高频交易对外汇市场流动性的影响

The Effect of High-Frequency Trading on Foreign Exchange Market Liquidity

摘要: 速度与信息是金融市场永恒不变的主题，随着计算机处理性能的提高，交易所逐渐被高性能服务器群以及高速网络所代替，提高了金融市场的交易频率与信息传递效率，催生高频交易者的出现并逐渐成为金融市场中不可忽视的交易者类型。当前针对高频交易的研究主要集中在证券市场，而针对外汇交易市场中的高频交易研究较少。本文旨在研究高频交易发展对于外汇市场流动性的影响，分析外汇市场高频交易的发展意义。基于汤森路透高频报价数据集，以外汇市场提速事件为契机，使用日内平均买卖价差作为市场流动性的代理变量，研究高频交易发展对于外汇市场流动性的影响。实证结果表明，高频交易的引入对外汇市场流动性具有提升作用。外汇市场应该在风险可控的前提下鼓励相关科技创新以提升整体市场质量。

Abstract: Speed and information are the highlights of the financial market. With the improvement of computer performance, exchanges are gradually replaced by high-performance server and high-speed networks. The replacement accelerates the transaction frequency and information transmission of the financial market, leading to high-frequency traders. High-frequency traders have gradually become a type of traders that cannot be ignored in the financial market. The current research on high-frequency trading mainly focuses on the securities market, while there is little research on high-frequency trading in the foreign exchange market. This paper aims to study the effect of high-frequency trading on the liquidity of the foreign exchange market and analyze why the high-frequency trading is important to the foreign exchange market. Based on the Thomson Reuters TRTH data set, this paper takes a speed-up event in the foreign exchange market as a research subject, using the average intraday bid-ask spread as a proxy variable for market liquidity. With the data above, this paper investigates the effect of high-frequency trading on the liquidity of foreign exchange market. The empirical results show that the introduction of high-frequency trading can improve the liquidity of the foreign exchange market. The foreign exchange market should encourage technological innovations under the premise of controllable risks to improve the overall market quality.