美国和全球股市高频交易越来越突出的三个直言不讳
他们的想法是在6月发布的两本新书中展示。一个是等待：延迟艺术和科学那by Frank Partnoy, the George E. Barrett professor of law and finance at the University of San Diego and an expert on financial market regulations. The other is破碎的市场：华尔街的高频交易和掠夺性做法是如何摧毁投资者信心和您的投资组合，乘坐al arnuk和约瑟夫saluzzi。
Arnuk and Saluzzi是新泽西州的Chatham的机构经纪公司的主题交易。Saluzzi也是商品期货贸易委员会自动化和高频交易委员会小组委员会的成员，负责制定HFT的工作定义，帮助指导市场监管机构。
Partnoy倡导纽约证券交易所Eureoxt和纳斯达克在纽约交易中展开了90分钟的午项休息，这将抑制高频交易对价格的影响，减少对流动性需求的关注，并允许人类交易者重新考虑战略，并可能Rejugger算法。
“A trading pause would give traders the opportunity to think about what news had arisen over the course of the first part of the day, without having the price constantly changing,” Partnoy says, noting that while HFT activity can be a source of liquidity in normal circumstances, it can introduce serious liquidity problems — or cause it to dry up completely — during times of market crisis, as the flash crash of May 6, 2010 demonstrated.
“为什么交易需要连续？”Partnoy问道。“设计市场是笨拙的更有效。他说，而不是在整个日期都会在一天中运下流动性，而是可能导致更好的流动性，“他说，并补充说，他不会厌恶进一步减少交易时间的市场，每小时到五秒的拍卖。
“最有效的市场是您一次在一个地方获得所有供需的市场，释放额外的非诊断时间来思考和策略。”然而，他认为这对市场的变化来说太激活了 - 至少现在。
“在建议一个小时和半休息时，我试图达到合理的中间地面。我不认为人们愿意这一点拍卖。但24小时交易周期不可持续，闪存崩溃并不是与高频交易相关的危险结束，目前的结构并没有帮助促进效率，“Partnoy说。
虽然他旨在遏制HFT活动，但Partnoy还认为HFT交易者可能是他日前交易时间下午减少的支持者。“我不明白为什么他们会反对它;它实际上可以为他们创造更多的机会，“他说。HFT算法通常是针对交易日的开放和关闭采取行动。
他确实承认，有效地工作，这种变化不能仅限于美国市场，但需要在全球监管机构之间进行一定程度的协调与合作。如果没有，一些高频交易员将在市场中迅速逐个套利，放弃限制交易的市场不断贸易的市场。
An alternative proposal comes from Themis Trading’s Arnuk and Saluzzi. In their new book,破碎的市场，他们呼吁一系列市场结构调整，包括一个新规则，要求交易订单至少有一秒钟，并消除了HFT评论家憎恶的其他交易者意图的Pinging或Sonar的探索。作者解释说，随着这种变化，高频交易员将暴露他们的幻影体积和平倾倾向，旨在嗅出其他交易者的意图和策略。“一秒钟将破坏他们立即取消[交易]的能力，如果没有什么是在那里，”作者主张。
However, in recent public statements, Saluzzi has proposed that regulators require that trading orders remain valid for just 50 milliseconds, which would prevent a cancellation of an order during that time. As he explained in an e-mail: “In our original white paper published in 2008 (which is reproduced in the book), we called for a one-second minimum life. Almost four years later we think it would be necessary for only a smaller increment. We use 50 milliseconds based on the research of Mao Ye, Chen Yao and Jiading Gai of the University of Illinois at Urbana-Champaign. Their paper, 'The Externality of High Frequency Trading' (released in May 2012), states that orders with a life of less than 50 milliseconds have little contribution to real liquidity."
In contrast, HFT analyst Partnoy says that the result of a one-second trading rule or any short-term pause would be to make many high-speed, low-latency HFT strategies instantly unprofitable, what Partnoy calls a kind of tax on HFT activities, involving time instead of money. He questions whether the pause, while effective at putting a damper on HFT, could gain a large enough following in today’s speed-obsessed markets.
帕特洛伊认为他的建议的时间,90 - minute market pause has a better chance of being widely accepted, and he hopes the institutional investor community will seriously consider this change. “While there are great benefits to institutional investors with the liquidity that can come with high frequency trading, these same investors need to get out in front of the potential problems that HFT can bring," he says. “The flash crash is not the end of the HFT downside to markets, and it is to the advantage of institutional investors to figure out ways to ensure that there will be liquidity for them and others during times of crisis.”