高频交易者为何利用期货市场

IF 2.3 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2025-06-15 DOI:10.1002/fut.22616

Anirban Banerjee, Ashok Banerjee

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引用次数: 0

摘要

本研究试图探讨高频交易者（HFTs）使用单股期货（SSFs）合约的经济动机。使用来自最大的ssf交易所的新颖盘中数据集，以及算法交易者的标识符，我们试图解开高频交易者在使用这个市场时的对冲和基于信息的交易动机。我们发现套期保值是高频交易者使用期货市场的主要动机。我们还发现，衍生品市场最小合约规模向上修正的监管变化使得高频交易者更难利用期货有效对冲其现货市场风险。

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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Why Do HFTs Use the Futures Market

This study attempts to investigate the economic motivation of high-frequency traders (HFTs) to use single-stock futures (SSFs) contracts. Using a novel intraday data set from the largest exchange of SSFs, with identifiers for algorithmic traders, we attempt to disentangle the hedging and information-based trading motivations of HFTs in using this market. We find that hedging is the primary motivation for HFTs to use the futures market. We also find that the regulatory change of upward revision of the minimum contract size in the derivative market made it more difficult for the HFTs to use the futures to hedge their spot market exposure effectively.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.