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Сучасні тенденції електронної торгівлі обіговими фінансовими інструментами // Modern trends of electronic trading by negotiable financial instruments

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  • Кравчук, Ігор Святославович

    (Тернопільський національний економічний університет)

Abstract

Міжнародні ринки обігових фінансових інструментів характеризуються високим рівнем електронізації, що відображається застосуванням консолідованої книги лімітних ордерів, розширенням спектра торговельних ордерів, інтелектуальною маршрутизацією ордерів, високою швидкістю доступу до ринку на основі мінімізації латентності. Наслідком електронізації ринків є розвиток високочастотної торгівлі, позитивними рисами якої є збільшення торговельної активності та ринкової ліквідності, зниження трансакційних витрат тощо. Головним недоліком високочастотної торгівлі є потенційний негативний вплив на ринкову стабільність через ймовірні програмні збої, маніпулятивні можливості алгоритмічних стратегій, зокрема, технічний арбітраж, використання гомогенних стратегій, кібер-ризики. Існуюча система високочастотної торгівлі потребує заходів з боку регуляторних органів щодо подолання інформаційних гепів та посиленого моніторингу для створення регуляторного середовища, яке б враховувало як аспекти підтримки розвитку ринку, так і його стабільності на основі відповідного макропруденційного інструментарію, зокрема, здійснення стрес-тестування реакції високочастотних алгоритмів на шоки різного походження, з урахуванням агрегованого ринкового ефекту взаємного впливу різних алгоритмічних стратегій. International negotiable financial instrument markets have a high level of electronic trading. It is displayed using the consolidated limit order book, the widening the range of trading orders, smart order routing, high speed access to the market on the basis of latency minimizing. The result of electronic trading is the development of high-frequency trading, the positive features of which are the increase of trading activity and market liquidity, and the reducing of transaction costs. The main drawback of high-frequency trading is the potential negative impact on market stability (software failures, the manipulative incentives of algorithmic strategies, in particular, technical arbitrage, the use of homogeneous strategies, cyber risks). The current system of high-frequency trading requires particular actions from the regulators to overcome information gaps and enhanced monitoring to create a regulatory environment that could take into account both the aspects of supporting market development and its stability through appropriate macroprudential instruments, especially the implementation of the stress testing of the high-frequency algorithms in response to the shocks of various origin, taking into account the aggregate market effect of the mutual influence of different algorithmic strategies.

Suggested Citation

  • Кравчук, Ігор Святославович, 2018. "Сучасні тенденції електронної торгівлі обіговими фінансовими інструментами // Modern trends of electronic trading by negotiable financial instruments," Вісник Житомирського державного технологічного університету. Серія: Економічні науки // THE JOURNAL OF ZHYTOMYR STATE TECHNOLOGICAL UNIVERSITY. SERIES: ECONOMICS, Житомирський державний технологічний університет // ZHYTOMYR STATE TECHNOLOGICAL UNIVERSITY, vol. 83(1).
    • Handle: RePEc:scn:000ven:127602
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    References listed on IDEAS

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