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首页> 外文期刊>The Review of Economic Studies >What is the Optimal Trading Frequency in Financial Markets?
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What is the Optimal Trading Frequency in Financial Markets?

机译：金融市场中最优交易频率是多少？

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摘要

This article studies the impact of increasing trading frequency in financial markets on allocative efficiency. We build and solve a dynamic model of sequential double auctions in which traders trade strategically with demand schedules. Trading needs are generated by time-varying private information about the asset value and private values for owning the asset, as well as quadratic inventory costs. We characterize a linear equilibrium with stationary strategies and its efficiency properties in closed form. Frequent trading (more double auctions per unit of time) allows more immediate asset reallocation after new information arrives, at the cost of a lower volume of beneficial trades in each double auction. Under stated conditions, the trading frequency that maximizes allocative efficiency coincides with the information arrival frequency for scheduled information releases, but can far exceed the information arrival frequency if new information arrives stochastically. A simple calibration of the model suggests that a moderate market slowdown to the level of seconds or minutes per double auction can improve allocative efficiency for assets with relatively narrow investor participation and relatively infrequent news, such as small- and micro-cap stocks.
机译：本文研究了金融市场交易频率的增加对配置效率的影响。我们建立并求解了一个序列双重拍卖的动态模型，在该模型中，交易者根据需求计划进行战略性交易。交易需求是由关于资产价值、拥有资产的私人价值以及二次库存成本的时变私人信息产生的。我们刻画了一个具有平稳策略的线性平衡点及其封闭形式的效率性质。频繁的交易（单位时间内更多的双重拍卖）允许在新信息到达后更直接地重新分配资产，但每次双重拍卖的受益交易量较低。在规定的条件下，使配置效率最大化的交易频率与预定信息发布的信息到达频率一致，但如果新信息随机到达，则可能远远超过信息到达频率。对该模型的简单校准表明，市场适度放缓到每两次拍卖几秒或几分钟的水平，可以提高投资者参与度相对较低、新闻相对较少的资产（如小型股和微型股）的配置效率。

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