- 學位論文
高頻交易發展趨勢對臺灣金融市場的影響與因應對策之研究
A study on the Impact of the High-Frequency Trading on Taiwan’s Finanical Market and its Possible Response Strategies
摘要
高頻交易(High Frequency Trading，HFT)，是從1980年代以來快速發展的創新技術和交易方式，隨著資訊科技的進步與網路的普及，交易方式從人工喊價進化到高速的電子化交易時代。隨著法規的鬆綁，高頻交易在歐美快速成長，而市場組織和結構也從單一交易所進展到多個交易所和數十個另類交易所。 本研究主要目的係了解電腦技術、市場結構和法規環境三個要素如何影響高頻交易的發展，以及高頻交易對市場效率和公平性等的正、負面衝擊，對市場的創新效果和利弊得失，從美國處理閃崩事件了解監管機關的管理思維和對策。 從文獻探討確認研究主題三要素趨動力源自電腦科技和演算法交易的結合，創造了21世紀嶄新的交易型態，快速而又程序複雜的高頻交易。 經由訪談產、官、學及專家們，發現高頻交易對增加市場流動性、改善市場效率性、縮小買賣價差、可提高交易所收入的正面影響，以及對機構投資人造成衝擊、增加市場波動風險、公平性的爭議、系統性風險等正、負面影響，與過去的研究具有一致性。 另從先進國家高頻交易發展要素與我國之比較，擬議我國在高頻交易潮流中的因應策略，並提出主管機關領導規劃、各交易所的任務與分工等綜合建議。希望有助於臺灣金融市場有效利用高頻交易的好處，又可維持市場的安全和穩健發展。
並列摘要
HFT (High Frequency Trading, HFT), the rapid development of innovative technology and transactions from 1980, with the advancement of information technology and the popularity of the Internet, transactions from the human outcry evolution to high-speed electronic trading . With the relaxation of regulations, the rapid growth of high-frequency trading in Europe market, the market organization and structure from a single Exchange progressed to multiple exchanges and dozens of alternative exchange. This study aims to understand those three factors (the computer technology, market structure and the regulatory environment) how to affect the development of high-frequency trading, and the impact of market efficiency and fairness, The advantages and disadvantages of market's effectiveness and innovation, via the management principle and strategy of Unite States regulatory authorities to deal the flash crash trading event. Through the literature research to confirmed the driving force come from three key factors of computer technology and the combination of algorithmic trading, creating the new transactions model by quickly and complexity of HFT (High Frequency Trading, HFT). The high-frequency trading can increase market liquidity, improve market efficiency, decrease the bid-ask spread, and improve the positive impact of exchange revenue, as well as impact on institutional investors to increase market volatility risk, fairness controversy, systemic risk and other positive and negative effects through the interviews with industry, government, academia and experts, consistent with past research. Compare the key developmental factors of high-frequency trading with other advanced countries, to proposed the leadership plan, division of tasks and made comprehensive recommendations for the competent authority. Wish this research is useful for Taiwan's financial market regarding the benefits of high-frequency trading, and also can maintain the market development by safety and steady.