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.

该奖项资助信息不对称条件下动态市场设计的研究。 设计师拥有的工具有限，一旦设计确定，市场就会成为竞争市场。 该项目的目标是确定对市场交易时间的限制或强制要求市场买卖报价的透明度如何影响市场结果和市场交易的整体效率。该项目有四个不同的组成部分。 第一个比较了不同设计的市场结果效率，这些设计在市场开放交易的频率方面有所不同。 例如，该团队将买家连续报价的市场结果与首次报价后有一段锁定期（在此期间无法进行交易）的市场结果进行比较。 该研究确立了这种贸易限制改善市场整体运作的条件。 第二部分考虑动态市场中过去报价透明度的利弊。 研究表明，当过去被拒绝的报价是公开信息时，市场均衡会非常不同。 透明度越低，贸易效率越高。 第三部分考虑政府可能对具有动态逆向选择的市场进行干预。 结果表明，定期举行拍卖和补贴一些初始交易的政策可以提高市场效率。 最后一部分考虑市场之间的竞争。该研究通过对高频交易、订单流透明度和金融市场中某些市场制度的后果提供新的认识，提供了更广泛的影响。 研究结果将有助于评估政府政策，从金融市场监管和市场之间的竞争，到通过在所谓的“冻结”市场中购买资产来重建流动性的直接干预。