全球主要交易所减速带机制发展及特征研究  

Research on the development and characteristics of speed bump mechanism of major global exchanges

作　　者：欧阳山山 OUYANG Shanshan(Zhe Jiang State-owned Capital and SOE Research Institute,Hangzhou 310015,China;Fudan University,School of Management,Shanghai 200433,China)

机构地区：[1]浙江省国资国企研究院有限公司,杭州310015 [2]复旦大学管理学院,上海200433

出　　处：《中国证券期货》2025年第1期10-15,共6页Securities & Futures of China

基　　金：上海市“超级博士后”项目。

摘　　要：自2016年投资者交易所(IEX)对所有订单实施350微秒延迟以来,交易减速带(Speed Bumps)机制逐渐进入行业和监管机构视野,并引发热议。本文通过梳理全球主要交易所减速带机制发现:根据减速措施的异同,减速带机制主要包括硬件和软件两种实现方式。根据减速对象的不同,减速带机制又可以分为对称式减速带和非对称式减速带。其中,对称式减速带旨在抑制高频交易者跨市场套利行为,保障市场公平性,如IEX和纽约证券交易所(NYSE)实施的减速带机制;非对称式减速带旨在限制流动性消耗订单,提升市场流动性,如洲际交易所(ICE)、欧洲期货交易所(Eurex)等实施的减速带机制。从运行效果看,减速带机制的实施对高频交易者跨市场套利的抑制效果显著,但在市场流动性改善方面存在分歧。本文旨在梳理交易减速带机制产生的背景和原因、制度特点和各交易所的实践,通过规章制度的前瞻性研究,服务我国金融期货产品业务创新发展。Since the Investor s Exchange(IEX)implemented a 350-microsecond delay for all orders in 2016,the concept of trading speed bumps has gradually come into the focus of the industry and regulatory authorities,sparking considerable debate.This study reviews the speed bump mechanisms in global major exchanges and finds that,depending on the differences in deceleration measures,speed bump mechanisms mainly include two implementation methods:hardware and software.According to the different targets of deceleration,speed bump mechanisms can be further divided into symmetric and asymmetric speed bumps.Symmetric speed bumps aim to curb the cross-market arbitrage activities of high-frequency traders and ensure market fairness,such as the mechanisms implemented by IEX and the New York Stock Exchange(NYSE).Asymmetric speed bumps aim to limit liquidity-consuming orders and enhance market liquidity,such as the mechanisms implemented by the Intercontinental Exchange(ICE)and the European Futures Exchange(Eurex).In terms of operational effects,the implementation of speed bump mechanisms has significantly suppressed cross-market arbitrage by high-frequency traders,but there are disagreements regarding the improvement of market liquidity.This research aims to sort out the background and reasons for the emergence of trading speed bump mechanisms,their institutional characteristics,and the practices of various exchanges,conducting forward-looking research on regulatory systems to serve the innovative development of China's financial futures products and services.

关 键 词：交易所 减速带机制 发展历程 

分 类 号：F831.51[经济管理—金融学]