Donnerstag, 12. Januar 2012

Hochfrequenztrading und Börsencrashes

Über das Thema "Hochfrequenztrading" habe ich schon einiges geschrieben. Das Team von Themis Trading macht nun auf eine neue Forschungsarbeit von Didier Sornette ("Der ungeliebte Prophet der Finanzmärkte") aufmerksam.


“An important point is that the focus on liquidity provision by HFT may be misguided. First, liquidity is not equal to volume.

- Trade volume, however, is not liquidity but all too often mistaken for it. Liquidity means “there is a bid/offer on the other side when I need it, for the amount I need it (market depth) at a reasonable level (market breadth).

Second, the hypothesis that HFT is a positive development is often based on the underlying assumption that more liquidity is necessarily good for investors and companies.

- the utility derived from liquidity provided by HFT could be argued to be lower than from other market participants. Why? Because HFT does not absorb risks.

- They carry no inventory; there is no transfer of risk apart for some milliseconds. HFT are opportunistic, they arbitrage what is referred to as “inefficiencies”, but may often result from differences in time scales and technology. It remains to be seen if liquidity is a real robust externality of the behaviour of HFT. “

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