High-frequency trading and institutional trading costs

Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a predatory trading strategy. Using a quasi-experiment in November 2011, in which a number of HFTs started trading the bond future, we run a difference-in-differences event study and find more competition among HFTs improves implementation shortfall, effective spreads, and short-term price impacts for institutional trading in Canadian bond futures.     

Insider trading and risk aversion

This paper is a continuous time version of Holden and Subrahmanyam (Economics Letters 44 (1994) 181). The paper extends Kyle (Econometrica 53 (1985) 1315) by introducing risk aversion on the side of the monopolist informed trader and allows for the liquidity traders instantaneous demand to depend on cost of trading, as well as on the risk of the stock. The main result of the paper is that, in equilibrium, the price pressure decreases with time regardless of the elasticity of the liquidity demand function.     

2012年上半年货币市场运行概况与特点

2012年上半年,人民银行通过多种手段调节市场流动性,货币市场反应灵敏,主要特点表现为：交易规模快速增长,利率总体低水平运行,交易期限结构仍以短期为主,交易主体以银行类机构为主,融资格局总体稳定但存在阶段性变化,各类机构交易利差有序分布,非银行类市场主体交易更加活跃。     

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。     

Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets

In this paper we empirically analyze whether the degree of trader anonymity is related to the probability of information-based trading. We use data from the German stock market where non-anonymous traditional floor based exchanges co-exist with an anonymous computerized trading system. We use an extended version of the Easley et al. (J. Finance 51 (1996) 1405) model that allows for simultaneous estimation for two parallel markets. We find that the probability of informed trading is significantly lower in the floor based trading system. We further document that the size of the spread and the adverse selection component are positively related to the estimated probabilities of information-based trading.     

Front-Running by Mutual Fund Managers: A Mixed Bag

This paper evaluates the welfare implications of front-runningby mutual fund managers. It extends the model of Kyle (1985)to a situation in which the insider with fundamentals-informationcompetes against an insider with trade-information and in whichnoise trading is endogenized. Noise traders are small investorstrading through mutual funds to hedge non-tradable or illiquidassets. The insider with trade-information is one of the fundmanagers. We find that her front-running activity reduces theliquidity costs of her customers, but it also reduces theirhedging benefits. As a result, the customers of the front-runningmanager may be worse off and place smaller orders. The oppositeis true, however, for those investors who are not subject tofront-running. In aggregate, front-running has either no orpositive consequences for welfare. JEL Classification. G14,G23.     

Dispersion trading: Empirical evidence from U.S. options markets

This paper develops empirical evidence on the viability of a form of volatility trading known as “dispersion trading.” The results shed light on the efficiency with which U.S. options markets price volatility.Using end-of-day implied volatilities extracted from equity option prices for the stocks that comprise the S&P 500, the implied volatility of the S&P 500 is computed using a modification of the Markowitz variance equation. This Markowitz-implied volatility is then compared to the implied volatility of the S&P 500 extracted directly from index options on the S&P 500. These contemporaneous measures of implied volatility are then examined for exploitable discrepancies both with and without transaction costs. The study covers the period October 31, 2005 through November 1, 2007.It is shown that, from a trader's perspective, index option implied volatility tended to be more often “rich” and component volatilities tended to be more often “cheap.” Nevertheless, there were times when the opposite was true; suggesting that potential dispersion trades can run in either direction.     

交易透明度对证券场外交易信息效率的影响

黑池交易系统(Dark Pools)是美国近年发展较快的非公开交易平台,其信息透明度较低,可提供匿名交易的服务,并由此实现信息的非公开传递。通过扩展后验信念收敛速率的模型来描述不同交易透明度下场外市场的信息显示速率,发现私人信息与公共信息共存有利于信息更快地显示,因而私人信息渠道与公共信息渠道共存有利于提升信息效率,由此解释了非公开交易平台的价值,也为我国场外市场的分层发展提供可行建议.     

全球股票市场交易费用变动趋势研究

各国证券交易所为提高市场质量和增强国际竞争力,进行了股票市场交易费用结构与费率的频繁调整。本文首先总结了美国、英国、日本、香港等国家和地区交易所现行交易费用的结构特征,并以纽约证券交易所和伦敦证券交易所为案例估算了交易费率的调整比率。其次,本文运用2002年至2010年期间主要海外证券交易所的财务数据和市场数据,分析交易费用变动与交易所经营业绩的互动关系。最后,我们对欧美市场交易费用的大幅下调进行了成因分析,并探讨我国证券交易所内外部环境及经营特点与海外市场存在的差异,提出相关启示和思考。     

证券交易者行为的进化博弈分析

运用进化博弈理论,构造证券交易者进化博弈模型,模拟市场中理性交易者与噪声交易者相互转换的过程,说明二者之间存在动态均衡,这种均衡受到交易者对证券收益的预期与噪声交易风险的影响。     

Stock market dynamics with rational liquidity traders

In the Kyle (1985) finite horizon model of stock market dynamics with a trader who holds long-lived information, informed trading intensities rise with time, and the slopes of the equilibrium price schedules fall. This paper shows that this result depends crucially on the irrational liquidity trader assumption. We replace the irrational noise traders with a sequence of rational, risk averse, liquidity traders who receive endowment shocks to their holdings of the risky asset. We demonstrate that unless liquidity traders are sufficiently risk averse, the slope of equilibrium price schedule rises over time, while informed trading intensities fall. In particular, Kyle's result holds only when liquidity traders are so risk averse that they ‘over-rebalance’ their portfolio's holdings of the risky asset, so that their final holdings of the risky asset have the opposite sign of their initial position.     

Trade Size Preference of Informed Traders in Indian Equity Markets

This study utilized high frequency transactions data to analyze the trade size preference of informed traders in Indian equity markets. It is observed that informed traders at an aggregate level adopt stealth trading strategy, wherein they prefer medium sized trades over large sized trades in order to camouflage their private information. However, the stealth trading behavior varies across stocks, wherein informed traders prefer more large sized trades on firms that are part of an index compared to non-index firms. Trading behavior also varies across other market conditions. It has been noted that informed traders prefer large sized trades during periods of high market thickness, negative returns, and low volatility. This study also provides a rationale for such varied behavior of informed traders.     

TSFDC: A trading strategy based on forecasting directional change

Directional Change (DC) is a technique to summarize price movements in a financial market. According to the DC concept, data is sampled only when the magnitude of price change is significant according to the investor. In this paper, we develop a contrarian trading strategy named TSFDC. TSFDC is based on a forecasting model which aims to predict the change of the direction of market's trend under the DC context. We examine the profitability, risk and risk‐adjusted return of TSFDC in the FX market using eight currency pairs. The results suggest that TSFDC outperforms the buy and hold approach and another DC‐based trading strategy.     

Informed and Uninformed Trading in an Electronic, Order-Driven Environment

The purpose of our study is to investigate the trading behavior of informed and uninformed investors in a screen‐based, order‐driven environment. As more and more exchanges conduct trading through electronic limit‐order books, it is increasingly important to analyze consequent trading behavior and its impact on the liquidity provision process. We examine one of the largest electronic, order‐driven markets in the world, the Stock Exchange of Hong Kong. Our findings show that the interaction of informed and uninformed traders plays a significant role in determining corporate liquidity.     

积极参与市场交易共促外汇市场繁荣

2008年2月26日,中国外汇交易中心发布2007年度银行间外汇市场优秀做市商、优秀会员和优秀交易员名单。根据此次评选,交通银行荣获最佳交易规范奖、交易优秀奖两个奖项。该行自成为做市商以来,一直严格执行相关法规规定在外汇市场上诚实交易,其规范的做市行为值得肯定;在充分肯定外汇交易中心开展评优活动的同时,该行也对银行间外汇市场的发展提出相关建议。     

机构投资者交易行为特征研究

本文通过研究股票收益变化和机构持股变化之间的关系,发现对于高机构持股股票,过去表现较好的股票会吸引机构增加持仓,且机构增持的股票相对减持的股票的后续表现又更好,而低机构持股股票则不然。这表明机构投资者整体上是采用正反馈即惯性交易策略的,而个体投资者的行为则较为随机。对于缺乏投资经验的个体投资者而言,论文结果意味着他们应当委托机构进行理财如投资于基金。     

金融期货最小价格变化单位的市场影响与最优水平

最小价格变化单位是买卖价差的底线，设置过高会人为地提高买卖价差的水平，增加交易费用；过低又会降低市场深度，增加交易谈判成本，影响交易效率。对最优价格升降档位的设定，要综合考虑精度要求、合约乘数、交易谈判成本和实际买卖价差水平等因素；而以实际买卖价差的底线作为最小价格升降档位，能较好地避免人为抬高买卖价差的情况出现。     

内部控制与内部人违规交易行为

以2009~2012年沪市上市公司为研究样本,以内部人违规交易比率、内部人敏感期交易比率和内部人延迟披露比率作为内部人违规交易行为的替代变量,考察了内部控制对内部人违规交易行为的影响。研究发现,内部控制质量与内部人违规交易比率和内部人敏感期交易比率显著负相关,与内部人延迟披露比率之间的关系不显著。研究结果表明,总体而言,内部控制能有效抑制内部人违规交易行为的发生,有利于提高内部人交易的合法合规性。     

Does high-frequency trading actually improve market liquidity? A comparative study for selected models and measures

The increasing volume of messages sent to the exchange by algorithmic traders stimulates a fierce debate among academics and practitioners on the impacts of high-frequency trading (HFT) on capital markets. By comparing a variety of regression models that associate various measures of market liquidity with measures of high-frequency activity on the same dataset, we find that for some models the increase in high-frequency activity improves market liquidity, but for others, we get the opposite effect. We indicate that this ambiguity does not depend only on the stock market or the data period, but also on the used HFT measure: the increase of high-frequency orders leads to lower market liquidity whereas the increase in high-frequency trades improves liquidity. We hypothesize that the observed decrease in market liquidity associated with an increasing level of high-frequency orders is caused by a rise in quote volatility.