高频交易的市场影响——以中国为例

Abstract:High-frequency trading is a product of financial markets technical progress，which is a“double-edged sword”on capital market.On the one hand，high-frequency trading can smooth different markets，and provide liquidity in the market，improve the efficiency of price discovery，overcome the influence of human factors in trading.On the other hand，high-frequency trading has also increased market volatility，affect the market fairness，increase technology system stress.Specific to the Chinese market，we analyzed the actual transaction data from June to September 2015 and tried to study the market impact of high-frequency trading in the extreme scenario of the Chinese market，trying to explore the law and characteristics of high-frequency trading and help strengthen and improve regulatory effectiveness in China.

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