'Making', 'taking' and the material political economy of algorithmic trading
'Making', 'taking' and the material political economy of algorithmic trading
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“制造”、“获取”以及算法交易的物质政治经济学
DOI：
10.1080/03085147.2018.1528076
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发表时间：
2018
影响因子：
3.4
通讯作者：
MacKenzie D
中科院分区：
文献类型：
--
作者：
MacKenzie D
本文通过对72名自动化、超高速高频交易(HFT)从业人员的采访，找出了高频交易中最显著的鸿沟：算法、交易集团和公司之间的分歧，前者擅长‘进行’(向交易所的电子订单添加买入和报价)，后者专门‘接受’(针对那些订单中现有的买入和要约执行)。这篇论文探讨了“做多”和“拿取”算法是如何相互作用的，强调了这种相互作用的重要性(包括雨对它的惊人影响)，并指出了算法交易的“物质政治经济”的重要性：通过可能不同的材料顺序，以经济上有影响的方式塑造这种交易。
Drawing upon interviews with 72 practitioners of automated, ultrafast high-frequency trading (HFT), this paper identifies the most salient divide within HFT: between algorithms, trading groups and firms that specialize in ‘making’ (in adding bids to buy and offers to sell to exchanges’ electronic order books) and those that specialize in ‘taking’ (in executing against existing bids and offers in those order books). The paper explores how ‘making’ and ‘taking’ algorithms interact, emphasizing the materiality of that interaction (including, e.g. the surprising effect on it of rain), and suggesting the importance of the ‘material political economy’ of algorithmic trading: the shaping of that trading, in economically consequential ways, by material orderings that could be different.