英文标题：
《Rock around the Clock: An Agent-Based Model of Low- and High-Frequency
Trading》
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作者：
Sandrine Jacob Leal, Mauro Napoletano, Andrea Roventini and Giorgio
Fagiolo
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最新提交年份：
2014
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英文摘要：
We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash crashes. In the model, low-frequency agents adopt trading rules based on chronological time and can switch between fundamentalist and chartist strategies. On the contrary, high-frequency traders activation is event-driven and depends on price fluctuations. High-frequency traders use directional strategies to exploit market information produced by low-frequency traders. Monte-Carlo simulations reveal that the model replicates the main stylized facts of financial markets. Furthermore, we find that the presence of high-frequency trading increases market volatility and plays a fundamental role in the generation of flash crashes. The emergence of flash crashes is explained by two salient characteristics of high-frequency traders, i.e. their ability to i) generate high bid-ask spreads and ii) synchronize on the sell side of the limit order book. Finally, we find that higher rates of order cancellation by high-frequency traders increase the incidence of flash crashes but reduce their duration.
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中文摘要：
我们建立了一个基于代理的模型来研究低频和高频交易之间的相互作用如何影响资产价格动态。我们的主要目标是调查高频交易是否会加剧市场波动并导致闪电崩盘。在该模型中，低频代理采用基于时间顺序的交易规则，可以在原教旨主义和图表主义策略之间切换。相反，高频交易者的激活是事件驱动的，取决于价格波动。高频交易者使用定向策略来利用低频交易者产生的市场信息。蒙特卡罗模拟显示，该模型复制了金融市场的主要程式化事实。此外，我们发现高频交易的存在增加了市场的波动性，并在闪电崩盘的产生中起着根本性的作用。闪电崩盘的出现是由高频交易者的两个显著特征解释的，即他们的能力i）产生高买卖价差和ii）在限价指令簿的卖方同步。最后，我们发现高频交易者较高的订单取消率会增加闪电崩溃的发生率，但会缩短其持续时间。
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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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