Journal of Financial Markets, Volume 31, November 2016, Pages 1–24.

高頻交易會增加系統性風險嗎？

作者：Pankaj K. Jaina (Fogelman College of Business & Economics, The University of Memphis), Pawan Jainb (College of Business, University of Wyoming), Thomas H. McInish (Fogelman College of Business & Economics, The University of Memphis)

摘要：2010年，東京證券交易所——總部設在美國以外的最大的證券交易所，推出了一種新型交易平台：Arrowhead。這一平台降低了信息延遲，将同一位置的高頻報價和交易（HFQ）由交易量的0%提升至36%。在代表極端市場狀況的尾部事件中，低延遲相關的HFQ可能導緻系統性風險，比如閃電崩盤，現有文獻對此尚無充分的研究。我們在本文中的研究為評估HFQ是否會增加系統性風險提供了一個框架，并指出在通過熔斷機制和其他監管手段管理這些風險時，需要引入相關系數和成分VaR方法。

關鍵詞：高頻交易；流動性；相關系數；系統性風險；Arrowhead；成分VaR

Does high-frequency trading increase systemic risk?

Pankaj K. Jaina (Fogelman College of Business & Economics, The University of Memphis), Pawan Jainb (College of Business, University of Wyoming), Thomas H. McInish (Fogelman College of Business & Economics, The University of Memphis)

ABSTRACT

In 2010, the Tokyo Stock Exchange, the largest stock exchange headquartered outside of the United States, introduced a new trading platform, Arrowhead. This platform reduced latency and increased co-located, high-frequency quoting and trading (HFQ) from zero to 36% of trading volume. During tail events representing extreme market conditions, low-latency correlated HFQ may lead to systemic risks such as flash crashes, which has not been sufficiently addressed in the literature. In this paper, our study provides a framework to assess whether HFQ increases systemic risks and points to the need for incorporating correlations and CoVaR methods in regulating these risks through circuit breakers and other regulations.

Keywords：High-frequency trading; Liquidity; Correlation; Systemic risk; Arrowhead; CoVaR

原文鍊接：http://www.sciencedirect.com/science/article/pii/S138641811630218X

翻譯：黃怡文