Financial Markets in Perspective - Lessons from Economic History and History of Economic Thought
Financial Markets in Perspective - Lessons from Economic History and History of Economic Thought
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透视金融市场——经济史和经济思想史的教训
DOI：
10.1007/978-3-030-86753-9_5
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发表时间：
2022
期刊：
影响因子：
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通讯作者：
MacKenzie D
中科院分区：
文献类型：
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作者：
MacKenzie D
在过去的三十年里，大多数面对面的金融市场都转向了电子交易。自2000年左右以来，许多市场已经进一步过渡到自动交易，包括超快的算法高频交易（HFT）。本章将作者称之为“物质政治经济学”的观点应用于高频交易，重点关注(a)告知高频交易算法如何交易的“信号”（数据模式），(b)通常“制造”或“提供流动性”的算法（即，将订单添加到交易所的电子订单簿中，以便其他算法或人类可以执行），(c)“获取流动性”的算法（执行订单簿中的订单）。以及(d)高频交易算法如何相互作用以及交换在该相互作用中的实质性干预。本章考察了高频交易的物质特征，它的“信号”，以及使高频交易成为可能的技术系统如何以复杂的方式与权力、政治和金融的世俗赚钱交织在一起。
Over the last three decades, most face-to-face financial markets have shifted to electronic trading. Since around 2000, many markets have made the further transition to automated trading, including ultrafast, algorithmic high-frequency trading, or HFT. This chapter applies a perspective that the author calls “material political economy” to HFT, focusing on (a) the “signals” (patterns of data) that inform how HFT algorithms trade, (b) algorithms that usually “make” or “provide liquidity” (i.e., add orders to exchanges’ electronic order books that other algorithms or human beings can execute against), (c) algorithms that “take liquidity” (execute against orders already in order books), and (d) how HFT algorithms interact and exchanges’ material interventions in that interaction. The chapter examines how material features of HFT, its “signals,” and the technical systems that make HFT possible interweave in complex ways with power, politics, and finance’s mundane moneymaking.