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首页> 外文期刊>Journal of Economic Dynamics and Control >The high frequency trade off between speed and sophistication
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The high frequency trade off between speed and sophistication

机译：速度和复杂性之间的高频折衷

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Central to the ability of a high frequency trader to make money is speed. In order to be first to trading opportunities, firms invest in the fastest hardware and the shortest connections between their machines and the markets. Yet this is not enough: algorithms must be short, no more than a few instructions. As a result there is a trade-off in the design of optimal high frequency trading strategies: being the fastest necessitates being less sophisticated. To understand the effect of this tension a computational model is presented that captures latency, both of code execution and information transmission. Trading algorithms are modelled through genetic programming with longer programmes allowing more sophisticated decisions at the cost of slower execution times. It is shown that, depending on the market composition, short fast strategies and slower more sophisticated strategies may both be viable and exploit different trading opportunities. The relative profits of these different approaches vary, however, slow traders benefit and social welfare increase in the presence of HFTs. A suite of regulations are tested to manage the risks associated with high frequency trading, the majority are found to be ineffective, though constraining the ratio of orders to trades may be promising. (C) 2020 Elsevier B.V. All rights reserved.
机译：高频交易员赚钱的能力是速度。为了首先交易机会，公司投资最快的硬件和他们的机器与市场之间的最短联系。然而这是不够的：算法必须短，不超过一些指令。因此，在最佳高频交易策略的设计中存在权衡：最快需要不太复杂。为了理解这种张力的效果，呈现了计算模型，其捕获延迟，代码执行和信息传输。交易算法通过遗传编程建模，具有更长的程序，允许更复杂的执行时间较慢的执行时间。结果表明，根据市场成分，短暂的快速策略和更慢的策略可能既可以是可行和利用不同的交易机会。然而，这些不同方法的相对利润各不相同，交易员的利益缓慢和社会福利增加了率。测试了一套规定，以管理与高频交易相关的风险，多数人被发现无效，但限制交易订单的比率可能是有希望的。 （c）2020 Elsevier B.v.保留所有权利。

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