A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
High-frequency trading and networked markets
Tekijät: Musciotto Federico, Piilo Jyrki, Mantegna Rosario N.
Kustantaja: National Academy of Sciences
Julkaisuvuosi: 2021
Journal: Proceedings of the National Academy of Sciences of the United States of America
Tietokannassa oleva lehden nimi: Proceedings of the National Academy of Sciences of the United States of America
Artikkelin numero: e2015573118
Vuosikerta: 118
Numero: 26
eISSN: 1091-6490
DOI: https://doi.org/10.1073/pnas.2015573118
Rinnakkaistallenteen osoite: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8255954/
Abstract
Financial markets have undergone a deep reorganization during the last 20 y. A mixture of technological innovation and regulatory constraints has promoted the diffusion of market fragmentation and high-frequency trading. The new stock market has changed the traditional ecology of market participants and market professionals, and financial markets have evolved into complex sociotechnical institutions characterized by a great heterogeneity in the time scales of market members’ interactions that cover more than eight orders of magnitude. We analyze three different datasets for two highly studied market venues recorded in 2004 to 2006, 2010 to 2011, and 2018. Using methods of complex network theory, we show that transactions between specific couples of market members are systematically and persistently overexpressed or underexpressed. Contemporary stock markets are therefore networked markets where liquidity provision of market members has statistically detectable preferences or avoidances with respect to some market members over time with a degree of persistence that can cover several months. We show a sizable increase in both the number and persistence of networked relationships between market members in most recent years and how technological and regulatory innovations affect the networked nature of the markets. Our study also shows that the portfolio of strategic trading decisions of high-frequency traders has evolved over the years, adding to the liquidity provision other market activities that consume market liquidity.