Dipartimento di Fisica e Chimica, Università degli Studi di Palermo, I-90128 Palermo, Italy.
Turku Centre for Quantum Physics, Department of Physics and Astronomy, University of Turku, FI-20014 Turun Yliopisto, Finland.
Proc Natl Acad Sci U S A. 2021 Jun 29;118(26). doi: 10.1073/pnas.2015573118.
Financial markets have undergone a deep reorganization during the last 20 y. A mixture of technological innovation and regulatory constraints has promoted the diffusion of market fragmentation and high-frequency trading. The new stock market has changed the traditional ecology of market participants and market professionals, and financial markets have evolved into complex sociotechnical institutions characterized by a great heterogeneity in the time scales of market members' interactions that cover more than eight orders of magnitude. We analyze three different datasets for two highly studied market venues recorded in 2004 to 2006, 2010 to 2011, and 2018. Using methods of complex network theory, we show that transactions between specific couples of market members are systematically and persistently overexpressed or underexpressed. Contemporary stock markets are therefore networked markets where liquidity provision of market members has statistically detectable preferences or avoidances with respect to some market members over time with a degree of persistence that can cover several months. We show a sizable increase in both the number and persistence of networked relationships between market members in most recent years and how technological and regulatory innovations affect the networked nature of the markets. Our study also shows that the portfolio of strategic trading decisions of high-frequency traders has evolved over the years, adding to the liquidity provision other market activities that consume market liquidity.
在过去的 20 年里，金融市场经历了深刻的重组。技术创新和监管限制的结合促进了市场碎片化和高频交易的扩散。新的股票市场改变了市场参与者和市场专业人士的传统生态，金融市场已经演变成复杂的社会技术机构，其市场参与者互动的时间尺度具有很大的异质性，涵盖了超过八个数量级。我们分析了三个不同的数据集，这些数据集来自于 2004 年至 2006 年、2010 年至 2011 年和 2018 年两个高度研究的市场场所。使用复杂网络理论的方法，我们表明特定市场成员之间的交易系统地且持续地被过度表达或未被表达。因此，当代股票市场是联网市场，随着时间的推移，市场成员的流动性供应具有可检测到的偏好或回避某些市场成员的倾向，其持久性可以持续几个月。我们展示了近年来市场成员之间联网关系的数量和持久性都有相当大的增加，以及技术和监管创新如何影响市场的联网性质。我们的研究还表明，高频交易者的战略交易决策组合多年来一直在演变，除了提供流动性外，还增加了其他消耗市场流动性的市场活动。
