论文标题
分析高频交易对人工市场流动性的影响
Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity
论文作者
论文摘要
许多实证研究已经讨论了市场流动性，这被认为是蓬勃发展的金融市场的衡量标准。此外，还提出了各种客观评估市场流动性的指标，并讨论了其优点。近年来，高频交易员（HFTS）对金融市场的影响一直是一个关注点，但是没有研究系统地讨论它们与主要市场流动性指标的关系，包括数量，紧密度，弹性和深度。在这项研究中，我们使用基于代理的模拟比较了人工市场中的主要流动性指标，在该市场中，将参加HFT的人与没有HFT参与的hft进行了比较。结果表明，与没有HFT参与的市场相比，HFT参与的所有流动性指标都比市场上有所改善。此外，由于研究了我们的模拟中主要流动性指标与现有的经验文献之间的相关性，我们发现市场流动性不仅可以通过主要的流动性指标来衡量，而且可以通过执行率来衡量。因此，建议在未来的研究中使用执行率作为新的流动性指标可能是适当的。
Many empirical studies have discussed market liquidity, which is regarded as a measure of a booming financial market. Further, various indicators for objectively evaluating market liquidity have also been proposed and their merits have been discussed. In recent years, the impact of high-frequency traders (HFTs) on financial markets has been a focal concern, but no studies have systematically discussed their relationship with major market liquidity indicators, including volume, tightness, resiliency, and depth. In this study, we used agent-based simulations to compare the major liquidity indicators in an artificial market where an HFT participated was compared to one where no HFT participated. The results showed that all liquidity indicators in the market where an HFT participated improved more than those in the market where no HFT participated. Furthermore, as a result of investigating the correlations between the major liquidity indicators in our simulations and the extant empirical literature, we found that market liquidity can be measured not only by the major liquidity indicators but also by execution rate. Therefore, it is suggested that it could be appropriate to employ execution rate as a novel liquidity indicator in future studies.
