Journal of Financial Markets, Volume 31, November 2016, Pages 1–24.

高频交易会增加系统性风险吗？

作者：Pankaj K. Jaina (Fogelman College of Business & Economics, The University of Memphis), Pawan Jainb (College of Business, University of Wyoming), Thomas H. McInish (Fogelman College of Business & Economics, The University of Memphis)

摘要：2010年，东京证券交易所——总部设在美国以外的最大的证券交易所，推出了一种新型交易平台：Arrowhead。这一平台降低了信息延迟，将同一位置的高频报价和交易（HFQ）由交易量的0%提升至36%。在代表极端市场状况的尾部事件中，低延迟相关的HFQ可能导致系统性风险，比如闪电崩盘，现有文献对此尚无充分的研究。我们在本文中的研究为评估HFQ是否会增加系统性风险提供了一个框架，并指出在通过熔断机制和其他监管手段管理这些风险时，需要引入相关系数和成分VaR方法。

关键词：高频交易；流动性；相关系数；系统性风险；Arrowhead；成分VaR

Does high-frequency trading increase systemic risk?

Pankaj K. Jaina (Fogelman College of Business & Economics, The University of Memphis), Pawan Jainb (College of Business, University of Wyoming), Thomas H. McInish (Fogelman College of Business & Economics, The University of Memphis)

ABSTRACT

In 2010, the Tokyo Stock Exchange, the largest stock exchange headquartered outside of the United States, introduced a new trading platform, Arrowhead. This platform reduced latency and increased co-located, high-frequency quoting and trading (HFQ) from zero to 36% of trading volume. During tail events representing extreme market conditions, low-latency correlated HFQ may lead to systemic risks such as flash crashes, which has not been sufficiently addressed in the literature. In this paper, our study provides a framework to assess whether HFQ increases systemic risks and points to the need for incorporating correlations and CoVaR methods in regulating these risks through circuit breakers and other regulations.

Keywords：High-frequency trading; Liquidity; Correlation; Systemic risk; Arrowhead; CoVaR

原文链接：http://www.sciencedirect.com/science/article/pii/S138641811630218X

翻译：黄怡文