高频交易:现状、理论与监管

High Frequency Trading:Current Situation,Theory,and Regulation

经过二十余年发展,高频交易已经成为海外市场主流的交易模式,学术界对其的认识也从初期的一致赞誉演变成如今的众说纷纭。首先,从理论研究而言,高频交易的复杂性在于如何处理信息与价格的关系、信息的构成结构、信息效率与做市效率的权衡这三个关键性问题。其次,从实证研究而言,检验的核心始终是高频交易与市场流动性、市场稳定性和市场效率的关系,争论之处在于上述关系在区分正常与极端市场、真实与虚幻流动性、信息与做市效率之后的结论大相径庭。最后,当高频交易的交易量占比过大之后,其与散户投资者、机构投资者、分析师之间甚至是高频交易内部产生了诸多利益冲突。本文旨在梳理高频交易的发展脉络和人类对于高频交易的认知过程,为学术研究和监管政策提供参考。

After more than twenty years of development,high-frequency trading has become the mainstream trading mode in overseas markets.However,academic viewpoints on it have evolved from initial unanimous applauds to diverse opinions.Firstly,in terms of theoretical research,the complexity of high-frequency trading lies in three key issues:how to handle the relationship between information and prices,the structure of information composition,and the trade-off between information efficiency and market-making efficiency.Secondly,in empirical research,the core of examination has always been the relationship between high-frequency trading and market liquidity,market stability,and market efficiency.The debate lies in the vastly different conclusions drawn after distinguishing between normal and extreme markets,real and illusory liquidity,and information and market-making efficiency.Finally,when the proportion of high-frequency trading volume becomes too large,it creates numerous conflicts of interest among retail investors,institutional investors,analysts,and even within the high-frequency trading community itself.This paper aims to outline the development trajectory of high-frequency trading and the human cognitive process regarding high-frequency trading,providing references for academic research and regulatory policies.