IDEAS home Printed from https://ideas.repec.org/a/scn/00rbes/y2019i3p25-36.html
   My bibliography  Save this article

Высокочастотная торговля в современной микроструктуре финансового рынка: возможности и угрозы // High‑Frequency Trading in the Modern Market Microstructure: Opportunities and Threats

Author

Listed:
  • M. Zharikov

    (Financial University)

  • М. Жариков

    (Финансовый университет)

Abstract

The article covers some ideas about the research on high-frequency trading and financial market design. The topic is time-relevant because today there exists a need to convince traders that there is a simple structural floor in the way that the financial markets are designed. The article reveals the significance of trading on the floor that the foremost fundamental constraint is limited time. The author proves that time on the financial market feels, to some extent, infinite when someone counts it in millions of seconds, but time is nevertheless finite. The author then gets into the actual research on high-frequency trading in the financial market design. The motivation for this project is to analyse activity among high-frequency trading firms by which investments of substantial sums of money are understood as economically trivial speed improvements. The theoretical significance of the research’s outcomes lies in outlaying the systemic approach to dealing with stochastic control problems in the context of financial engineering. The practical relevance of the paper lies in the mechanism that allows solving problems surrounding optimal trading, market microstructure, high-frequency trading, etc. The article concludes by talking about the issues in the modern electronic markets and by giving lessons to dealing with them in the long run. В статье описаны основные положения исследования высокочастотной торговли и организации финансового рынка. Тема актуальна в связи с тем, что в настоящее время существует необходимость создания инструментов для участия в торговле упрощенными структурными продуктами, составляющими структуру рынка. В статье выявлена значимость биржевой торговли в ее зависимости от фундаментальной ограниченности времени на финансовом рынке. Автор доказывает, что время на финансовом рынке имеет иное измерение и по внешней видимости обладает бесконечностью, поскольку исчисляется в миллионах секунд, но при этом остается редким ресурсом. Впоследствии автор переходит к основному исследованию высокочастотной торговли в структуре финансового рынка. Цель статьи — проанализировать деятельность компаний, занятых в сфере высокочастотной торговли, которые осуществляют масштабные инвестиции в усовершенствование методов функционирования в жестких временных рамках. Теоретическая значимость результатов исследования заключается в изложении системного подхода к решению проблем стохастического характера в контексте финансового инжиниринга. Практическая значимость статьи состоит в разработке механизма, который позволяет решать проблемы, связанные с оптимальной торговлей, микроструктурой рынка, высокочастотной торговлей и др. В заключении автор систематизирует уроки из опыта современной электронной торговли на финансовом рынке и их решения в долгосрочном периоде.

Suggested Citation

  • M. Zharikov & М. Жариков, 2019. "Высокочастотная торговля в современной микроструктуре финансового рынка: возможности и угрозы // High‑Frequency Trading in the Modern Market Microstructure: Opportunities and Threats," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 7(3), pages 25-36.
    • Handle: RePEc:scn:00rbes:y:2019:i:3:p:25-36
    as

    Download full text from publisher

    File URL: https://rbes.fa.ru/jour/article/viewFile/110/111.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Lane, Philip R. & Milesi-Ferretti, Gian Maria, 2012. "External adjustment and the global crisis," Journal of International Economics, Elsevier, vol. 88(2), pages 252-265.
    2. Ms. Ruo Chen & Mr. Gian M Milesi-Ferretti & Mr. Thierry Tressel, 2012. "External Imbalances in the Euro Area," IMF Working Papers 2012/236, International Monetary Fund.
    3. M Ayhan Kose & Eswar Prasad & Kenneth Rogoff & Shang-Jin Wei, 2009. "Financial Globalization: A Reappraisal," IMF Staff Papers, Palgrave Macmillan, vol. 56(1), pages 8-62, April.
    4. Òscar Jordà & Moritz Schularick & Alan M Taylor, 2011. "Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 59(2), pages 340-378, June.
    5. M Ayhan Kose & Eswar Prasad & Kenneth Rogoff & Shang-Jin Wei, 2009. "Financial Globalization: A Reappraisal," IMF Staff Papers, Palgrave Macmillan, vol. 56(1), pages 8-62, April.
    6. Dorrucci, Ettore & McKay, Julie, 2011. "The international monetary system after the financial crisis," Occasional Paper Series 123, European Central Bank.
    7. repec:dau:papers:123456789/12379 is not listed on IDEAS
    8. Dorrucci, Ettore & McKay, Julie, 2011. "The international monetary system after the financial crisis," Occasional Paper Series 123, European Central Bank.
    9. Carmen M. Reinhart & Kenneth S. Rogoff, 2011. "From Financial Crash to Debt Crisis," American Economic Review, American Economic Association, vol. 101(5), pages 1676-1706, August.
    10. Jean Pisani-Ferry & André Sapir, 2010. "Banking crisis management in the EU: an early assessment [Open letter to European leaders on Europe’s banking crisis: a call for action]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 25(62), pages 341-373.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Philip Lane, 2013. "Financial Globalisation and the Crisis," Open Economies Review, Springer, vol. 24(3), pages 555-580, July.
    2. Heather Ba & William K. Winecoff, 2024. "American financial hegemony, global capital cycles, and the macroeconomic growth environment," Economics and Politics, Wiley Blackwell, vol. 36(1), pages 334-372, March.
    3. Mikkel Hermansen & Oliver Röhn, 2017. "Economic resilience: The usefulness of early warning indicators in OECD countries," OECD Journal: Economic Studies, OECD Publishing, vol. 2016(1), pages 9-35.
    4. Brunnermeier, Markus & De Gregorio, José & Eichengreen, Barry & El-Erian, Mohamed & Fraga, Arminio & Ito, Takatoshi & Lane, Philip R. & Pisani-Ferry, Jean & Prasad, Eswar & Rajan, Raghuram & Ramos, Ma, 2012. "Banks and cross-border capital flows: challenges and regulatory responses," LSE Research Online Documents on Economics 102439, London School of Economics and Political Science, LSE Library.
    5. Jean-Pierre Allegret & Sana Azzabi, 2014. "Intégration financière internationale et croissance économique dans les pays émergents et en développement : le canal du développement financier," Revue d’économie du développement, De Boeck Université, vol. 22(3), pages 27-68.
    6. Il Houng Lee & Kyunghun Kim, 2018. "Exchange Rate Flexibility, Financial Market Openness, and Economic Growth," Asian Economic Papers, MIT Press, vol. 17(1), pages 145-162, Winter/Sp.
    7. Calderón, César & Kubota, Megumi, 2013. "Sudden stops: Are global and local investors alike?," Journal of International Economics, Elsevier, vol. 89(1), pages 122-142.
    8. Mariarosaria Comunale & Jeroen Hessel, 2014. "Current account imbalances in the Euro area: Competitiveness or financial cycle?," DNB Working Papers 443, Netherlands Central Bank, Research Department.
    9. Philip R. Lane, 2013. "Cross-Border Financial Integration in Asia and the Macro-Financial Policy Framework," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 14(2), pages 37-52, April.
    10. Bülent Köksal & Cüneyt Orman, 2015. "Determinants of capital structure: evidence from a major developing economy," Small Business Economics, Springer, vol. 44(2), pages 255-282, February.
    11. Davis, J. Scott & Mack, Adrienne & Phoa, Wesley & Vandenabeele, Anne, 2016. "Credit booms, banking crises, and the current account," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 360-377.
    12. Bussière, Matthieu & Cheng, Gong & Chinn, Menzie D. & Lisack, Noëmie, 2015. "For a few dollars more: Reserves and growth in times of crises," Journal of International Money and Finance, Elsevier, vol. 52(C), pages 127-145.
    13. Georgiadis, Georgios & Jančoková, Martina, 2020. "Financial globalisation, monetary policy spillovers and macro-modelling: Tales from 1001 shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
    14. Candelon, Bertrand & Carare, Alina & Miao, Keith, 2016. "Revisiting the new normal hypothesis," Journal of International Money and Finance, Elsevier, vol. 66(C), pages 5-31.
    15. Elena Angelini & Michele Ca’ Zorzi & Katrin Forster van Aerssen, 2016. "External and Macroeconomic Adjustment in the Larger Euro-Area Countries," International Finance, Wiley Blackwell, vol. 19(3), pages 269-291, December.
    16. Wache, Benjamin, 2021. "Information Frictions, Global Capital Markets, and the Telegraph," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242444, Verein für Socialpolitik / German Economic Association.
    17. Mary Everett & Vahagn Galstyan, 2017. "Cross-Border Banking and Macroeconomic Determinants," Trinity Economics Papers tep0317, Trinity College Dublin, Department of Economics.
    18. Oliver Röhn & Aida Caldera Sánchez & Mikkel Hermansen & Morten Rasmussen, 2015. "Economic resilience: A new set of vulnerability indicators for OECD countries," OECD Economics Department Working Papers 1249, OECD Publishing.
    19. Julian Caballero, 2012. "Do Surges in International Capital Inflows Influence the Likelihood of Banking Crises? Cross-Country Evidence on Bonanzas in Capital Inflows and Bonanza-Boom- Bust Cycles," Research Department Publications 4775, Inter-American Development Bank, Research Department.
    20. Mary Everett & Vahagn Galstyan, 2020. "Bilateral cross-border banking and macroeconomic determinants," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 156(4), pages 921-944, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:scn:00rbes:y:2019:i:3:p:25-36. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Алексей Скалабан (email available below). General contact details of provider: http://rbes.fa.ru/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.