JOURNAL OF FINANCIAL MARKET·VOLUME 30·PAGES 54-77·SEPTEMBER 2016

作者：Evangelos Benos (Bank of England) and Satchit Sagade (Department of Finance and Research Center SAFE, Goethe University)

摘要：我们将高频交易者对资产价格发现的贡献程度进行了定量研究并观察其在横截面维度的不同表现。为此，我们按吸收流动性或提供流动性特征将高频交易者进行分组。结果发现，高频交易者整体能够解释所有交易信息的14%，而主动型高频交易者能解释其中的2/3。该结论揭示出采用主动交易策略的高频交易者大部分为知情交易者，与此相对，采用被动策略的高频交易者更多作为做市商。然而，随着主动策略的交易量上升其信息份额出现下降，这说明该类交易策略难以承载较大的市场容量。

关键词：高频交易，价格发现

Price discovery and the cross-section of high-frequency trading

Evangelos Benos (Bank of England) and Satchit Sagade (Department of Finance and Research Center SAFE, Goethe University)

ABSTRACT

We quantify the price discovery contributions of high-frequency traders (HFTs) in the United Kingdom equity market and examine how it varies in their cross-section. For this, we group individual HFTs according to their liquidity taking/making activity. HFTs contribute about 14% of all trade-induced information, with aggressive HFTs accounting for two-thirds of this contribution. This suggests that HFTs who pursue strategies that require the use of aggressive trades are most informed, as opposed to passive HFTs who more likely act as market-makers. However, information shares decline with the amount of aggressive volume, suggesting that these trading strategies are not scalable.

Keywords: High-frequency trading; Price discovery

原文链接：

http://www.sciencedirect.com/science/article/pii/S1386418116300672

翻译：柳依依