英文标题：
《Simulating the Synchronizing Behavior of High-Frequency Trading in
Multiple Markets》
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作者：
Benjamin Myers and Austin Gerig
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最新提交年份：
2013
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英文摘要：
Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of markets, it is unclear how or why it produces this outcome. Here we create a simple model to study the impact of HFT on investors who trade similar securities in different markets. We show that HFT can improve liquidity by allowing more transactions to take place without adversely affecting pricing or volatility. In the model, HFT synchronizes the prices of the securities, which allows buyers and sellers to find one another across markets and increases the likelihood of competitive orders being filled.
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中文摘要：
金融市场上近一半的交易是由高速、自主的计算机程序执行的，这种交易通常被称为高频交易（HFT）。尽管有证据表明高频交易提高了市场的效率，但目前尚不清楚它是如何或为什么产生这种结果的。在这里，我们创建了一个简单的模型来研究高频交易对在不同市场交易类似证券的投资者的影响。我们表明，高频交易可以通过允许更多交易的发生而提高流动性，而不会对定价或波动性产生不利影响。在该模型中，高频交易同步了证券的价格，这使得买家和卖家能够在不同的市场中找到彼此，并增加了竞争订单被满足的可能性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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