高频交易商之间的竞争与市场质量

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control Pub Date : 2024-08-02 DOI:10.1016/j.jedc.2024.104922

Johannes Breckenfelder

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引用次数: 0

摘要

我研究了高频交易商（HFT）之间的竞争如何影响其交易行为和市场质量。该分析利用了一个独特的数据集，该数据集允许比较有高频竞争和无高频竞争的环境，并包含一个事件--tick 大小改革--我利用该事件将高频交易竞争的影响与市场中高频交易份额上升的影响区分开来。我发现，当高频交易者在某只股票上竞争时，他们的投机交易会增加。此外，该股票的市场质量也会下降。我的研究结果适用于各种市场质量和高频交易行为衡量标准。

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Competition among high-frequency traders and market quality

I study how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. The analysis exploits a unique dataset, which allows comparing environments with and without high-frequency competition, and contains an event - a tick size reform - which I use to separate the effects of high-frequency trading competition from the effects of the rising share of high-frequency trading in the market. I find that when HFTs compete in a stock, their speculative trading increases. Furthermore, market quality in that stock deteriorates. My findings hold for a variety of market quality and high-frequency trading behavior measures.

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来源期刊

Journal of Economic Dynamics & Control ECONOMICS-

CiteScore

3.10

自引率

10.50%

发文量

199

期刊介绍： The journal provides an outlet for publication of research concerning all theoretical and empirical aspects of economic dynamics and control as well as the development and use of computational methods in economics and finance. Contributions regarding computational methods may include, but are not restricted to, artificial intelligence, databases, decision support systems, genetic algorithms, modelling languages, neural networks, numerical algorithms for optimization, control and equilibria, parallel computing and qualitative reasoning.