개인투자자의 고빈도매매 행태와 성과 분석

The Flash Crash, on May 6, 2010, raised a lot of discussion about the influence of highfrequency trading (“HFT”) on the financial markets. Existing literature shows evidencethat HFT may positively affect market quality in terms of reduced spreads and improvedprice discovery. With the growing attention of practitioners and policy makers, the issueof the profitability of HFT becomes more important. While HFT has been assumed to beconfined to professional investors, the number of individual investors in HFT, utilizingthe advanced IT infrastructure and programming skills, has seen dramatic growth. Using a highly detailed dataset, we categorize the HFT strategies deployed by individualinvestors in the Korean market and investigate their profitability. We find evidence thatindividual HFTs adopt two distinguishable strategies. The first strategy is constructingsmall-size order flow at high frequencies within one second. The profit of this strategy,holding statistical significance, is not very high. The second one is buying stocks withgood news within one second after the announcement is made. This strategy exhibits arelatively strong significance for the stocks with a narrow spread and high volatility. These findings have two important implications. First, individual investors, with theuse of API and programming skills, will be able to benefit from HFT. Second, we canexpect that individual investors would become important players in HFT. Concerning thistrend, regulatory authorities need to impose intense monitoring on price manipulationwhen the HFT strategies with small-size orders cause price distortion. Overall, theempirical findings and implications of the present paper, also showing the current trendsin HFTs, are expected to enhance the understanding of HFT traders in the Korean financialmarket.