Analyzing High-frequency Trading and Short-term Stock Prices

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  • 高頻度取引の特徴分析と株価の短時間予測

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アルゴリズムを利用して株取引を行う高頻度取引（HFT）は，株式市場の主たる取引手法として，その挙動分析の重要性が高まっている．また，比較的新しい取引形態であり，株式売買システムの高速化等の影響で，その挙動は変化していると考えられる．本研究では東京証券取引所の株式売買システム更新が過去のHFT研究に及ぼした影響を分析するとともに，従来検討が不十分であった，注文価格と直近の約定価格からの差，HFT業者・非HFT業者の市場参加率，の2属性について分析し，(1)株式売買システム更新前後で，市場構造は変化し，既存研究で提案された手法の予測精度は低下したが，依然として予測能力を維持していること，(2)上記2属性が予測精度の向上をもたらすこと，を報告する．

High-frequency trading (HFT), which trades stocks using algorithms, is becoming more important as a major trading method in the stock market. HFT is a relatively new trading form, and its behavior is thought to have changed due to the effects of speeding up the stock trading system. We analyzed the impact of upgrading the stock trading system on the Tokyo Stock Exchange on previous HFT research. We utilized two attributes, the difference between the bid price and the most recent contract price and the market participation rate of HFT and non-HFT traders, which were previously under-examined. The market structure changed due to the upgrade of the stock trading system. The prediction accuracy of the method proposed in the previous research decreased, but the prediction ability was still maintained. In addition, the above two attributes improve the prediction accuracy.

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