Collaborative Research: The Negative Effects of High Frequency Trading and Transparency in Dynamic Markets

合作研究：动态市场中高频交易和透明度的负面影响

• 批准号: 1260890
• 负责人: William Fuchs
• 金额: $ 27.41万
• 依托单位: University of California-Berkeley
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2013
• 资助国家: 美国
• 起止时间: 2013-09-01 至 2016-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1260890&HistoricalAwards=false
• 关键词: Collaborative; Research; Negative; Effects; Frequency

This award funds research on the design of dynamic markets under conditions of asymmetric information. The designer has a limited set of instruments, and once the design is established the market operates as a competitive market. The goal of the project is to determine how restrictions on the timing of market transactions or mandating transparency about market buy and sell offers affect market outcomes and the overall efficiency of trade in the market.The project has four distinct components. The first compares efficiency of market outcomes for different designs that differ in terms of how frequently the market is open for trades. For example, the team compares outcomes in markets in which buyers make continuous offers to outcomes in markets where after the first offer there is a lock-up period during which no trades can be made. The research establishes conditions under which this kind of trade restriction improves the overall functioning of the market. The second component considers the pros and cons of transparency of past offers in dynamic markets. The research demonstrates that market equilibria are very different when past rejected offers are public information. Less transparency results in more efficient trade. The third component considers possible government interventions in markets with dynamic adverse selection. The results suggest that a policy of holding periodic auctions and subsidizing some initial trades can improve market efficiency. The final component considers competition between marketplaces.The research provides broader impact by shedding new light on the consequences of high-frequency trading, transparency of order flows and certain market institutions found in financial markets. The results will be useful for evaluation of government policy, from regulation of financial markets and competition between marketplaces to a direct intervention by purchases of assets in so called 'frozen' markets to re-establish liquidity.

该奖项为在不对称信息条件下的动态市场设计提供了研究。 设计师的工具集有限，一旦建立了设计，市场就可以作为竞争市场运营。 该项目的目的是确定对市场交易时机的限制或对市场买卖的透明度的限制会影响市场成果以及市场贸易的整体效率。该项目具有四个不同的组成部分。 首先比较了市场成果的效率在不同设计方面的不同设计差异，而交易的市场开放频率有所不同。 例如，该团队比较了市场上的成果，在这些市场中，买家在市场上的成果不断提出的报价在第一个报价之后有一个锁定期，在此期间无法进行交易。 该研究确定了这种贸易限制改善市场整体功能的条件。 第二个组成部分考虑了在动态市场中过去要约的透明度的利弊。 研究表明，当过去被拒绝的报价是公共信息时，市场均衡会大不相同。 透明度降低会导致更有效的贸易。 第三个组成部分考虑了通过动态不利选择在市场中可能采取的政府干预措施。 结果表明，举办周期性拍卖和补贴一些初始交易的政策可以提高市场效率。 最终组成部分考虑了市场之间的竞争。这项研究通过对高频交易的后果，订单流量的透明度以及在金融市场中发现的某些市场机构的后果进行新的影响，从而提供了更广泛的影响。 该结果将对政府政策的评估，从金融市场的监管和市场之间的竞争到通过在所谓的“冷冻”市场中购买资产到重新建立流动性，从而直接干预。