Time to Slow Down for High-Frequency Trading? Lessons from Artificial Markets

Q1 Economics, Econometrics and Finance Intelligent Systems in Accounting, Finance and Management Pub Date : 2017-08-07 DOI:10.1002/isaf.1407

Iryna Veryzhenko, Lise Arena, Etienne Harb, Nathalie Oriol

引用次数: 6

Abstract

In this paper, we focus on the French cancel order tax implemented on 1 August 2012. We question the effectiveness of the modified tax with no exemptions and we analyze its impact on market quality, measured by liquidity, volatility and efficiency. Additionally, this paper raises the question whether this tax leads to a reduction of high-frequency trading (HFT) activities and a decline in trading volume. Based on our findings we report that introduction of cancel order tax only slightly reduces HFT activities, but it significantly affects market liquidity, increases market volatility and leads to deteriorating market efficiency. We conclude that it is difficult to dissuade investors from entering into unproductive trades and eliminate negative outputs of HFT (such as price manipulations) through tax, without altering the benefits of HFT like liquidity provision and efficient price discovery.

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是时候放慢高频交易了?人工市场的教训

本文以2012年8月1日起实施的法国取消订单税为研究对象。我们质疑修改后的无豁免税的有效性，并分析其对市场质量的影响，以流动性、波动性和效率来衡量。此外，本文还提出了一个问题，即这项税收是否会导致高频交易(HFT)活动的减少和交易量的下降。根据我们的研究结果，我们报告了取消订单税的引入只略微减少了高频交易活动，但它显著影响了市场流动性，增加了市场波动性，导致市场效率恶化。我们得出的结论是，在不改变高频交易的好处(如流动性提供和有效的价格发现)的情况下，很难通过税收劝阻投资者进入非生产性交易并消除高频交易的负产出(如价格操纵)。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Intelligent Systems in Accounting, Finance and Management Economics, Econometrics and Finance-Finance

CiteScore

6.00

自引率

0.00%

发文量

期刊介绍： Intelligent Systems in Accounting, Finance and Management is a quarterly international journal which publishes original, high quality material dealing with all aspects of intelligent systems as they relate to the fields of accounting, economics, finance, marketing and management. In addition, the journal also is concerned with related emerging technologies, including big data, business intelligence, social media and other technologies. It encourages the development of novel technologies, and the embedding of new and existing technologies into applications of real, practical value. Therefore, implementation issues are of as much concern as development issues. The journal is designed to appeal to academics in the intelligent systems, emerging technologies and business fields, as well as to advanced practitioners who wish to improve the effectiveness, efficiency, or economy of their working practices. A special feature of the journal is the use of two groups of reviewers, those who specialize in intelligent systems work, and also those who specialize in applications areas. Reviewers are asked to address issues of originality and actual or potential impact on research, teaching, or practice in the accounting, finance, or management fields. Authors working on conceptual developments or on laboratory-based explorations of data sets therefore need to address the issue of potential impact at some level in submissions to the journal.