高频交易的技术特征、发展趋势及挑战

The Technical Features, Development Tendency and Application Challenge of High-frequency Trading

高频交易作为电子化交易的最新方式,其高盈利性与高争议性的特点引发了业界与学术界的广泛关注和探讨。本文考察了海外市场高频交易的风险、利弊、技术要素以及策略特征,着重分析高频交易对市场效率、市场波动的影响,梳理了低延迟技术、硬件与软件等高频交易关键技术的特征,并结合我国证券市场的现状和发展趋势探讨了高频交易在我国应用的机会和挑战。我们认为高频交易本质上是先进信息技术在证券交易模式上的创新,是交易技术发展与市场竞争的自然结果。高频交易在我国市场的发展应遵从制度建设和技术创新主导的特征。

As the latest development of electronic trading, HFT has attracted a lot efforts both from industry and academy on analysis its technical features and destruction properties due to its high profitability and highly controversial. We examined HFT＇s pros and cons, technical elements and major strategies from oversea markets experience with focus on its impact on market efficiency and volatility. Moreover, we studied the characteristics of the key elements of HFT including low-latency technology, hardware and software. Combining the status and trends of Chinese securities markets, then we discussed opportunities and challenges of HFT＇s application. We believe that HFT is essentially an advanced information technology for securities trading, which is the natural evolution of the transaction techniques and competitions. The development of HFT in our securities markets will be led by system construction and technological innovations.