The Effect of Algorithmic Trading on Intraday Price Efficiency: Evidence from the Foreign Exchange Market

程式交易對於日內價格效率的影響：以外匯市場為例

吳震星(Zhen-Xing Wu) ； 洪禎蔚(Zhen-Wei Hong) ； 高櫻芬(Yin-Feng Gau)

《財務金融學刊》 28卷2期 (2020/06) Pp. 49-90

https://doi.org/10.6545/JFS.202006_28(2).0002

摘要

This paper studies the impact of algorithmic trading (AT) on informational efficiency in the foreign exchange market on an intraday basis. Following Hasbrouck (1993), we measure hourly and ten-minute pricing efficiency by using prices and order flows, and show that, in FX markets, AT exhibits a reverse intraday pattern with trading size. The results suggest that greater AT activity is related to lower market efficiency, implying that algorithmic traders strategically enter the market when informational efficiency is lower. However, AT is associated with an increase in market efficiency in subsequent intraday periods in EUR/USD and USD/JPY markets.

關鍵字

Algorithmic trading ； price efficiency ； pricing error ； foreign exchange markets ； vector autocorrelation (VAR)

並列摘要

本文研究外匯市場中，程式交易對於市場日內資訊效率的影響。根據Hasbrouck（1993）的模型，我們利用實際交易價格和訂單流量衡量每小時和每10分鐘的價格效率，並發現程式交易活動與價格效率有顯著的反向關係，反映程式交易者會策略性地在價格效率較差的時候進入市場。然而，在市場中的程式交易活動變熱絡後，下一期的價格效率會提高。

並列關鍵字

程式交易 ； 價格效率 ； 價格偏誤 ； 外匯市場 ； 向量自我迴歸模型（VAR）

參考文獻

Aït-Sahalia, Yacine, and Mehmet Saglam, 2013, High frequency traders: Taking advantage of speed, Working paper.

Bank for International Settlements (BIS), 2013, Triennial Central Bank Survey: Foreign Exchange and Derivatives Market Activity in April 2013 (Bank for International Settlements, Basel).

Baron, Matthew, Jonathan Brogaard, Björn Hagströmer, and Andrei A. Kirilenko, 2019, Risk and return in high frequency trading, Journal of Financial and Quantitative Analysis 54, 993-1024.

Beveridge, Stephen, and Charles R. Nelson, 1981, A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the “Business Cycle,” Journal of Monetary Economics 7, 151-174.

Biais, Bruno, and Thierry Foucault, 2014, HFT and market quality, Bankers, Markets, and Investors 128, 5-19.