Annual Review of Economics · 2018 · [{"name": "Oliver Linton", "affiliation": ["University of Cambridge"]}, {"name": "Soheil Mahmoodzadeh", "affiliation": ["University of Cambridge"]}]
中文摘要
近年来，受技术快速发展及其迅速普及的推动，高频交易（HFT）大幅增长，在股票市场中尤为显著。本文综述考察高频交易可能的演变方向，并通过深入理解其影响，识别高频交易在金融稳定性方面、以及在波动性、流动性、价格效率和价格发现等其他市场结果方面可能带来的潜在风险与机遇。尽管公众普遍持负面看法，现有证据表明，高频交易与算法交易可能对市场产生若干有益影响。然而，在特定情形下，此类交易可能引发金融市场的不稳定。短期内，需要审慎选择的监管措施以应对相关担忧；但从长期看，仍需开展进一步研究以为政策制定提供依据，尤其是考虑到可能存在的不确定性和数据的匮乏。这些研究工作对于在这一充满争议且快速演变的领域中支持循证监管至关重要。
Abstract
High-frequency trading (HFT) has grown substantially in recent years due to fast-paced technological developments and their rapid uptake, particularly in equity markets. This review investigates how HFT could evolve and, by developing a robust understanding of its effects, identifies potential risks and opportunities that HFT could present in terms of financial stability and other market outcomes such as volatility, liquidity, price efficiency, and price discovery. Despite commonly held negative perceptions, the available evidence indicates that HFT and algorithmic trading may have several beneficial effects on markets. However, these types of trading may cause instabilities in financial markets in specific circumstances. Carefully chosen regulatory measures are needed to address concerns in the shorter term. However, further work is needed to inform policies in the longer term, particularly in view of likely uncertainties and lack of data. This work will be vital in supporting evidence-based regulation in this controversial and rapidly evolving field.