1.
미국이나 유럽의 고빈도매매논쟁을 보면 가장 강력히 반대하는 집단은 기관투자자입니다. 기관투자자의 대량주문에 선행하는 고빈도매매전략으로 인하여 기관투자자의 매매비용이 높아졌기때문입니다. 물론 이러한 기관투자자의 주장을 옳다고 하는 연구도 있지만 틀리다고 하는 연구도 많습니다.
예를 들어 끝나지 않는 논쟁, 이제 시작하는 논쟁에서 소개하였던 “A Blessing or a Curse? The Impact of High Frequency Trading On Institutional Investors”은 기관투자자의 주장을 뒷받침하는 논문입니다. 반대로 캐나다 감독기관인 Investment Industry Regulatory Organization of Canada (IIROC)의 지원을 받은 “High Frequency Market Making to Large Institutional Trades“은 다른 주장을 담고 있습니다.
We characterize high-frequency trader (HFT) and designated market maker (DMM) behavior in the presence of large, directional institutional trade packages in Canadian equity markets. HFT liquidity provision is significantly reduced for “stressful” trades. HFT average stock-day profitability is under $300, mostly from liquidity rebates. HFTs reduce liquidity provision after losses. The average effective spread for large non-stressful (stressful) institutional trades is 12 (42) basis points and is significantly affected by HFT choice of liquidity provision. Over the life of a large trade, HFTs initially accommodate the order, but quickly switch to competing with the order.
그동안 보았던 논문과 다른 이야기가 담겼습니다.
“HFTs initially accommodate the order, but quickly switch to competing with the order”
2.
앞서 캐나다의 논문과 비슷한 결과를 담은 보고서가 해외 뉴스에 소개되었습니다. 노르웨이에서 나온 논문입니다.
High-Frequency Trading around Large Institutional Orders
원 출처는 아래입니다.
High-Frequency Trading around Large Institutional Orders
이 논문이 내린 결론중 마지막입니다.
We find that HFTs lean against the order in the first hour, but turn around and trade with the order in the case of multi-hour executions. This pattern could explain why institutional trading cost is 39% lower when HFTs lean against the order (by one standard deviation), but are 64% higher when they go with it.
3.
호주 시장감독기관인 Australian Securities and Investments Commission의 시장감시 책임자의 인터뷰를 읽었습니다.
The Australian Securities and Investment Commission’s head of markets surveillance, Greg Yanco, says investor fears about high frequency trading are out of date and points out there have always been traders with a speed advantage.
He said regular checks on the Australian Securities Exchange and rival trading venue Chi-X Australia have found no harmful “latency arbitrage”. There is a “tiny” amount, however, between the 20 so-called “dark pools” exchanges run by brokers because their technology varies, and some is slower than two main exchanges.
“Between ASX and Chi-X we’re not seeing anything that is active latency arbitrage between those two markets,” he said at a Thomson Reuters conference in Sydney on Wednesday.
ASIC’s Greg Yanco says high frequency trading fears are unfounded중에서
ASIC가 위와 같은 의견은 내놓은 근거가 있습니다. 2012년 거래데이타를 기준으로 한 연구를 진행했기때문입니다. 보고서는 가을에 나온다고 합니다만 간단한 결론은 홈페이지에 올라있습니다.
Our analysis of high-frequency trading
We analysed data from our surveillance feed from ASX and Chi-X to identify the nature and extent of high-frequency trading in the Australian market. More broadly, we also engaged with industry and regulators both here and overseas, reviewed relevant research, and identified regulatory gaps.
We conducted a detailed analysis of trading on equity markets over the nine-month period from January to September 2012. This analysis drew on a number of measures that could be consistently and objectively measured, and that related strongly to the characteristic attributes of high-frequency trading. These included order-to-trade ratios, percentage of turnover traded within the day, total turnover per day, the number of fast messages, holding times, and at-best ratios.
Findings
Our analysis showed that, while there is a considerable high-frequency trading presence in our markets – 27% of equity market turnover – the majority of it is done by 20 entities.
On the whole, we found that some of the commonly held negative perceptions about high-frequency trading appear to have been overstated, and were not supported by our findings. For example, the taskforce found that increases in order-to-trade ratios have been moderate compared with overseas markets, and have not been driven entirely by high-frequency trading.
Our analysis also showed that only 1.2% of high-frequency traders held positions for an average of two minutes or less, 18% for less than 10 minutes, and 51% for less than 30 minutes. This is contrary to the perception that holding times for high-frequency traders are typically a matter of seconds, or less.
We also found no evidence of systematic manipulation, or other predatory behaviours, from high-frequency traders, and while a number of discrete incidents required follow-up, these were the exception rather than the norm.
There was, however, some basis for the perception that high-frequency trading created excessive ‘noise’ in the market, although our analysis revealed that other traders using algorithms contributed to this problem.
Dark liquidity and high frequency trading중에서
궁금합니다. 한국의 금융위원회나 금융감독원이 가진 생각이.
거래소, 지주사 전환 개편안 잠정 확정
7월달쯤 뭐가 나온다고 하니까 기대해(?) 봐야 하겠죠?
모든 기관투자자가 HFT를 싫어하는 건 아닙니다. 견제를 할 기량이 있는 대형 기관들은 유동성을 공급하는 수단이라고 봅니다 만 간혹 싫은 소리를 해서 경계를 하죠. 문제는 능력이 없는 소형 기관들입니다. 몇 개의 HFT사에 결집 된 능력이 탁월하기에 대응을 하기 어렵고 대량 유동성에 대한 필요도 거래가 적으니 느끼지 못하여서 맨날 감독당국에 개인투자자를 운운하며 우는 소리를 합니다.외국에 ATS의 거래 방법이 여러가지인 이유도 여기에 있습니다.
그리고 이런 study를 보면 매번 같은 당연한 내용이 나옵니다:
“전체를 보니까 대형기관들이 많이 잘 대응하기에 평균적으로 큰 문제는 없어 보이고 유동성이 나아졌다.”
문제는 국내엔 초소형 기관들이 많아 그쪽에서 곡소리 쫌 나올 것 같습니다.
항상 관심을 가지셨던 대체거래소가 5%규정을 바꾸면서 나타날 가능성이 켜졌네요….