以下是我节选翻译的部分内容 完整版在这里 http://ishare.iask.sina.com.cn/f/24208221.html ================================================ 高频交易的价值何在? Where is the Value in High Frequency Trading? álvaro Carteay and José Penalvaz February 28, 2011 摘要 Abstract 在我们的模型中金融市场包括3类交易者:1)流动性交易者2)做市商3)高频交易者。我们分析了高频交易者的影响。 We analyze the impact of high frequency trading in financial markets based on a model with three types of traders: liquidity traders, market makers, and high frequency traders. 我们的主要发现包括: 1)当有高频交易者存在时,流动性交易对价格的影响更大。并随着交易头寸的增加而增加。 Our four main findings are: i) The price impact of the liquidity trades is higher in the presence of the high frequency trader and is increasing with the size of the trade. 特别地我们将会说明,当流动性交易者进行卖出(买入)时,高频交易者将会降低(增加)流动性交易者的成交价格。 In particular, we show that the high frequency trader reduces (increases) the prices that liquidity traders receive when selling (buying) their equity holdings. 2)虽然做市商在每笔交易中也会输钱给高频交易者,但他们能通过较高的流动性折扣而获得补偿。 ii) Although market makers also lose revenue to the high frequency trader in every trade, they are compensated for these losses by a higher liquidity discount. 3)高频交易会增加价格的波动性 iii) High frequency trading increases the volatility of prices. 4)由于高频交易者在流动性交易者和做市商之间的每笔交易中充当中介,交易量成倍上升。 iv) The volume of trades doubles as the high frequency trader intermediates all trades between the liquidity traders and market makers. 有很多交易经过精心设计,用来赚取超额收益。这些交易既不是由基本面驱动,也不是随机噪声交易。额外的成交量正是这些交易的结果。 This additional volume is a consequence of trades which are carefully tailored for surplus extraction and are neither driven by fundamentals nor is it noise trading. 作为平衡的结果,高频交易和传统的做市商在市场中共存又相互竞争,压低了新进入的高频交易者的利润。高频交易也无法取代传统的做市商。 In equilibrium, high frequency trading and traditional market making coexist as competition drives down the profits for new high frequency traders while the presence of high frequency traders does not drive out traditional market makers. 2.3高频交易如何赚钱? 2.3 How is it that HFTs could be making money? 这里我们将提供4个典型的例子,来说明高频交易如何利用在提交/执行/撤销订单上的速度优势,把订单放在交易队列的前端,以便在不久以后的交易中充当中介。 Here we provide four stylized examples that show how HFTs could be exploiting their speed advantage by posting, executing, and canceling orders to position their orders at the front of the queue and intermediate in market transactions for a negligible period of time. 虽然前三个例子描述了不同的高频交易策略,但它们共同的特点是高频交易必须榨取超额收益。 Although the first three examples outline different strategies used by HFTs, the underlying feature common to all three is the ability that HFTs have to extract trading surplus. 例1. 高频交易榨取超额收益的一个方法是是利用它们的速度改变市场行情,鼓励买家接受稍高的价格,卖家接受稍低的报价。 Example 1. One way in which HFTs can extract surplus is by exploiting their speed to alter market conditions in a way that encourages buyers to accept a slightly higher price and sellers a slightly lower one. 这个主意比较简单,并要在这样的条件下工作:流动性交易者把他们的交易拆分成一笔笔小交易,而做市商没有在限价簿中提供足够对应的报价。 The idea is relatively simple and works in a setting where liquidity traders split their trades in small packages and MMs do not have large outstanding offers in the books. 假设一个流动性交易者需要流动性并且想要卖出一大堆股份。 Suppose a trader (LT) needs liquidity and wants to sell a block of shares. 当第一部分的股份进入报价系统(假设当前最佳买价是$5.5), HTF撤销了它的未成交买入挂单。 As the first shares come into the system (say at the best buy price of $5.50 per share), the HFT cancels her outstanding posted buy offers that have not been executed. 然后它提交了更多的卖出挂单,在已加强的卖出压力上再施压,以帮助清空在限价簿上仍然存在的买入挂单。 She then posts additional sell offers, adding to the increased selling pressure, in order to help clear the remaining posted buy orders in the book. 一旦限价簿被清空,HTF迅速重新提交一个大的买入挂单在较低的价位(假设是$5.47)。现在它在买入队列中排在第一的位置。 Once the book is clear, the HFT quickly reposts a significant number of offers at lower prices (say $5.47) so that she is first in the buying queue. This is only possible if she can move quickly enough that by the time the MM reacts to the increased selling pressure, new posted offers by the MM sit behind those posted by the HFT at $5.47 per share. HTF需要动作足够快,才能使这成为可能:当MM对增加的卖压提交买入挂单时,在$5.47的价位上MM的挂单将排在HTF后面。 LT发现在$5.50上的买单已经消失,现在他只能在$4.47的价位上卖出成交。 The LT finds that the market around $5.50 has dried up and can only sell at $5.47. 这些股份由排在买入队列前端的HTF卖出。 These shares are bought by the HFT, who is at the front of the queue. 并且由于在$5.47的价位上有大量买入挂单,HTF将最先知道何时流动性压力已经释放。 Also, having posted substantial orders at the front of the queue at $5.47 allows the HFT to be the first to notice when the liquidity pressure eases. 在这时,HTF取消买入挂单,并在一个稍高的价位上提交卖出挂单(假设先在$5.49然后在$5.48) At that moment, the HFT cancels her posted buy offers and starts posting sell offers at slightly higher prices (say $5.49 first and then at $5.48). MM见到卖压移动并且价格反弹。 The MM sees the selling pressure shift and the price rebound.、 虽然MM遗憾地看到低价消失了,但他仍愿意在$5.49的价位买入。这让HTF能够卖出它早先买入的股份并保持一个零净值头寸。 Although the MM is sorry to see the lower prices disappear, he is still willing to buy at $5.49, which allows the HFT to sell her earlier purchases and end up with a zero net position. 在这个过程中,HTF通过在$5.47买入,在$5.48或$5.49卖出来赚取利润。但由于开始时在$5.50买入了买入了部分股份,也会遭到部分损失。 During this process, the HFT has been able to make profits on the shares bought at $5.47 and sold at $5.48 or $5.49, while taking a loss on the shares executed at the beginning, bought at $5.50 and sold at $5.48 or $5.49. 一个足够快的HTF,在$5.47买入的股份,比在$5.50卖出的要多的多。这样就能使这个策略盈利。 An HFT who is fast enough will have bought many more shares at $5.47 than at $5.50 by selectively canceling and reposting her offers to make the strategy profitable. 对于其他交易者:MM在比初始买价稍低的地方买入了一些股份,所以他也很满意。LT虽然得到的成交价比MM的初始买入报价低一分,但由于能成交他的大量股份,他也感到满意。 As for the other traders: The MM bought some shares below the initial best buy price so he is satisfied; the other LT is also satisfied from having been able to sell his shares even though for some of them he received a cent less than what the MM paid for them. 例2.假设市场在一个公司公布利好消息后开盘。 Example 2. Assume that the market opens after the release of good news about a company’s performance. 开盘期间,股份在$5.50的价格卖出,慢速交易者(那些不是HTF的交易者)在提交买入单。 At opening, shares are selling at $5.50 and slow traders (traders who are not HFT) are posting buy orders. 由于慢速交易者的高延迟,HTF看到买单进入系统,于是决定在当前价位买入尽可能多的股份。 Due to the high latency of the slow traders, HFTs see the buy orders arriving in the system and decide to purchase as many shares as possible at the current price. 同时,HTF发出"立即成交或取消"类型的卖出单,以测量慢速交易者愿意以什么价位来买入这些股份。 Immediately, HFTs issue low volume immediate-or-cancel sell orders to gauge how much are slow traders willing to pay for the shares. 比方说,在$6.00提交一个"立即成交或取消"卖出单。如果没有成交它将被立即取消,并且在$5.99重新被提交。如此重复,直到卖出单在$5.70被成交。 For example, an immediate-or-cancel sell order goes out at a price of $6.00 per share and if it does not get filled it is immediately canceled and a new immediate-or-cancel sell order is sent at $5.99 and so on until it is filled, say at $5.70. 在这个价位HTF卖出所有的股份,赚取了利润,并且保持没有存货。 At this point the HFTs unload all shares that were purchased making a profit and holding no inventories. 例3.类似地,HTF利用闪电单带给它们的信息优势来战胜市场上的其他交易者。 Example 3. Similarly, HFTs may take advantage of the so-called flash orders which give them an informational edge over other traders in the market. 比方说,一个在$5.50上的91,000股买入单被”闪电“到一小群包括HTF在内的交易者手中。 For example, a buy order for 91,000 shares at $5.50 is ‘flashed’ to a reduced number of traders some of which are HFTs. 在普通交易者知道这笔交易之前,被”闪电“到的交易者就知道了这笔交易,而且利用其中的信息作出反应。 Traders that are flashed the information not only know about such a potential trade before the vast majority of the market, but they are also capable of acting upon the information before it reaches the rest of the market. 如果HFT相信或是能正确地判断出这个买单是一个大单的一部分,这个大单会拆分成1,00股一单的小单。那它就有时间作出反应,买入市场上所有的股份。 If the HFTs believe or are able to correctly anticipate that this buy order is part of a large lot that will trickle through the system in small batches of, say 1,000 shares at a time, they have time to react and purchase all shares in the market; 然后使用“卖出或取消”订单来寻找LT为了整个大买单的流动性而愿意付出的最高价。 use sell-or-cancel orders to find out the upper limit at which the counterparty that initiated the buy order is willing to pay to liquidate his entire lot of shares; 并在日内甚至几分钟之内,来回买卖交易很多笔,赚取利润并保持零存货。 and complete the round trip of buying and selling whilst making a profit and carrying no inventory, all of this in the intraday market, and possibly within a couple of minutes. 例4.其他的有些HTF,不是榨取交易利润,而是通过从交易所获得返还而获利。 Example 4. Other trades that could be profitable for HFTs, but do not profit from extracting surplus, are those that are designed to collect rebates offered by the exchange. 市场中心为了吸引成交量,提供流动性返还给提交订单的MM。 Market centers attract volume by offering a liquidity rebate to MMs that post orders. 在同一价位买进卖出的返还策略也能盈利。它靠提供流动性来赚取返还。 Rebate strategies that break even by selling (buying) and then buying (selling) shares at the same price are profitable because they earn the rebate for providing liquidity. 如果返还是每股$0.25,那一个买卖回合HTF就能赚取每股半美分的利润。 If the rebate is around 0.25 cents per share then a round trip rebate accrues half a cent per share to the HFT that pursues this type of rebate trading. 我们注意到以上的例子是人为的,因此那些不是套利策略的HTF都能获得正收益。 We note that although the examples above have been contrived so that the HFTs make positive profits these strategies are not arbitrages. 而现实世界里HTF同样可能会亏损。 This is because there are states of the world where they can also deliver a loss. 这些策略不是无风险的。HTF会面对不同类型的风险,比如说成交量风险和价格风险。 These strategies are not riskless and the HFTs face different types of risk, for instance volume and price risk. 在以上所有例子里,HTF必须对市场大方向有整体认识。并要关注市场上买卖双方在不同价位愿意成交的数量,以便在买入后能转手卖出,不会持仓太长时间。 In all cases the HFT must take a view on the direction the market is taking and how many shares and at what prices she is willing to buy (sell) before turning around to sell (buy) her holdings with the objective of not carrying inventories for too long. 这里我们对HTF有了大概的了解。作为HFT高速1)提交/取消订单2)信息处理能力的结果,可以假设它比非HFT更可能赚取利润。 Here we take the view (supported by the findings in Kirilenko et al. [2010]) that as a result of their speed of execution, but more importantly, of information processing, together with their ability to post and cancel orders, it is presumed that more often than not the HFT will earn a profit, or break even, and be flat after a short period of time. 这就是我们分析的那些HTF的价值所在 It is the value of these trades we want to analyze.