Material Signals: A Historical Sociology of High-Frequency Trading
Material Signals: A Historical Sociology of High-Frequency Trading
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重要信号：高频交易的历史社会学
DOI：
10.1086/697318
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发表时间：
2018
影响因子：
4.4
通讯作者：
MacKenzie D
中科院分区：
文献类型：
--
作者：
MacKenzie D
通过对194名市场参与者（包括54名高频交易从业者）的采访，本文首先确定了影响高频交易算法买卖股票和相互作用的主要“信号”（数据模式）类别。其次，它从历史上调查了导致这些信号中最重要的三个类别的过程，发现它们来自美国股票交易的三个特征，这些特征是中间层冲突事件的结果。第三，本文通过对股票交易中的高频交易与期货、国债和外汇交易中的高频交易进行简要比较，论证了这些特征的偶然性。因此，本文认为，HFT算法的行为和交互方式是一个特定的、偶然的产物，不仅是当前的，也是过去人、组织、算法和机器之间交互的产物。
Drawing on interviews with 194 market participants (including 54 practitioners of high-frequency trading or HFT), this article first identifies the main classes of “signals” (patterns of data) that influence how HFT algorithms buy and sell shares and interact with each other. Second, it investigates historically the processes that have led to three of the most important categories of these signals, finding that they arise from three features of U.S. share trading that are the result of episodes of meso-level conflict. Third, the article demonstrates the contingency of these features by briefly comparing HFT in share trading to HFT in futures, Treasurys, and foreign exchange. The article thus argues that how HFT algorithms act and interact is a specific, contingent product not just of the current but also of the past interaction of people, organizations, algorithms, and machines.