异常盈利机会与高频交易的信息优势

IF 0.9 Q3 BUSINESS, FINANCE

Quarterly Journal of Finance Pub Date : 2013-06-01 DOI:10.1142/S2010139213500122

R. Jarrow, Hao Li

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引用次数: 2

摘要

在无摩擦竞争经济中，高频交易者不具备市场支配力，本文刻画了高频交易者获取异常交易利润的价格过程和信息集的充分必要条件。产生异常回报的两个充分条件是高频交易可以观察到短期价格动量/反转，否则是看不见的，或者它可以观察到与未来价格走势相关的信号。本文还讨论了这种异常交易利润存在的福利考虑。

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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Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading

In a frictionless and competitive economy, where high frequency (HF) traders possess no market power, this paper characterizes necessary and sufficient conditions on the price process and information sets for HF traders to earn abnormal trading profits. Two sufficient conditions shown to generate abnormal returns are that HF trading enables the observation of short-term price momentum/reversals, not otherwise visible, or it enables the observation of signals correlated to future price movements. The welfare considerations of the existence of such abnormal trading profits are also discussed.

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来源期刊

Quarterly Journal of Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.