What Is the Optimal Trading Frequency in Financial Markets?
What Is the Optimal Trading Frequency in Financial Markets?
复制标题
金融市场的最佳交易频率是多少？
DOI：
10.2139/ssrn.2857674
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Haoxiang Zhu
中科院分区：
文献类型：
--
作者：
Songzi Du;Haoxiang Zhu
本文研究了金融市场交易频率的提高对配置效率的影响。我们建立并求解了一个动态的序贯双向拍卖模型，在该模型中，交易者根据需求计划进行策略性交易。交易需求是由关于资产价值和拥有资产的私人价值以及二次库存成本的时变私人信息产生的。我们刻画了具有平稳策略的线性均衡及其闭合形式的有效性性质。频繁的交易(每单位时间更多的双重拍卖)允许在新信息到达后更立即地进行资产重新配置，代价是每次双重拍卖中受益的交易量较少。在一定条件下，最大配置效率的交易频率与预定信息发布时的信息到达频率一致，但如果新信息随机到达，则可能远远超过信息到达频率。对模型的简单校正表明，市场适度放缓至每次两次拍卖的秒数或分钟数水平，可以提高投资者参与相对较少、新闻相对较少的资产的配置效率，例如小盘股和微型股。
This article studies the impact of increasing trading frequency in financial markets on allocative efficiency. We build and solve a dynamic model of sequential double auctions in which traders trade strategically with demand schedules. Trading needs are generated by time-varying private information about the asset value and private values for owning the asset, as well as quadratic inventory costs. We characterize a linear equilibrium with stationary strategies and its efficiency properties in closed form. Frequent trading (more double auctions per unit of time) allows more immediate asset reallocation after new information arrives, at the cost of a lower volume of beneficial trades in each double auction. Under stated conditions, the trading frequency that maximizes allocative efficiency coincides with the information arrival frequency for scheduled information releases, but can far exceed the information arrival frequency if new information arrives stochastically. A simple calibration of the model suggests that a moderate market slowdown to the level of seconds or minutes per double auction can improve allocative efficiency for assets with relatively narrow investor participation and relatively infrequent news, such as small- and micro-cap stocks.