & paper Testing ( Simulation ) Environment
Part 12:In House Software Approval & Quant Strategies approval system.
Part 13:BSE API Details.
Part 14:BSE Trading Timing & Settlement & clearing
