Концепции и практика микроструктурного подхода: краткий обзор (часть 1)
Mayorov S.I.1
1 Департамент стратегии Московская Биржа
Journal paper
*
Volume 5, Number 1 (January-March 2018)
* Этот журнал не выпускается в Первом экономическом издательстве
Abstract:
The article gives an overview of market microstructure approach where modern financial infrastructure (trading, clearing and settlement) for the first time has become an object of dedicated research - contrary to traditional microeconomic models dealing with abstract demand, supply, etc apart from market realities. Market microstructure approach focuses on analysis of market frictions impacting on how new equilibriums are being come upon. Market frictions exist due to fragmented market structure and to information asymmetries. Respectively, the article compares ‘market microstructure’ and ‘market structure’, reveals drivers of spatial and temporal fragmentation (including breakdown of modern trading protocols and participation models), analyzes information (self-) learning of market and adverse selection, makes distinctions between ‘market quality’, ‘market efficiency’ and ‘market liquidity’, traces how market efficiency concept was evolving when market frictions drew attention. How market microstructure approach may work is demonstrated in the course of high-frequency trading (HFT) case study. HFT has brought new evidences that market structure mattered – both as an environment where tech innovations are only possible and as mechanisms to be adjusted to new challenges – and outlined directions for further elaborations about basic microstructural concepts. The article associates HFT with market fragmentation, describes impact of HFT on participation structure and market quality, summarizes predatory and similar practices of HFT and instruments to mitigate them, clarifies specifics of information asymmetry and adverse selection within HFT framework.
Keywords: High Frequency Trading, market microstructure; market structure; market quality, efficiency and liquidity; information asymmetry
JEL-classification: D53, D82, D47, D01
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