什么是金融
• 资金配臵：时间、风险
• 同物同价 • 无套利定价原理
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The role of markets in society
• American Economic Review(1945): The Use of Knowledge ionomic problem of society is: • Planning (resource allocation) under uncertainty Planning involves two types of knowledge • Scientific Knowledge (theoretical or technical) • Knowledge of particular circumstances of time and place Even the best central planner doesn’t have knowledge of the 2nd type • Hence de-centralized planning dominates central planning
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The market participants include: Customers who submit buy and sell orders Brokers who transmit orders for customers Dealers who trade for their own account and can also facilitate customer orders • Market makers who stand ready to buy or sell
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Hayek’s view on planning: • If the economic problem of society is mainly one of rapid adaptation to changes, it follows that “the man on the spot” is the best person to make resource allocation decision. Hence, planning must be de-centralized. The Road to Serfdom (1944): • “the unforeseen but inevitable consequences of socialist planning create a state of affairs in which, if the policy is to be pursued, totalitarian forces will get the upper hand.” Government intervention in a free market only forestalls economic ailments. Time and nature will restore prosperity.
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Hayek’s view on the role of markets: • As a minimum the “man on the spot” needs to know the relative scarcity of various resources. This information is quickly and succinctly provided by market prices. The price system is a vital knowledge aggregation mechanism. Implications: • Market economies are better than centrally planned ones • Price should be a pretty good indicator of “value” • In short, let the market do its magic (in general, we should minimize regulatory intervention)
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• The location of the trading is another dimension of markets. • Traditionally trades would occur on exchanges such as the NYSE. With the proliferation of Electronic Communication Networks (ECNs) and dark pools (where institution trades are matched) trading can occur anywhere. • What determines the operation of a market is not its location but rather the rules by which trades occur.
• Market Orders versus Limit Orders
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Market liquidity
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• Liquidity – the ability to trade a substantial amount of a financial asset at close to current market prices – is an important, desirable feature of financial markets.
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Incorporation of information in efficient and inefficient markets
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高频交易策略举例
• 传统的基本面投资是基于市场均衡假说的长期投 资方式，而高频交易的交易理念则基于人类认知 局限与市场价格始终处于动态形成过程中，是一 种超短期的投资方式。 • 主要策略是做市交易策略、套利交易策略与方向 性交易策略，而其中做市交易策略是最主流、占 据最大交易比重的交易策略，形成了对基本面投 资的有益补充。
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• With the advent of co-location, algorithmic trading and high frequency traders, markets are changing dramatically. • It has been estimated that upto 70% of the trades in US markets may have originated from high frequency traders.
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Societal Benefits of High-Frequency Trading
• • • • Increased market efficiency Added liquidity Innovation in computer technology Stabilization of market systems
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The Commodities Futures Trading Commission has drafted a working definition
• algorithms for decision making, order initiation, generation, routing, or execution, for each individual transaction without human direction; • low-latency technology that is designed to minimize response times, including proximity and co-location services; • high speed connections to markets for order entry; • high message rates (orders, quotes or cancellations).
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• 人类认知有限
• 市场是个过程 • 合作秩序
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订单簿
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产生问题
• 交易制度对价格形成有影响吗？
• 例如：股票撮合机制、股指期货撮合机制（三价 居中）
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What is market microstructure?
• Market microstructure is the study of the process and outcomes of exchanging assets under explicit trading rules. • While much of economics abstracts from the mechanics of trading, the microstructure literature analyzes how specific trading mechanism affect the price formation process. • Market microstructure gets into the “black box” of how prices are formed and is fundamental to understanding how markets allocate resources.
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Five Important Characteristics of Market
Liquidity Transaction costs Informative prices Volatility Trading Profits
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Limit Orders versus Market Orders
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• （二）套利交易策略 • 套利交易策略是利用市场价格在形成过程 中的短暂不平衡获利。