市场微观结构下高频交易流动性——基于我国商品期货市场的实证研究

Liquidity in High Frequency Trading under the Market Microstructure——Empirical Research Based on the Commodity Futures

市场微观结构是研究价格形成过程的一门学科,在市场微观结构下进行的交易是高频交易的核心。高频交易者在市场中提供流动性,但与知情交易者交易时会遭受损失,指令流逆向选择高频交易者,这些指令流被认为是有毒的。首先采用一种全新的方法(VPIN)测量我国商品期货市场上的指令流毒性,再次通过蒙特卡洛模拟验证了各种参数组合下VPIN的精确性,最后采用Granger因果检验研究了VPIN与波动之间的关系。实证结果表明VPIN可以较好的预测商品期货市场中的指令流毒性,跟踪VPIN值可以使流动性提供者控制头寸风险,监管者可以监控市场的流动性质量,提前限制交易或者加强市场监管。本文研究对未来期权市场引入做市商制度具有一定理论指导及现实意义。

Market microstructure is a subject that unveils the process of the research on pricing,the trading under this structure is the core of high frequency trading.Order flow is regarded as toxic when it adversely selects high frequency traders,who are unaware that they are providing liquidity at their own loss.First this paper uses the newest method（VPIN）to measure order flow toxicity in commodity futures.Second,Monte Carlo experiments show VPIN to be accurate for all theoretically possible combinations of parameters.Finally,Granger causality test confirms that the VPIN metric has forecasting power on the magnitude of returns.The empirical results show that VPIN can predict the flow toxicity in commodity futures.Tracking the VPIN would allow market makers or liquidity provider to control their risk.Regulator can monitor the＂quality＂of liquidity provision,and can pro-actively move to restrict trading or impose market controls.Therefore,this paper can provide theoretical guidance and practical significance for options market introducing market maker system in the future.