JOURNAL OF FINANCIAL MARKET·VOLUME 30·PAGES 54-77·SEPTEMBER 2016

作者：Evangelos Benos (Bank of England) and Satchit Sagade (Department of Finance and Research Center SAFE, Goethe University)

摘要：我們将高頻交易者對資産價格發現的貢獻程度進行了定量研究并觀察其在橫截面維度的不同表現。為此，我們按吸收流動性或提供流動性特征将高頻交易者進行分組。結果發現，高頻交易者整體能夠解釋所有交易信息的14%，而主動型高頻交易者能解釋其中的2/3。該結論揭示出采用主動交易策略的高頻交易者大部分為知情交易者，與此相對，采用被動策略的高頻交易者更多作為做市商。然而，随着主動策略的交易量上升其信息份額出現下降，這說明該類交易策略難以承載較大的市場容量。

關鍵詞：高頻交易，價格發現

Price discovery and the cross-section of high-frequency trading

Evangelos Benos (Bank of England) and Satchit Sagade (Department of Finance and Research Center SAFE, Goethe University)

ABSTRACT

We quantify the price discovery contributions of high-frequency traders (HFTs) in the United Kingdom equity market and examine how it varies in their cross-section. For this, we group individual HFTs according to their liquidity taking/making activity. HFTs contribute about 14% of all trade-induced information, with aggressive HFTs accounting for two-thirds of this contribution. This suggests that HFTs who pursue strategies that require the use of aggressive trades are most informed, as opposed to passive HFTs who more likely act as market-makers. However, information shares decline with the amount of aggressive volume, suggesting that these trading strategies are not scalable.

Keywords: High-frequency trading; Price discovery

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S1386418116300672

翻譯：柳依依