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A Material Sociology of High-Frequency Trading

高频交易的物质社会学

基本信息

批准号：
ES/R003173/1
负责人：
Donald MacKenzie
金额：
$ 52.42万
依托单位：
University of Edinburgh
依托单位国家：
英国
项目类别：
Research Grant
财政年份：
2018
资助国家：
英国
起止时间：
2018 至无数据
项目状态：
已结题

来源：
https://gtr.ukri.org/projects?ref=ES%2FR003173%2F1
关键词：
Material Sociology Frequency Trading

项目摘要

Thirty years ago, nearly all financial trading took place directly among human beings, over the telephone or face-to-face. In the late 1980s and 1990s, electronic trading gained momentum, but initially nearly all of it was still by human beings, using computer screens and keyboards. Since 2000, however, trading has increasingly become entirely automated. Particularly prominent has been ultra-fast, algorithmic high-frequency trading or HFT. In several important markets, HFT now makes up between around a quarter and just over a half of all trading (see, e.g., Baron et al. 2012, Bouveret et al. 2014, Brogaard et al. 2014). Our research, which links economic sociology and science and technology studies (STS), will investigate: 1) how HFT is conducted; 2) how and why it has become firmly established in some markets while failing to gain entry to others. HFT is a theoretically pivotal topic from the viewpoint of the intersection of economic sociology and STS. Economic sociologists have productively analysed markets as contested, historically situated 'fields', focusing on topics such as the cultures of markets, their social ordering and governance, and the conflicts surrounding these. STS scholars who study markets have in contrast typically focused on the materiality of markets: the role in them of technological devices; of material procedures; of embodied human beings (rather than disembodied cognition, whether rational or not); of mathematical models not as abstractions but as material computational routines. Proponents of each approach have often seen the other approach as incomplete, even inadequate, and the theoretical objective of this research is to develop an integrated analysis that we call a 'material sociology'. HFT is a suitable empirical topic for the development of a material sociology for two reasons: First, HFT's material aspects are crucial. For example, even the speed of light is a constraint. The salient time unit in HFT is a microsecond - a millionth of a second - and in a microsecond even light in a fibre-optic cable travels only around 200 metres. So, e.g., the exact locations of computer systems and precise routes of communications links matter hugely.Second, the rise of HFT has triggered conflicts about the structures of markets, the rules of trading, and so on: conflicts of the kind that interest economic sociologists. Nearly all HFT firms are small, recent entrants. They confront established players such as big banks (whose technical systems are typically slow by HFT standards). The outcomes so far of the resultant conflicts vary considerably. At one extreme (e.g., US share trading), the traditional institutional structure has eroded almost completely, to be replaced by an institutional/technical structure that - with some interesting exceptions - facilitates HFT. At the other extreme (e.g. the markets for UK and Eurozone government bonds), HFT firms have simply failed to gain any access. Our empirical research will be informed by our 'material sociology' theoretical objective. E.g. when we examine how HFT algorithms predict price changes, we will investigate the extent to which the technical procedures by which they do so actually depend on historically-situated, contested features of markets. When we examine the interaction between HFT and the structure of markets, we will investigate not simply social roles and rules, but also material infrastructure. We will employ semi-structured interviewing (of high-frequency traders, those who supply them with technical services, and others such as exchange staff, regulators and members of incumbent firms), supplemented by documentary sources and observational research (e.g. at HFT industry meetings). Extensive preparatory research has given us the necessary contacts, allowed us to discover how deeply we can probe interviewees without intruding on 'trade secrets', and informed our initial data-analysis framework.

30年前，几乎所有的金融交易都是直接在人与人之间通过电话或面对面进行的。在20世纪80年代末和90年代，电子交易获得了发展势头，但最初几乎所有的交易都是由人类使用电脑屏幕和键盘进行的。然而，自2000年以来，交易越来越完全自动化。特别突出的是超快速的算法高频交易或HFT。在几个重要的市场，高频交易现在占所有交易的四分之一到一半以上（见，例如，Baron等人，2012年; Bouveret等人，2014年; Brogaard等人，2014年）。我们的研究将经济社会学和科学技术研究（STS）联系起来，将调查：1）高频交易是如何进行的; 2）它如何以及为什么在一些市场中站稳脚跟，而未能进入其他市场。从经济社会学与STS交叉的角度看，高频交易是一个理论上的关键性课题。经济社会学家卓有成效地分析了市场作为有争议的，历史上的“领域”，重点关注市场文化，社会秩序和治理以及围绕这些的冲突等主题。相比之下，研究市场的STS学者通常专注于市场的物质性：技术设备的作用;物质程序;具体的人类（而不是非具体的认知，无论是否理性）;数学模型不是抽象的，而是物质计算程序。每种方法的支持者往往认为另一种方法是不完整的，甚至是不充分的，本研究的理论目标是发展一种综合分析，我们称之为“物质社会学”。高频交易是一个合适的实证主题的发展物质社会学的原因有两个：第一，高频交易的物质方面是至关重要的。例如，甚至光速也是一个限制。高频传输的主要时间单位是微秒--百万分之一秒--而在一微秒内，即使是光纤电缆中的光也只能传播大约200米。例如，其次，高频交易的兴起引发了市场结构、交易规则等方面的冲突，这些冲突引起了经济社会学家的兴趣。几乎所有的高频交易公司都是新近进入的小公司。他们面对的是大银行等老牌企业（按照高频交易的标准，它们的技术系统通常很慢）。迄今为止，由此产生的冲突的结果差别很大。在一个极端（例如，美国股票交易），传统的制度结构几乎完全被侵蚀，取而代之的是一种制度/技术结构，除了一些有趣的例外，它促进了高频交易。在另一个极端（例如英国和欧元区政府债券市场），高频交易公司根本无法进入。我们的实证研究将受到我们的“物质社会学”理论目标的影响。例如，当我们研究高频交易算法如何预测价格变化时，我们将研究它们这样做的技术程序实际上在多大程度上取决于历史上的、有争议的市场特征。当我们研究高频交易与市场结构之间的相互作用时，我们不仅要研究社会角色和规则，还要研究物质基础设施。我们将采用半结构化访谈（高频交易员，为他们提供技术服务的人，以及其他人，如交易所工作人员，监管机构和现任公司的成员），辅以文献资料和观察性研究（例如在高频交易行业会议上）。广泛的准备性研究为我们提供了必要的联系，使我们能够发现在不侵犯“商业秘密”的情况下可以深入调查受访者，并为我们最初的数据分析框架提供了信息。