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选文:梁媛 审稿:孟令浩 终审:孙亚 编辑:邵天
由Dion Bongaerts and Mark Van Achter撰写的“High-Frequency Trading and Market Stability”研究了高频交易与金融市场稳定性的关系。近年来，技术革新和金融法规变化使金融市场上出现了一种新的流动性提供者：高频交易者(High-Frequency Traders, HFTs)。高频交易者与传统市场参与者的最大不同在于他们结合了速度和信息处理技术。本文比较了高频交易者与只有高速技术的交易者或只有信息处理技术的交易者，发现高速技术只有在其成本小于它产生的速度优势时才会被采用，而信息处理技术由于柠檬市场问题（信息不对称）会导致一定程度的非有效。然而，两者结合可能导致采用低效的高速技术或柠檬效应放大。对于后者，流动性会在最需要时蒸发，并且市场会在某些时间段内完全冻结。本文还讨论了政策法规如何阻止流动性突然下降和市场在冻结后如何恢复的问题。
High-Frequency Trading and Market Stability
Abstract
In recent years, technological innovations and changes in financial regulation induced a new set of liquidity providers to arise on financial markets: high-frequency traders (HFTs). HFTs differ 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 efficient. Information processing technology by itself will only generate mild inefficiencies due to a lemons problem. The combination of the two, however, can lead to the implementation of inefficient speed technology or the amplification of the lemons problem. In the latter case, liquidity evaporates when it is most needed and markets can freeze altogetherfor periods of time. We also discuss how regulation can prevent such sudden drops of liquidity and how the market may recover after a freeze.
原文：
Bongaerts, Dion and Mark Van Achter, 2016, High-Frequency Trading and Market Stability,2016 AFA Annual Meeting Working Paper, Erasmus University.
Session: High-Frequency Trading.
来源：金融学前沿论文速递
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