The Diversity of High-Frequency Traders
The Diversity of High-Frequency Traders
复制标题
高频交易者的多样性
DOI：
10.2139/ssrn.2153272
复制
发表时间：
2013
期刊：
影响因子：
--
通讯作者：
Lars Norden
中科院分区：
文献类型：
--
作者：
Björn Hagströmer;Lars Norden
关于高频交易（HFT）的监管争论强调了区分不同高频交易策略及其对市场质量影响的重要性。利用斯德哥尔摩纳斯达克omx的数据，我们比较了做市高频交易和投机高频交易。我们发现做市商构成了高频交易交易量（63-72%）和限价单流量（81-86%）的最大份额。此外，做市商比机会主义高频交易者有更高的订单交易比率和更低的延迟。在基于刻度大小变化的自然实验中，我们发现做市高频交易的活动减轻了日内价格波动。
The regulatory debate concerning high-frequency trading (HFT) emphasizes the importance of distinguishing different HFT strategies and their influence on market quality. Using data from NASDAQ-OMX Stockholm, we compare market-making HFTs to opportunistic HFTs. We find that market makers constitute the lion's share of HFT trading volume (63–72%) and limit order traffic (81–86%). Furthermore, market makers have higher order-to-trade ratios and lower latency than opportunistic HFTs. In a natural experiment based on tick size changes, we find that the activity of market-making HFTs mitigates intraday price volatility.