HFT 1. はじめに A liquid market is a market where participants can rapidly execute large-volume transactions with a small impact on prices. Bank for Inter
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1 HFT 1. はじめに A liquid market is a market where participants can rapidly execute large-volume transactions with a small impact on prices. Bank for International Settlements HFT 2. 市場の流動性の特徴 Brunnermeier and Pedersen Brunnermeier and Pedersen Market Liquidity and High Frequency Trading A Survey and Proposal of Execution Time as one of its Index. - TEL DI - - Fax - - Kenichi.Tatsumi gakushuin.ac.jp Brunnermeier and Pedersen 1
2 2 1 流動性の3つの特徴 2 2 ファンディングの流動性 margin call Nyborg and Ostberg Florackis, Kontonikas and Kostakis 2
3 HFT Brunnermeier and Pedersen 3. 流動性リスクとそのプレミアムの捉え方 ~ 考慮するべき 4 つの事柄 3 1 時間, 価格と数量の軸 (1) 時間と価格の軸 (2) 数量の軸 ~フリー フロートなど 3 2 その他の軸 ~ 主体の視点 (1) レバレッジなど 3
4 HFT (2) ファンドやポートフォリオの流動性 ~ 捉える主体からの視点 4. 流動性指標の分類 4 1 約定, 注文とその他の区別 ~1つの分類基準 Aitken and Comerton-Forde Chakrabarty, Jain, Shkilko and Sokolov 4
5 HFT 4 2 流動性機能の4 分類 (1) 市場の取引数量 Liu LM volume (2) 買い手と売り手の提示価格の差 tightness tightness 5
6 percentage bid-ask spread effective percentage half-spread realized volatility Roll Corwin and Schultz (3) 市場の復元力 resiliency Amihud ILLIQ price impact return reversal 6
7 HFT price impact normal market size Amihud Kyle Fleming Amihud Kyle (4) 市場の厚み 注文数量 quote depth Fleming p t t q t t, t i. i. d. N, t t t, t i. i. d. N, p t q t 7
8 4 3 HFT の影響 HFT が流動性に与える影響 HFT Hendershott, Jones and Menkveld HFT HFT HFT HFT HFT Engle and Lange 8
9 HFT HFT HFT のファンディングの流動性 HFT HFT HFT HFT 5. 個別機能に関する最近の分析 HFT の復元力 5 1 設定 流動性ショック Clapham, Haferkorn and Zimmermann HFT HFT HFT resiliency HFT Clapham, Haferkorn and Zimmermann Xetra DAX Automated Trading Program ATP 9
10 HFT ATP AT ATP HFT AT 5 2 結論と批評 HFT HFT HFT HFT HFT Clapham, Haferkorn and Zimmermann 6. 約定時間の分析 6 1 約定時間の定義 (1)2つの約定時間 ID 10
11 HFT ID (2) 注文のライフタイム HFT (3) 部分約定 time-to-first-fill time-to-completion time-to-first-fill 6 2 約定時間の決定因 米国の実証 Lo, MacKinlay and Zhang [2002] の研究 Lo, MacKinlay and Zhang survival analysis time-to-first-fill time-to-completion (1) 計測方法 S&P Weibull 11
12 Quote / limit buy price bid price the minimum number of shares that have higher priority for execution / limit buy price / limit buy price offer price / limit buy price offer price highfrequency changes (2) 計測結果 mid-quote limit buy price bid price limit buy price offer price / limit buy price offer price 12
13 HFT Lo, MacKinlay and Zhang フランスの実証 Bessembinder, Panayides and Venkatamaran [2009] の分析 Bessembinder, Panayides and Venkatamaran BPV BPV expected time-to-completion データと計測方法 (1) データ処理と計測 BPV Euronext-Paris Base de Donnees de Marche BDM HFT BPV SLS (2) 指値と注文公開の同時決定 13
14 De Winne and D Hondt BPV 発注から約定までの時間 BPV [2009] の計測方法 Lo, MacKinlay and Zhang an accelerated failure time specification / BPV DuMouchel Chordia, Roll and Subrahmanyam 非表示注文, 平均執行時間などが及ぼす様々な影響 BPV [2009] の計測結果 BPV order submission expected time-to-completion Harris Moinas Hollifield, B., Miller, R. and Sandas, P.,, An empirical analysis of a pure limit order market, Working paper, University of Pennsylvania, Philadelphia, PA. Kalbfleisch, J. and Prentice, R.,, The Statistical Analysis of Failure Time Data, Wiley, New York. Kaplan, E. and Meier, P.,, Nonparametric estimation from incomplete observations, Journal of the American Statistical Association, pp. -. Kavajecz, K.,, A specialist s quoted depth as a strategic choice variable, Working paper, Rodney White Center for Financial Research, Wharton School, University of Pennsylvania, Philadelphia, PA. DuMouchel, W.,, Hierarchical Bayes linear models for meta-analysis, Technical Report. National Institute of Statistical Sciences. Chordia, T., Roll, R. and Subrahmanyam, A.,, Evidence on the speed of convergence to market efficiency, Journal of Financial Economics, pp
15 HFT Lo, MacKinlay and Zhang 6 3 流動性指標としての約定時間 HFT HFT BPV HFT 流動性指標としての特徴 15
16 6 3 2 流動性指標として使うには 16
17 HFT 7. まとめ HFT HFT HFT 参考文献 Aitken, M. and Comerton-Forde, C.,, How should liquidity be measured? Pacific-Basin Finance Journal, pp. -. Amihud, Y.,, Illiquidity and stock returns: Cross-section and time-series effects, Journal of Financial Markets, pp. -. Bank for International Settlements,, Recommendations for the Design of Liquid Markets, Bank for International Settlements CGFS Publications No.,. Bessembinder, H., Panayides, M. and Venkatamaran, K.,, Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets, Journal of Financial Economics, pp. -. Brunnermeier, M. K. and Pedersen, L. H., Market Liquidity and Funding Liquidity, The Review of Financial Studies, pp. -. Chakrabarty, B., Jain, P. K., Shkilko, A. and Sokolov, K.,, Speed of market access and market quality: Evidence from the SEC naked access ban, July, FMA. Clapham, B., Haferkorn, M. and Zimmermann, K.,, Does Speed Matter? The Role of High-Frequency Trading for Order Book Resiliency, Paris, December. Corwin, S. A. and Schultz, P.,, A simple way to estimate bid-ask spreads from daily high and low prices, Journal of Finance, pp. -. De Winne, R. and D Hondt, C.,, Hide-and-Seek in the Market: Placing and Detecting Hidden Orders, Review of Finance, pp. -. Engle, R. F., and Lange, J.,, Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market, NBER Working Paper No.,. 17
18 Fleming, M. J.,, Measuring Treasury Market Liquidity, FRBNY Economic Policy Review, September. Florackis, C., Kontonikas, A. and Kostakis, A.,, Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the - Financial Crisis, Journal of International Money and Finance, pp. -. Glosten, L. R. and Harris, L. E.,, Estimating the components of the bid ask spread, Journal of Financial Economics, pp. -. Glosten, L. R. and Milgrom, P. R.,, Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, pp. -. Grossman, S. J. and Miller, M. H.,, Liquidity and market structure, Journal of Finance, pp. -. Hasbrouck, J.,, The summary informativeness of stock trades: An econometric analysis, Review of Financial Studies, pp. -. Hasbrouck, J.,, Measuring the information-content of stock trades, Journal of Finance, pp. -. Hasbrouck, J.,, Assessing the quality of a security market: A new approach to transaction-cost measurement, Review of Financial Studies, pp. -. Hasbrouck, J.,, Empirical Market Microstructure, Oxford University Press. Hendershott, T., Jones, C. M., and Menkveld, A. J.,, Does Algorithmic Trading Improve Liquidity? The Journal of Finance, pp No. -J- Kyle, A. S.,, Continuous auctions and insider trading, Econometrica, pp. -. Liu, W. M.,, A liquidity-augmented capital asset pricing model, Journal of Financial Economics, pp. -. Lo, A. W., MacKinlay, C. and Zhang, J.,, Econometric models of limit-order executions, Journal of Financial Economics, pp. -. Madhavan, A., Richardson, M. and Roomans, M.,, Why do security prices change? A transaction-level analysis of NYSE stocks, Review of Financial Studies, pp Nyborg, K., G. and Ostberg, P.,, Money and liquidity in financial markets, Journal of Financial Economics Volume, Issue, April, pp. -. Roll, R.,, A simple implicit measure of the effective bid-ask spread in an efficient market, Journal of Finance, pp. -. HFT pp. - Depth HFT pp. - HFT 18
19 HFT pp. - - J- 19
本邦株式市場の流動性に関する動学的考察―東京証券取引所のティック・データ分析―
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Title Author(s) 東京証券取引所における株式取引 : 2001 年から 2003 年 太田, 亘 Citation 大阪大学経済学. 57(4) P.242-P.262 Issue Date 2008-03 Text Version publisher URL https://doi.org/10.18910/15995 DOI 10.18910/15995 rights Vol.57
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濱田弘潤 : 多角化企業の利潤分析 77 多角化企業の利潤分析 多角化ディスカウントの寡占理論による説明 * 濱田弘潤 (diversification discount) Keywords: JEL classifications: D43, L13, L22, G34 950-2181 2 8050 Tel. and fax: 025-262-6538 E-mail: khamada@econ.niigata-u.ac.jp
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