AFA论文速递：高频交易与极端价格波动

• 这是“金融学前沿论文速递”第266篇推送

• 选文:李琪璐 审稿:曲洪建 终审:赵海蕾 编辑:邵天

• 仅用于学术交流，原文版权归原作者和原发刊所有，转载请注明出处

由Jonathan Brogaard, Al Carrion, Thibaut Moyaert, Ryan Riordan, Andriy Shkilko and Konstantin Sokolov撰写的“High-Frequency Trading and Extreme Price Movement”研究了高频交易(High-Frequency Trading, HFT)与极端价格波动之间的关系。一些业界人士声称高频交易加剧甚至直接导致了股价跳水，是市场不稳定的一个原因。与之相反，本文发现在股价极端波动时期，高频交易者是流动性的净提供者，非高频交易者才是流动性的净需求方。而且在股价跳水导致股价持久变化的情况下，高频交易者作为活跃的流动性提供者，吸收了绝大部分知情订单。本文证据说明高频交易有稳定市场功能。

High-Frequency Trading and Extreme Price Movements

Abstract

This paper examines the relation between high-frequency trading (HFT) and extreme price movements (jumps). Some market observers allege that HFT exacerbates or even causes price jumps, thus contributing to market instability. Contrary to these allegations, we find that during extreme price movements high-frequency traders act as net liquidity suppliers, while non-high-frequency traders act as net liquidity demanders. Moreover, high-frequency traders are active liquidity providers during price jumps that result in permanent price changes, absorbing the most informed order flow. Our evidence is consistent with HFT performing a stabilizing function in modern markets.

原文：

Brogaard, Jonathan, Al Carrion, Thibaut Moyaert, RyanRiordan, AndriyShkilko, and Konstantin Sokolov, 2016, High-Frequency Trading and Extreme Price Movements, 2016 AFA Annual Meeting Working Paper, University of Washington, Lehigh University and the SEC, Louvain School of Management, Queen’s University, and Wilfrid Laurier University.

Session: High-Frequency Trading.

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