台灣選擇權市場高頻交易者之委託與成交分析

Abstract

由於電子化金融的盛行，高頻交易在全球所占的交易比重逐年增加，高頻交易者透過演算法的輔助，每年可獲得龐大的利潤，而其所使用之策略亦十分多元化，因此高頻交易者的活動、策略與其對市場的影響，近年來在學術界被廣泛討論。本研究使用台灣選擇權市場之台指選擇權委託資料，從中篩選出高頻交易者，並分析不同市場情況(諸如市場漲跌、波動率高低)時，高頻交易者與非高頻交易者之委託與成交活動差異。此外，本研究亦參考台指選擇權之造市者制度，將高頻交易者之委託單區分為造市策略委託單與投機策略委託單，探討兩種策略類型之委託與成交數量，在市場處於不同情況下，是否存在明顯的不同。本研究發現，股市上漲與下跌時，高頻交易者與非高頻交易者之委託與成交並沒有改變；但股市波動度較高之交易日，兩類交易者的成交活動皆較為活躍；而不論市場狀況如何，高頻交易者與非高頻交易者之委託與成交，均存在非常顯著的差異。最後，高頻交易者使用造市策略與投機策略時，其委託活動相近，但投機策略的成交量與單數皆高於造市策略。

Due to the prevalence of the electronic finance, the transaction proportion of high frequency trading around the world is raising year by year. High frequency traders (HFTs) could benefit greatly with the help of algorithms and the variety of their trading strategies. Therefore, the behavior, strategy and market impact of the high frequency traders are extensively discussed in academia recently. This research sifts the high frequency traders from the participants in Taiwan option market, and analyzes the ordering and trading difference between the HFTs and non-HFTs when the market situation changed. The research also distinguishes the orders for market making strategy and opportunistic strategy in HFTs orders, based on the market maker rule in Taiwan option market. We find that the order submission of HFTs and non-HFTs are not different in rising and declining stock market. Both traders are more active in the trading days with high market volatility. HFTs are persistently more active than non-HFTs, regardless the changes in market situation. Finally, HFTs’ ordering volume is similar when they implement market making and opportunistic strategies, however, HFTs’ trading volume is substantially larger when they implement opportunistic strategies than market making strategies.