拥挤、定价错误、崩溃和峰值

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-05-15 DOI:10.1016/j.jbankfin.2025.107485

Boulis Maher Ibrahim , Iordanis Angelos Kalaitzoglou

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引用次数: 0

摘要

这项研究提出，“反射性拥挤”是一种机制，通过这种机制，订单流在超高频（UHFs）下会变得有毒。拥挤是由于交易员无法准确衡量竞争而产生的协调问题，它以流动性成本的形式导致了严重的不平衡错误定价。这种错误定价被流动性和价格组成部分之间的（反射性）前馈循环放大，并在高速交易员参与时迅速积累。我们开发了一个实证框架来检验超高频交易中的这一机制。对道琼斯30指数成分股的交易结果表明，自反性拥挤触发了投机性算法交易，并在高频率上驱动了订单流毒性和市场不稳定。我们制定了一个超高频的反射性拥挤度量，并发现它预测各种超高频现象，包括闪崩和峰值，比价格波动和知情交易的数量同步概率（VPIN）更可靠。这使得这一措施与投资者、交易员、市场经营者和监管机构高度相关。

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Crowdedness, mispricing, crashes, and spikes

This study proposes “reflexive crowdedness” as a mechanism through which order flow can become toxic at ultra-high frequencies (UHFs). Crowdedness, a coordination problem arising from the inability of traders to accurately gauge competition, leads to significant unbalanced mispricing in the form of liquidity costs. This mispricing is amplified by (reflexive) feedforward loops between liquidity and price components and can accumulate rapidly when high-speed traders engage. We develop an empirical framework to examine this mechanism in UHF trading. Results on trades of Dow 30 stocks show that reflexive crowdedness triggers speculative algorithmic trading and drives order flow toxicity and market instability at high frequencies. We formulate a UHF measure of reflexive crowdedness and find it predicts various UHF phenomena, including flash crashes and spikes, more reliably than price volatility and the Volume Synchronised Probability of Informed Trading (VPIN). This makes this measure highly relevant to investors, traders, market operators, and regulators.

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.