Program Trading: An Experimental Study

本课题对股票指数程序化交易对股票价格波动性和股票市场信息效率的影响进行了实验研究。此外，它还决定了这些影响与管理市场贸易的规则有何不同。这项研究是在一系列实验市场中进行的。最初的研究考察了一个有多个股票但没有任何衍生品证券的市场的波动性和效率。然后，该项目推出股指期货。最后介绍了程序交易员。这些研究既在标准的双向拍卖市场上进行，也在公开叫价市场上进行。程序交易的实验分析是重要的和及时的。目前，至少有四家主要交易所(包括纽约证券交易所和芝加哥期权交易所)正在调查程序交易的作用。这些令人担忧的问题似乎非常适合进行实验分析。受控条件允许精确衡量程序交易对实验市场价格波动性和信息效率的影响。这项研究还应该加深我们对交易规则在程序交易效果中所起作用的理解。

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.