Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity
Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity
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DOI：
10.1109/tcss.2020.3019352
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发表时间：
2020-09
影响因子：
5
通讯作者：
Isao Yagi;Y. Masuda;T. Mizuta
中科院分区：
文献类型：
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作者：
Isao Yagi;Y. Masuda;T. Mizuta
许多实证研究都讨论了市场流动性，市场流动性被认为是衡量金融市场繁荣程度的一种指标。此外，还提出了客观评估市场流动性的各种指标，并讨论了它们的优点。近年来，高频交易者对金融市场的影响一直是人们关注的焦点，但还没有研究系统地讨论它们与主要市场流动性指标的关系，包括成交量、紧缩性、弹性和深度。在这项研究中，我们使用基于代理人的模拟来比较有高频交易商参与的人工市场和没有高频交易商参与的人工市场中的主要流动性指标。结果表明，高频交易参与的市场的所有流动性指标都比没有高频交易参与的市场的流动性指标有更大的改善。此外，通过考察模型中主要流动性指标与现有实证文献的相关性，我们发现市场流动性不仅可以通过主要流动性指标来衡量，还可以通过执行率来衡量。因此，建议在未来的研究中使用执行率作为一个新的流动性指标是合适的。
Many empirical studies have discussed market liquidity, which is regarded as a measure of a booming financial market. Further, various indicators for objectively evaluating market liquidity have also been proposed and their merits have been discussed. In recent years, the impact of high-frequency traders (HFTs) on financial markets has been a focal concern, but no studies have systematically discussed their relationship with major market liquidity indicators, including volume, tightness, resiliency, and depth. In this study, we used agent-based simulations to compare the major liquidity indicators in an artificial market where an HFT participated was compared to one where no HFT participated. The results showed that all liquidity indicators in the market where an HFT participated improved more than those in the market where no HFT participated. Furthermore, as a result of investigating the correlations between the major liquidity indicators in our simulations and the extant empirical literature, we found that market liquidity can be measured not only by the major liquidity indicators but also by execution rate. Therefore, it is suggested that it could be appropriate to employ execution rate as a novel liquidity indicator in future studies.