1.
2014년 가장 유명한 고빈도매매와 관련한 것은 Flash Boys(“플래시 보이스 – 0.001초의 약탈자들, 그들은 어떻게 월스트리트를 조종하는가”로 번역)가 가장 유명합니다. 이 때문에 미국은 HFT논쟁 2.0을 하였고 SEC와 CFTC를 중심으로 HFT를 규제하기 위한 본격적인 논의가 시작되었습니다. 아울러 검찰이 수사에 나서고 여러가지 소송으로 이어지고 있습니다. 시끄럽다고 시장의 변화가 멈추지 않습니다.
FIA EPTA에 올라온 High Frequency Trading or High Frequency Technology을 보면 HFT의 미래를 트레이딩의 미래라고 주장합니다. 물론 한국은 시장은 어떨지 모르지만.
A quick look at the recent history of the markets can tell you what the future of high frequency trading will be: just as once mobile phones were large bricks carried around by CEOs and journalists and have become an essential of everyday life, so too, HFT technology will become the norm for market trading. As the technology develops and gets cheaper, more and more participants will invest in it, just as they have done already with algorithmic trading, meanwhile others will explore new technologies which may, one day, change the way we interact with markets again.
2.
미국과학자연맹이 있습니다. 위키에 따르면 미국 과학자 연맹(Federation of American Scientists, FAS)은 세계를 좀 더 안전하게 하기 위해 과학적 분석을 제공할 목적으로 맨해튼 계획의 과학자들이 1945년 설립한 미국의 시민단체이라고 합니다. FAS가 내놓은 고빈도매매 분석보고서입니다.
High-Frequency Trading: Background, Concerns, and Regulatory Developments
고빈도매매를 다룰 때 나왔던 모든 주제를 다 다루고 있습니다.
On May 6, 2010, the Dow Jones Industrial Average (DJIA), a broad stock index, fell by nearly 1,000 points over the course of several minutes and then quickly rebounded. This was one of the largest intraday declines in the history of the DJIA and was described by one commentator as “one of those eye-opening events that exposed many flaws in the structure of the market.” Dubbed the Flash Crash, the event led to several analytical studies and reports and to greater scrutiny of a broad trading protocol known as high-frequency trading (HFT), a form of algorithmic securities trading, which has no formal consensus definition. In addition to the heightened scrutiny it received after the Flash Crash, HFT, which accounts for a large share of total domestic securities trades, has raised other public policy concerns. Among them are (1) whether it plays a role in exacerbating market fragility; (2) whether it may heighten the market’s systemic risk; (3) whether it enhances or harms the quality of those markets; (4) whether certain kinds of HFT may constitute an illegal form of front-running; (5) whether HFT helps foster a system of two-tiered trading markets that benefits certain traders at the expense of others due to their access to faster trading data and advantageous trade infrastructure; and (6) whether the presence of HFT has been to the detriment of non-HFT investors and investor confidence in the securities markets. As in earlier major market disruptions, such as the October 1987 market crash (when the DJIA lost almost 22% in a single day, setting off a global stock market decline), congressional interest in the Flash Crash derives in part from its decades-old legislative mandate that, among other things, delegated to the SEC responsibility for investor protection (through a regime of mandatory disclosure) and maintaining fair and orderly markets.
미국 컨설팅그룹인 Brattle Group이 고빈도 매매와 관련하여 Computerized and High-Frequency Trading을 내놓았습니다.
The use of computers to execute trades, often with very low latency, has increased over time, resulting in a variety of computer algorithms executing electronically targeted trading strategies at high speed. We describe the evolution of increasingly fast automated trading over the past decade and some key features of its associated practices, strategies, and apparent profitability. We also survey and contrast several studies on the impacts of such high-speed trading on the performance of securities markets. Finally, we examine some of the regulatory questions surrounding the need, if any, for safeguards over the fairness and risks of high-speed, computerized trading.
이 논문은 고빈도매매의 전략을 ‘Automated Liquidity Provision, Market Microstructure Trading, Event Arbitrage, Statistical Trading’로 분류합니다. 그동안 사용했던 개념보다 휠씬 포괄적으로 설명합니다. 개인적으로 고빈도매매를 넓게 이해하도록 하는 개념정의가 아닐까 합니다.
고빈도매매를 비판하는 논거중 하나가 시장의 불안정성입니다. Flash Crash가 대표적입니다. 그런데 이를 반박하는 논문이 있습니다.
This paper examines the relation between high-frequency trading (HFT) and extreme price movements (jumps). Some market observers allege that HFT causes and exacerbates price jumps thus contributing to market instability. Contrary to these allegations, we find that during extreme price movements high-frequency traders act as net liquidity suppliers, while non-high-frequency traders act as net liquidity demanders. Moreover, high-frequency traders are particularly active providing liquidity during price jumps that result in permanent price changes, absorbing the most informed order flow. Our evidence is consistent with HFT performing a stabilizing function in modern markets.
High-Frequency Trading and Extreme Price Movements중에서
3.
핀란드 투자회사중 Valo Research And Trading이 있습니다. 이곳의 퀀트인 Tommi A. Vuorenmaa가 2012년에 내놓은 HFT와 관련한 논문입니다. The Journal Of Trading에 실렸던 논문입니다.
The Good, the Bad, and the Ugly of Automated High-Frequency Trading
2014년 Vuorenmaa가 HFT의 기계와 인간의 관계를 다룬 보고서를 발표합니다.Tommi Vuorenmaa—The Anatomy of a High-Frequency Trader: Human and Machine Proportions을 통해 알았던 보고서입니다.
국내 금융회사에서 트레이딩과 관련한 분들중 수준을 떠나 이렇게 논문을 활발히 발표하는 분들이 있었으면 합니다.
