论文标题
动态耦合和市场不稳定
Dynamic Coupling and Market Instability
论文作者
论文摘要
我们检查了高频交易者（HFTS）之间的动态耦合和反馈效应，以及它们如何破坏市场。我们开发了一个基于复发关系的动态互动建模的一般框架，并使用它来显示出意外的延迟和反馈如何触发具有库存限制的HFT型市销商之间的振动不稳定性。我们的分析表明，建模的不稳定性是市场的无意出现行为，不取决于HFT策略的复杂性 - 即使显然稳定的策略也很容易受到伤害。反馈不稳定会导致市场价格的重大变动，例如价格飙升和崩溃。
We examine dynamic coupling and feedback effects between High Frequency Traders (HFTs) and how they can destabilize markets. We develop a general framework for modelling dynamic interaction based on recurrence relations, and use this to show how unexpected latency and feedback can trigger oscillatory instability between HFT market makers with inventory constraints. Our analysis suggests that the modelled instability is an unintentional emergent behaviour of the market that does not depend on the complexity of HFT strategies - even apparently stable strategies are vulnerable. Feedback instability can lead to substantial movements in market prices such as price spikes and crashes.
