英文标题：
《The microstructure of high frequency markets》
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作者：
Rene Carmona and Kevin Webster
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最新提交年份：
2017
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英文摘要：
We present a novel approach to describing the microstructure of high frequency trading using two key elements. First we introduce a new notion of informed trader which we starkly contrast to current informed trader models. We describe the exact nature of the `superior information\' high frequency traders have access to, and how these agents differ from the more standard `insider traders\' described in past papers. This then leads to a model and an empirical analysis of the data which strongly supports our claims. The second key element is a rigorous description of clearing conditions on a limit order book and how to derive correct formulas for such a market. From a theoretical point of view, this allows the exact identification of two frictions in the market, one of which is intimately linked to our notion of `superior information\'. Empirically, we show that ignoring these frictions can misrepresent the wealth exchanged on the market by 50%. Finally, we showcase two applications of our approach: we measure the profits made by high frequency traders on NASDAQ and re-visit the standard Black - Scholes model to determine how trading frictions alter the delta-hedging strategy.
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中文摘要：
我们提出了一种使用两个关键元素描述高频交易微观结构的新方法。首先，我们引入了知情交易者的新概念，这与当前的知情交易者模型形成了鲜明的对比。我们描述了高频交易者所能获得的“高级信息”的确切性质，以及这些代理人与过去论文中描述的更标准的“内幕交易者”有何不同。这就产生了一个模型，并对数据进行了实证分析，这有力地支持了我们的观点。第二个关键要素是严格描述限额指令簿上的结算条件，以及如何推导此类市场的正确公式。从理论角度来看，这允许准确识别市场中的两个摩擦，其中一个与我们的“高级信息”概念密切相关。从经验上看，我们表明，忽视这些摩擦可以将市场上交换的财富歪曲50%。最后，我们展示了我们方法的两个应用：我们衡量纳斯达克高频交易员的利润，并重新访问标准的布莱克-斯科尔斯模型，以确定交易摩擦如何改变delta对冲策略。
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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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