“The speed-of-light limitation is getting annoying” (Andrew Bach, NYSE)
Der Boom des Hochfrequenzhandels (engl. High Frequency Trading, kurz: HFT) ist eines der heißen Themen an den heutigen Finanzmärkten, da endlich zwischen Gesetzgebern, Aufsichtsbehörden und Industrie darüber diskutiert wird, wie ein Rechtsrahmen für diese inzwischen an den Finanzmärkten vorherrschende Praxis aussehen könnte.
HFT umfasst eine Reihe von Handelsstrategien, die hauptsächlich dazu entwickelt wurden, um Datenverbindungen mit extrem niedrigen Latenzzeiten zu nutzen, d.h. so wenig Verzögerung bei der Orderübertragung wie möglich. Auf dieser Seite werden eine Reihe nützlicher Quellen, einschließlich der jüngsten wissenschaftlichen Forschung, aufsichtsrechtliche Erkenntnisse sowie Industrie- und Pressestimmen aufgeführt.
Überblick
Finance Watch ist der Ansicht, dass der Hochfrequenzhandel ein größeres Volumen, aber nicht Liquidität erzeugt. Es wird dabei entweder auf Trendfolgestrategien gesetzt, die Volumen schaffen, aber dem Markt Liquidität entziehen, was die Auswirkungen auf den Markt belegen, oder auf sogenannte “liquiditätsschaffende” Strategien. Dabei werden zwar Liquiditätsrabatte gesammelt, aber in Wirklichkeit wird keine Liquidität geschaffen, weil die begrenzte Tiefe und Dauer (Millisekunden) der Preise echten Investoren gar keine Chance lassen, mit größeren Beträgen zu handeln, wenn nötig. HFT bedroht die Fairness, Ordnung und Integrität der Märkte.
Eine detailliertere Erklärung, wie HFT funktioniert und welche Gefahren damit verbundenen sind, findet sich im Kapitel III des Positionspapier von Finance Watch zu MiFID, “Investing not Betting” (April 2012).
Eine aktuelle Übersicht zur Forschungsliteratur und weiteren Stimmen sind hierverfügbar.
Sind die Preisunterschiede wirklich geringer geworden?
Lesen Sie hier die NANEX-Forschung.
Klicken Sie hier, um Benoît Lallemand als Gast im Financial Times Trading Room zu sehen. Benoît ist Senior Analyst bei Finance Watch und Autor des Positionspapiers “Investing not Betting”:
Klicken Sie hier, um „Ratten in der Kornkammer“ zu sehen: Warren Buffets rechte Hand hat wenig übrig für HFT
Klicken Sie hier, um einen kurzen CBS-Dokumentarfilm über den Hochfrequenzhandel zu sehen
Aktuelle wissenschaftliche Forschung
Für einen kurzen Überblick über die jüngste wissenschaftliche Forschung auf dem Gebiet, siehe
Schroders / RBC Capital ‘Special report: High frequency trading’ (Nov 30, 2011)
Für eine detaillierte Literaturliste, siehe R.T. Leuchtkäfer “Evidence-based studies of unregulated market making and high frequency trading”
Ausgewählte Highlights:
Egginton, Van Ness and Van Ness, “Quote Stuffing”, March 15, 2012
We find that during periods of intense quoting activity stocks experience decreased liquidity, higher trading costs, and increased short term volatility.
The downside of society’s continuing drive toward larger, faster, and more interconnected socio-technical systems such as global financial markets, is that future catastrophes may be less easy to forsee and manage — as witnessed by the recent emergence of financial flash-crashes. (…) Here we analyze a set of 18,520 ultrafast black swan events that we have uncovered in stock-price movements between 2006 and 2011. We provide empirical evidence for, and an accompanying theory of, an abrupt system-wide transition from a mixed human-machine phase to a new all-machine phase characterized by frequent black swan events with ultrafast durations (<650ms for crashes, <950ms for spikes).
I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm fundamental volatility and other exogenous determinants of volatility. The positive correlation is stronger among the top 3,000 stocks in market capitalization and among stocks with high institutional holdings. The positive correlation is also stronger during periods of high market uncertainty. Furthermore, I find that high-frequency trading is negatively related to the market’s ability to incorporate information about firm fundamentals into asset prices.
Because of the negative externality it generates, HFT will attract an equilibrium amount of investment exceeding the utilitarian optimum. This suggests that Pigovian taxes, such as, for example, taxes on colocation, could improve utilitarian welfare.
We find that greater AT (algorithmic trading) intensity is, on average, associated with declines in equity capital in the next year. This result is only partly driven by a decline in new securities issues; rather, greater AT intensity is associated with an increase in repurchase activity.
Aufsichtsrechtliche Erkenntnisse
ESMA guidelines (applicable since May 1, 2012)
Bank of England, ‘The race to zero’, Speech by Andrew Haldane (July 8, 2011)
Foresight Project survey of end-users
Industriestimmen
CA Chevreux (full service broker)
Nanex (real time market data provider)
Themis Trading (institutional agency broker)
Presseartikel über HFT
03-12-2012: New York Times “High-Speed Traders Profit at Expense of Ordinary Investors, a Study Says”
29-10-2012: EurActive “MEPs approve ban on ultrafast trading”
23-10-2012: Evening Standard “Trading that needs severe regulation”
17-10-2012: Financial Times “Rage against the machine”
“The question that must be asked is who does the market serve? Is it to focus on companies raising capital and create long-term wealth for individuals or is it to cater to guys trading for rebates and sub-pennies?” (Ken Polcari, a floor trader at the New York Stock Exchange)
26-9-2012 New York Times “Beyond Wall St., Curbs on High-Speed Trades Proceed”
17-9-2012 Financial Times “Australian exchange chief criticises HFT”
17-9-2012 Le Vif / L’Express “Trading ultra-rapide: une ONG compare l’industrie financière au lobby du tabac”
16-9-2012 The Guardian “Britain opposes MEPs seeking ban on high-frequency trading”
16-9-2012 Financial Times FTfm “Time for more investing and less betting”
13-9-2012 Reuters “ECB’s Nowotny calls for high-frequency trade ban”
21-8-2012 Financial Times “Knight glitches hit confidence in US market”
13-8-2012 Financial Times “Australia clamps down on ‘algo’ trading”
11-8-2012 The Economist “Wait a second – The latest cock-up on Wall Street shows that more safeguards are needed”
10-8-2012 The Trade “Leading MiFID II MEP backs German HFT law”
9-8-2012 Novethic “Taxer la finance : le dispositif français devient concret” [Taxing finance: the French measure becomes concrete]
3-8-2012 Wired “Raging Bulls: How Wall Street Got Addicted to Light-Speed Trading”
1-8-2012 La Tribune “Encadrer le trading à haute fréquence… POUR ou CONTRE ?”
22-6-2012 Bloomberg “Wash Trading by High-Frequency Firms Said to Face U.S. Scrutiny”
25-6-2012 MLex (with permission) “Les Bourses mondiales lancées dans une course à la microseconde”
17-6-2012 Financial Times “High speed traders look to restructure”
14-5-2012 The Independent “Brake sought on high-speed traders”
10-5-2012 Le Monde “Bruxelles veut encadrer les « traders à grande vitesse »”
9-5-2012 Financial News “Flash Crash ‘may occur again’”
8-5-2012 Bloomberg ‘Flash-Crash Story Looks More Like a Fairy Tale’
6-5-2012 Financial Times ‘US ‘flash crash’ measures suffer delays’
22-4-2012 Financial Times FTfm “Taking the betting out of investing”
22-4-2012 Financial Times FTfm “High frequency traders are ‘bad’”
24-4-2012 THE TRADE News “Serving the real economy”
24-4-2012 La Tribune “Le trading à haute fréquence menacé de limitation de vitesse”
25-4-2012 Financial Times “Madrid bourse overhauls trading system“
25-4-2012 Europolitics “MiFID 2-MiFIR: Finance Watch spells out recommendations“
27-4-2012 Le Monde “Les Bourses mondiales lancées dans une course à la microseconde”
Extract from Finance Watch letter to the Financial Times, 27 August 2012:
A favourite of the HFT lobby is to sow confusion between algo and HFT. Nobody wants to “pull the plug on the algorithms”, which would make no sense; in fact the Markets in Financial Instruments Directive proposals target predatory HFT as a subset of algorithmic trading.
HFT does not reduce “frictions”. HFT is about “technological front running”, which, despite it being legal, means that its profits are generated from deteriorated execution prices for institutional investors, including pension funds.
Nor does HFT bring useful liquidity: liquidity requires depth and a sufficient resting time in the order book which, by its nature, HFT does not bring.
Old and new forms of market abuse can now be executed on a scale and at speeds never seen before. Despite what the industry says, regulators are currently unarmed to detect it, with serious consequences for public trust in markets.
Investigation into high frequency trading by award winning BBC journalist Michael Robinson, 3 November 2009 (transcript).
