高频交易与市场稳定
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资源简介
High-Frequency Trading and Market Stability
Dion Bongaerts and Mark Van Achter
March 2015
Abstract
In recent years, technological innovations and changes in nancial regulation in-
duced a new set of liquidity providers to arise on nancial markets: high-frequency
traders (HFTs). HFTs di er most notably from traditional market participants
in the fact that they combine speed and information processing. We compare a
setting with HFTs to settings with traders that only have speed technology or only
information processing technology available. Speed technology by itself will only
be adopted when socially ecient. Information processing technology by itself will
only generate mild ineciencies due to a lemons problem. The combination of the
two, however, can lead to the implementation of inecient speed technology or
the ampli cation of the lemons problem. In the latter case, liquidity evaporates
when it is most needed and markets can freeze altogether for periods of time. We
also discuss how regulation can prevent such sudden drops of liquidity and how
the market may recover after a freeze.
JEL Codes: D53, G01, G10, G18
Keywords: High-Frequency Trading, Limit Order Book, Market Freeze, Mar-
ket Stability
We
