Program Trading: An Experimental Study

本项目对该系统进行了实验研究， 股票指数程序化交易对股票价格波动性的影响 股票价格与股票信息效率 市场的 此外，它还确定了这些影响如何随 管理市场交易的规则。 这项研究是 在一系列实验市场中进行。 初始 研究考察了市场的波动性和效率， 多个股票，但没有任何衍生证券。 的 然后推出股票指数期货。 最后，方案 商人介绍。 这些研究在两个国家进行， 标准双向拍卖市场和公开叫价市场。 程序化交易的实验分析具有重要的现实意义。 目前，至少有四家主要交易所（包括纽约 股票交易所和芝加哥期权交易所董事会）是 研究程序化交易的作用。 关心的问题 似乎非常适合实验分析。 受控 条件允许程序交易方式的精确测量 影响价格波动和信息效率， 实验市场 这项研究也应该提高我们的 理解贸易规则在贸易影响中的作用 程序交易

This project conducts an experimental investigation of the effects of program trading in stock indices on the volatility of stock prices and on the informational efficiency of stock markets. In addition, it determines how these effects vary with the rules which govern trade in the markets. The research is conducted in a sequence of experimental markets. The initial studies examine volatility and efficiency in a market with multiple stocks but without any derivative securities. The project then introduces stock index futures. Finally, program traders are introduced. These studies are conducted in both the standard double auction market and also in an open outcry market. Experimental analysis of program trading is important and timely. Currently, at least four major exchanges (including the New York Stock Exchange and the Chicago Board of Options Exchange) are investigating the role of program trading. The issues of concern seem ideally suited to an experimental analysis. The controlled conditions allow precise measurement of the way program trading affects the price volatility and informational efficiency of experimental markets. The research should also enhance our understanding of the role of trading rules in the effects of program trading.