高频交易的监管透视——证券市场的结构变革与法律回应  

A Regulatory Perspective on High-Frequency Trading:Structural Changes in the Securities Market and Legal Responses

作　　者：周冰 Zhou Bing

机构地区：[1]北京大学法学院,北京100871

出　　处：《证券市场导报》2024年第2期13-21,共9页Securities Market Herald

摘　　要：高频交易是当前日益显著的证券交易方式,其各类策略的兴起不仅得益于自动化算法带来的速度优势,还与法律提供的特定市场基础结构密切相关。根据微观市场结构理论的分析,高频交易从根本上影响了市场流动性供给与有效价格形成机制,造成了两方面重大监管挑战:一是高频交易者因市场异常波动而大量撤出可能放大市场的流动性危机,乃至形成系统性的市场崩盘风险;二是其算法模型的内在缺陷及其对专业知情交易者的利益损害,可能削弱长期的市场价格发现能力和资源分配效率。面对高频交易对市场质量的潜在负面影响,证券监管需要超越传统的披露范式,着重在证券市场基础结构层面予以回应。具体而言,监管者应当采取交易减速机制作为事后规制策略,确立高频交易者的做市义务与相应的报偿方案,以及保障投资者对市场数据的公平获取。The high-frequency trading(HFT)as an increasingly prominent form of securities trading nowadays,with the rise of its various trading strategies,is not only due to the speed advantage brought by automated algorithms but also closely linked to the specific market infrastructure provided by the law.According to the analysis based on the theory of market microstructure,HFT fundamentally affects the market liquidity supply and efficient price formation mechanisms,posing two significant regulatory challenges.First,a large number of withdrawals by high-frequency traders due to abnormal market volatility could exacerbate market liquidity crises,potentially generating the risk of systemic market collapse.Second,the inherent flaws in their algorithmic models,coupled with the detrimental effect on the interest of professional and informed traders,could undermine long-term market price discovery and resource allocation efficiency.In response to the potential negative impacts of HFT on market quality,securities regulation needs to go beyond the traditional disclosure paradigm and focuses on responding at the level of securities market infrastructure.Specifically,regulators should adopt the transaction deceleration mechanism as an ex-post regulatory strategy,establish market-making obligations for high-frequency traders along with the corresponding compensation schemes,and ensure fair access to market data for investors.

关 键 词：高频交易 程序化交易 微观市场结构 有效市场假说 市场流动性 

分 类 号：DF438.7[政治法律—经济法学]