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精算论坛讲座第180期--Xuezhong He (12月4日)

发布时间:2020-11-26 10:28    浏览次数:[]

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精算论坛讲座第180

(2020124)

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报告题目: The Fast and the Furious: Exchange Latency and Ever-fast Trading

报告人:Xuezhong He (澳大利亚悉尼科技大学)

Xuezhong He教授现任悉尼科技大学商学院教授,主要活跃于金融市场建模、异质信念下的资产定价理论与实证分析以及非线性经济动力学等领域,在Journal of Economic Dynamics and Control、Journal of Economic Behavior and Organization、SIAM、Journal of Evolutionary Economics和Journal of Banking and Finance等国际主流学术期刊上发表论文70余篇,撰写了10余本学术书籍的章节。此外,Xuezhong He教授担任了本领域三大顶尖国际学术期刊之一Journal of Economic Dynamics and Control的主编(Co-Editor);还担任国际学术期刊Journal of Economic Interaction and Coordination和Journal Differential Equations and Dynamical Systems的副主编(Associate Editor)。  

摘要:

This paper examines how technological innovations drive fast trading investment for both speculators and exchanges and their impact on market. The negative externality of the speed acquisition from fast speculators can result in excessive investment, which is intensified as speculators’ speed technology advances. As exchange’s speed technology advances, faster exchange makes faster speculators more concentrated; that is, higher exchange speed shrinks market fraction of fast speculators but stimulates their optimal trading speed. As the result, market liquidity is improved but price discovery is reduced. Policy makers aiming to balance price discovery and deadweight loss from costly speed investment may lead to a mismatch between the desired exchange speed for policy makers and the optimal speed supplied by exchange, echoing the concerns of market regulations about market failure on speed arms race.

报告时间:2020年12月4日 10:00--11:30

报告地点:腾讯会议(会议ID:833 119 874)

邀请人:郑敏

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