国外高频交易的发展现状及启示

证券市场上的高频交易模式大体上分为四类:订单拆分策略、做市交易策略、定量化交易策略和其他策略。研究发现:(1)高频交易降低了买卖价差,提高了市场流动性,而并没有增加市场波动率,甚至反而可能降低了市场波动率;(2)没有发现高频交易者存在系统性抢单行为(并不排除有特定高频交易者存在此类行为);(3)学术研究认为高频交易有导致市场风险的可能性,但是事件调查大多认为高频交易不是引发市场风险的罪魁祸首。本文认为,对高频交易的监管应该注重抓住重点区别对待,以维护公平、透明、高效的市场秩序。

Development of High-Frequency Trading in Foreign Markets and the Implications to Our Market

High-frequency trading(HFT) patterns in the stock market can be generally divided into four categories: order splitting,market-making,quantitative trading and other strategies.Researches on their impact on the market found that:(1) HFT reduces bid-ask spreads,increases market liquidity,and does not add to or even reduces the market volatility;(2) HFT traders are not found to systematically grab trading from other traders,although this behavior might do exist;(3) Academic studies suggest that HFT may increase market risk,but most incident investigation denies such argument.This article suggests that different measures should be applied according to the nature of different strategies and their impact on the market.