1.
Virtu는 유명한 고빈도매매 회사입니다. 1,238영업일중 하루 손실이 가능할까는 글의 주인공입니다. 미국의 유명한 기관투자가가 Virtu를 방문하였다고 합니다. 고빈도매매가 지배하는 주식시장에 주식을 매수하는 비용이 높아지므로 원인을 분석하기 위함입니다.
Asset management firm T. Rowe Price Group conducted a trade last year as an experiment that a top trader at the firm said underscored the shortcomings of a U.S. stock market dominated by high-frequency trading.
Andrew Brooks, the firm’s head of U.S. equity trading, said T. Rowe (TROW.O) used a reputable broker-dealer algorithm to buy shares of a heavily traded stock. He was surprised that in order to purchase 2.5 million shares, the firm had to indicate an interest in buying 750 million shares, or 300 times that amount.
“It’s dysfunctional,” Brooks told the audience at a Baruch College conference on financial markets in New York in October 2013.
But this year, the fund manager is taking a fresh approach to understand high-frequency trading. A group of T. Rowe’s traders paid a visit in September to Virtu Financial, a firm known for its technological prowess.
T Rowe Price, others peer into Virtu’s high-frequency world중에서
기사가 전하는 교훈은 두가지입니다. 먼저 T Rowe가 관심을 가지지 않았던 Routing Strategy입니다.
Investors know the price, size and where a trade was executed. But it is hard to find information about where an order was routed before it was filled, or why some shares were executed on one venue and not another.
또다른 점은 추상적이지만 OMS에 담긴 알고리즘입니다.
The T. Rowe source acknowledged Virtu has great technology. Still, it remained hard to compare the small trade that T. Rowe traders witnessed with the larger, experimental one that was conducted using another firm’s algorithm. Details of that earlier trade are lacking: for example, how the algorithm was programmed to buy 2.5 million shares, and the market’s condition at the time.
At the heart of Virtu’s operations is an order management system that measures many key risks: Whether a trade is the right amount at the right price, if too many shares have been sent to a venue where they may not all get executed, and how price will be affected.
The system and the technology behind it are key for Virtu, which trades in more than 210 markets around the world, in stocks, foreign exchange and commodities. Order management systems are not novel, and knowing which is best is subjective.
그동안 기관투자가들이 전략운용을 할 때 알고리즘과 TCA기술을 채택하는 경우가 많습니다. 이들과 비교할 때 고빈도매매가 더 높은 수익율을 보이고 있습니다. T Rowe가 가진 의문은 ‘무엇때문에, 어디서 차이가 나서 수익률의 차이를 보일까’ 일 듯 합니다. 기사만으로 보면 고빈도매매를 하는 기업들이 시장을 훨씬 더 깊고 세밀하게 이해하고 이를 시스템에 반영한 것이 원인으로 보입니다.
이상은 기사이고 미국이 배경입니다. 그래서 매우 제한적입니다. 더욱더 한국은 미국과 다릅니다.
2.
2014년 고빈도매매 논문 에서 소개하지 못했던 논문을 몇 편 더 소개하려고 합니다. 먼저 HFT전략입니다. 제목이 단순합니다.
Buy Low Sell High: a High Frequency Trading Perspective
We develop a High Frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to post limit sell and buy orders. By introducing a multi-factor self-exciting process we allow for feedback effects in market buy and sell orders and the shape of the limit order book (LOB). Our model accounts for arrival of market orders that in uence activity, trigger one-sided and two-sided clustering of trades, and induce temporary changes in the shape of the LOB. We also model the impact that market orders and news have on the short-term drift of the midprice (short-term-alpha). We show that HF traders who do not include predictors of short-term-alpha in their strategies are driven out of the market because they are adversely selected by better informed traders and because they are not able to profit from directional strategies.
아래 논문들은 알고리즘트레이딩이나 고빈도매매가 시장에 미치는 영향에 대해 분석하고 있습니다. 시간이 되면 간단히 논문을 소개하지만 짬이 별로 나지 않네요. Pocket에 있던 것을 블로그로 옮겨 기록합니다.
The causal impact of algorithmic trading on market quality”,
High-Frequency Trade and Market Performance
The Private Value of Speed: High-Frequency Trading and the Supply of Liquidity
High-Frequency Trading Competition
Do retail traders suffer from high frequency traders?
마지막은 고빈도매매 규제입니다. 전세계적으로 이루어지고 있는 고빈도매매에 대한 규제를 다루고 있습니다.
AN ANALYSIS OF GLOBAL HFT REGULATION:Motivations, Market Failures, and Alternative Outcomes
