Algorithmic and High-frequency Trading In HK's Equity Market-关于高频交易在香港市场的应用及现状-2021.06.pdf
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ABOUT THE HONG KONG ACADEMY OF FINANCE
(AOF)
The AoF is set up with full collaboration amongst the HKMA, the
Securities and Futures Commission, the Insurance Authority and
the Mandatory Provident Fund Schemes Authority. By bringing
together the strengths of the industry, the regulatory
community, professional bodies and the academia, it aims to
serve as (i) a centre of excellence for developing nancial
leadership; and (ii) a repository of knowledge in monetary and
nancial research, including applied research.
ABOUT THE HONG KONG INSTITUTE FOR
MONETARY AND FINANCIAL RESEARCH (HKIMR)
The HKIMR is the research arm of the AoF. Its main remit is to
conduct research in the elds of monetary policy, banking and
nance that are of strategic importance to Hong Kong and the
Asia region. The Applied Research studies undertaken by the
HKIMR are on topics that are highly relevant to the nancial
industry and regulators in Hong Kong, and they aim to provide
insights on the long-term development strategy and direction
of Hong Kong’s nancial industry.
June 2021
Hong Kong Institute for Monetary and Financial Research
HKIMR Applied Research Report No. 1/2021
Algorithmic and High-frequency Trading
in Hong Kong’s Equity Market:
Adoption, market impact and risk management
HKIMRAT/HFT
1
CONTENTS
Page
Foreword 2
Acknowledgements 3
Executive Summary 4
1. Algorithmic and High-frequency Trading in International Financial
Markets: A Bird’s Eye View
Characteristics and impact on the quality of financial markets
6
2. Algorithmic and High-frequency Trading in Hong Kong’s Equity
Market: Statistical Evidence and Market Views
Prevalence, relationship with the liquidity and volatility of the equity
market and views from market participants
14
3. Risks Emerging from Algorithmic and High-frequency Trading and
Mitigating Measures
Potential risks, mitigating measures and regulatory oversight
26
Conclusions 39
Appendix A: Statistical Analysis of the Relationship between Algorithmic
and High-frequency Trading and Market Liquidity and
Volatility
40
Appendix B: Background of the Algorithmic and High-frequency Trading
Survey
41
Appendix C: Glossary of Technical Terms 42
Appendix D: References 44
of 49
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