Algorithmic Trading vs. Bid-Offer Spreads, Volatility, and the Distribution of Profits and Losses: A Simulation

Arne Breuer, Hans-Peter Burghof
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引用次数: 1

Abstract

Algorithmic trading leads to contradictory conclusions of market participants and observers: While the former blame it to break the market, the latter find it makes it better. To explain these contradictory views, we create a few-type market simulation in a discrete-time, one-asset world. We analyse both the observable factors average bid-offer spread and volatility as well as the unobservable distribution of profits and losses of the market participants. We conclude that regarding HFT, market observers and market participants talk at cross-purposes.
算法交易与买卖价差,波动性和利润和损失的分配:模拟
算法交易让市场参与者和观察人士得出了相互矛盾的结论:前者指责算法交易破坏了市场,后者认为算法交易让市场变得更好。为了解释这些相互矛盾的观点,我们在一个离散时间、单一资产的世界中创建了几种类型的市场模拟。我们既分析了可观察因素平均买卖价差和波动率,也分析了市场参与者不可观察的盈亏分布。我们的结论是,关于高频交易,市场观察者和市场参与者的谈话是相互矛盾的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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