Financial Analyst Journal, Volume 74, Issue2, 2018

由电子显微镜引发的对高频交易的思考

作者：Albert J. Menkveld (Vrije Universiteit Amsterdam)

摘要：电子显微镜将我们的视力提升了100万倍，帮助我们观测到了原子。在本项研究中，我通过检测以纳秒执行的交易来实现类似的飞跃，这比我们经常使用的毫秒精确一百万倍。这种方法使我们能够观察快速“交易机器人”中的资产再分配情况，包括高频交易员（HFT）所使用的那些资产配置方式。结果发现大约20％的交易发生在亚毫秒级集群中，而这似乎并没有导致价格的不稳定。尽管在逆向选择方面亚毫秒交易突发对非高频交易员来说成本较为昂贵，但这些成本可以避免。

High-Frequency Trading as Viewed through an Electron Microscope

Albert J. Menkveld (Vrije Universiteit Amsterdam)

ABSTRACT

The electron microscope improved our vision by a factor of 1 million, enabling us to see atoms. In this study, I aim for a similar leap by examining trades executed in nanoseconds, a million times more precise than the oft-used milliseconds. This approach allows us to observe asset reallocations among rapid-fire “tradebots,” including those used by high-frequency traders (HFTs). Some 20% of trades occur in submillisecond clusters, which seem to have no price instability. Although submillisecond trade bursts are costly to non-HFTs in terms of adverse selection, these costs can be avoided.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v74.n2.1

翻译：秦秀婷