High Frequency Traders: Taking Advantage of Speed
High Frequency Traders: Taking Advantage of Speed
复制标题
高频交易者：利用速度优势
DOI：
10.3386/w19531
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发表时间：
2013
期刊：
影响因子：
--
通讯作者：
Mehmet Saglam
中科院分区：
文献类型：
--
作者：
Yacine Ait;Mehmet Saglam
我们提出了一个动态交易模型，其中策略高频交易者接收到关于未来订单流的不完美信号，并利用他的速度优势来优化他的报价策略。我们确定流动性的提供，订单取消，以及对低频交易者的影响，作为高频交易者延迟和市场波动的函数。该模型预测，波动性会导致高频交易者减少流动性的提供。最后，我们分析了旨在规范高频交易的各种政策的影响。
We propose a model of dynamic trading where a strategic high frequency trader receives an imperfect signal about future order flows, and exploits his speed advantage to optimize his quoting policy. We determine the provision of liquidity, order cancellations, and impact on low frequency traders as a function of both the high frequency trader's latency, and the market volatility. The model predicts that volatility leads high frequency traders to reduce their provision of liquidity. Finally, we analyze the impact of various policies designed to potentially regulate high frequency trading.