主题：Correlated
High-Frequency Trading（相互关联的高频交易）
主讲人：李丹，香港大学金融学助理教授
日期：2015年12月2日（周三）
时间：中午
12:30-13:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
This
paper studies correlations between the strategies of high-frequency trading
(HFT) firms, which is a manifestation of the extent of competition in which
these firms engage when pursuing similar strategies. We begin by establishing
new stylized facts about the magnitude of time-series and cross-sectional
correlations for various measures of HFT strategies. We then conduct a
principal component analysis, showing that there are several underlying common
strategies and that multiple HFT firms compete on each of these strategies. We
investigate whether competition between HFT firms creates a systematic return
factor, but find no supporting evidence for such an influence. However, the
short-interval return volatility of most stocks loads negatively on a
market-wide measure of correlated HFT strategies. The mitigating impact of HFT
competition on stock volatility appears to be driven at least in part by a
market-making strategy. The paper ends by investigating the interrelationship
between two forms of competition—that between HFT firms and that between
trading venues.
主讲人简介：
Dan Li
is an assistant professor of finance at School of Economics and Finance, University
of Hong Kong. Previously, Dan Li also conducted research for Capital Markets
CRC Ltd, and the investment Industry Regulatory Organization of Canada. She
received her Ph.D. in Finance from York University, and she also holds a M.A.
in Economics from Fudan University. Zhang teaches Derivatives and Foundations
of Finance for undergraduate students. Her primary research focuses on empirical
corporate finance, entrepreneurship, and market microstructure and security
market surveillance. Dr. Li’s publications have appeared on the Journal of Corporate Finance, Journal of
Financial Economics, and Corporate
Governance: an International Review.
