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高频交易欺骗策略、绩效和个股波动性

【中文摘要】:本文运用2007年和2008年带有投资者id的详细台湾证劵交易资料,实证分析了建立在微结构揭示机制上的高频交易欺骗策略,此策略通过让低成交可能性的大型消极委託单揭示在五档委託之上,製造出五档委託失衡之假像,从而欺骗和误导一般投资者提前交易,自身则在反向交易,降低交易成本。
研究发现高频交易欺骗策略在台湾被经常使用,其中一个高频交易者更是平均每天在69只个股上使用欺骗策略。为有欺骗之效果,高频交易者所下之虚假委託单的价格平均处于第三档与第四档之间,被揭示但成交可能性极低,策略的平均实施时间将近当日个股交易时间的1/3.通过大型消极委託,高频交易者可以製造严重的五档委託失衡假象,明显降低了五档揭示制度的有效性。通过相对绩效分析,高频交易欺骗策略的确可以降低交易成本,实现相对获利,且其在买时的欺骗效果比卖出时的好。最后通过两阶段GMM,我们发现高频交易欺骗策略会提高个股波动性,消极大单为卖的时候,欺骗策略对个股波动性的影响更大;波动性越高,欺骗策略交易量越大,虚假委託越小。
【英文摘要】:I analysis a spoofing strategy in which high frequency trading spoof and mislead the investors through placing large orders with little chance of being executed to cause an order imbalance. And at the same time high frequency trading trade opposite with less transaction cost.
Using the complete intraday order and trade data of the Taiwan Exchange in a custom data set identifying individual accounts, I find that spoofing strategy is used often especially a dealer(Proprietary trader) use it sixty-nine times each day. To spoof and mislead the other traders ,high frequency trading place orders between the best third and fourth bid/ask which are little chance of being executed but will be disclosed in the order book .With the large negative orders, high frequency trading sometimes can cause a serious order imbalance which reduce the effectiveness of the order-disclosure rule obviously. What’s more, with the use of spoofing strategy, high frequency trading can achieve substantial extra profits and increase the intraday stock volatility.
【参考文献】:

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  • 二、 中文部分
  • 姜林杰祐 ,2012, 程式交易方法与实务应用 新陆书局
  • 黄宏瑞 ,2012 ,浅谈高频交易之发展与近况
  • 来源:中山大学;作者:袁成英
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