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Material Signals: A Historical Sociology of High-Frequency Trading
American Journal of Sociology ( IF 4.800 ) Pub Date : 2018-05-01 , DOI: 10.1086/697318
Donald MacKenzie

Drawing on interviews with 194 market participants (including 54 practitioners of high-frequency trading or HFT), this article first identifies the main classes of “signals” (patterns of data) that influence how HFT algorithms buy and sell shares and interact with each other. Second, it investigates historically the processes that have led to three of the most important categories of these signals, finding that they arise from three features of U.S. share trading that are the result of episodes of meso-level conflict. Third, the article demonstrates the contingency of these features by briefly comparing HFT in share trading to HFT in futures, Treasurys, and foreign exchange. The article thus argues that how HFT algorithms act and interact is a specific, contingent product not just of the current but also of the past interaction of people, organizations, algorithms, and machines.

中文翻译:

物质信号:高频交易的历史社会学

本文通过对 194 名市场参与者(包括 54 名高频交易或 HFT 从业者)的采访,首先确定了影响 HFT 算法如何买卖股票以及相互交互的“信号”(数据模式)的主要类别. 其次,它从历史上调查了导致这些信号中三个最重要类别的过程,发现它们源于美国股票交易的三个特征,这些特征是中间级别冲突事件的结果。第三,本文通过简要比较股票交易中的高频交易与期货、国债和外汇交易中的高频交易来证明这些特征的偶然性。因此,本文认为 HFT 算法的行为和交互方式是一种特定的、偶然的产物,不仅是当前的,也是过去的人们交互的产物,
更新日期:2018-05-01
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