Journal of Financial & Quantitative Analysis. Volume 53, Issue 2 April 2018

高频报价：买卖报价中的短期波动率

作者：Joel Hasbrouck (Foster School of Business, University of Washington)

摘要：从亚秒的维度来看，美国证券市场的买卖报价的波动比长期基本面中隐含的波动更大。从评估成本和结果的角度出发，本文发现交易员的随机延迟与报价波动率相互作用，并由此带来了执行价格风险和相对延迟成本。对报价员的行为分析表明这种波动性更容易在埃奇沃思周期的反复循环筑底的过程中出现，而在混合策略的限价订单处置中出现较少。

High-Frequency Quoting: Short-Term Volatility in Bids and Offers

Joel Hasbrouck (Foster School of Business, University of Washington)

ABSTRACT

At subsecond horizons, bids and offers in U.S. equity markets are more volatile than what would be implied by long-term fundamentals. To assess costs and consequences, this paper suggests that traders’ random delays (latencies) interact with quote volatility to generate execution price risk and relative latency costs. Analysis of the behavior of quote setters suggests that this volatility is more likely to arise from recurrent cycles of undercutting similar to the Edgeworth cycles found in product markets rather than mixed strategies of limit-order placement.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/highfrequency-quoting-shortterm-volatility-in-bids-and-offers/B4BD84DAD1B0C6577EA51A47C0A8B70C

翻译：汪国颂