미국 초단타 매매 거래 전략들의 문제점 및 규제에 관한 연구

Speed allows for increased frequency in opening and closing positions in various securities, which subsequently allows High Frequency Trading (HFT) systems to profitably capture small deviations in securities prices. Typically, HFT traders collect tiny gains, usually measured infractions of a cent, in large volumes of shares traded throughout the day. HFT traders using a liquidity-provision strategy act as traditional market makers, and are the markets' principal liquidity providers. HFT allows for fast transactions to occur, thereby narrowing spreads, lessening market risks, and improving efficiency. Further, arbitrage strategies exploit pricing differences between common securities quoted on competing trading platforms. In addition, as for a predatory strategy, by being the fastest obtainer of market data via co-location arrangements and data center feeds, HFT traders profit by exploiting slower market participants who offer executions at stale prices. After the Flash Clash event on May 6, 2010, it is clear that run-away algorithms are a real threat, and could disrupt the market with disastrous effects. The SEC has acted quickly to implement circuit breakers in an attempt to curb the danger of a rogue algorithm. This article addresses whether these circuit breakers are an appropriate measure, and whether additional measures are necessary to implement in order to guard against a potential malfunction of algorithm trading in the U.S. market. The additional measure could be to introduce a limit up/ limit down parameter system in order to prevent the need to halt trading in false-positive trade situations that would otherwise trigger the circuit breakers. Finally, when SEC and other regulators are about to introduce a new regulatory measure, the important guidelines should exist as follows. First, regulations need to improve transparency, and thus SEC needs to impose large trader reporting requirements on the HFT traders. Second, regulations need to limit volatility. Accordingly HFT traders engaged in a liquidity-provision strategy should be required to register as market makers on the exchanges on which they trade, and they shall stand ready to buy and sell a particular stock on a regular and continuous basis at a publicly quoted price even when the market becomes extremely volatile. Finally, regulators should impose internal risk management requirements within the HFT firms themselves.