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Market Liquidity and High Frequency Trading - A Survey and Proposal of Execution Time as an Index

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  • Ken-ichi Tatsumi

Abstract

良く引用される次のような文章がある。「流動性の高い市場とは，大口の取引を小さな価格変動で速やかに執行できる市場である（“A liquid market is a market where participants can rapidly execute large-volume transactions with a small impact on prices.” Bank for International Settlements ［1999］）。このように定義される市場の流動性を，最近の研究を展望し，さらに詳しく，さらに深く考察してみよう。そして，１つの流動性指標として約定時間という概念を提案できるかどうか先行研究を展望しながら検討してみる。また最近の大きな市場攪乱要因であるHFT（高頻度取引）活動の興隆が市場の流動性にどう影響したか，それらはどう関係しているのか，それによって流動性指標を見直す必要があるのかを検討して見てみることも，本稿の特徴になる。

Suggested Citation

  • Ken-ichi Tatsumi, 2016. "Market Liquidity and High Frequency Trading - A Survey and Proposal of Execution Time as an Index," Gakushuin Economic Papers, Gakushuin University, Faculty of Economics, vol. 53(1), pages 1-19.
    • Handle: RePEc:abc:gakuep:53-1-1
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