This paper aims to show that market power exists in financial markets and analyze how spoofing is used by a high-frequency trader to build market power by taking advantage of both behavioral weaknesses of individual investors and microstructural loopholes of trading venues.,After showing that market power exists in the financial market, this paper centers around the question of how market power is constructed in the financial market. To sharpen the answer to the question, the paper compares the conditions needed for market power construction in the financial market with those needed in the goods market. The paper selects spoofing, the frequently used order-based tactic in high-frequency trading strategies, to analyze in detail how spoof orders can ignite herding with market power building as the essence. The Flash Crash that occurred in the New York Stock Exchange on May 6, 2010 provides an excellent case of market power construction exhibited in spoofing.,The behavioral mechanism of market power construction in the case of spoofing is perception alignment. It becomes effective when two necessary conditions are met: the spoof trader takes advantage of the incomplete order display set up by the exchange; and the behavioral weaknesses exhibited by numerous individual investors. In addition to these key conditions, this paper finds other ones for market power to be created in the financial market. They are easier, quicker, more secret, more flexible and less risky relative to the conditions for market power building in the goods market.,The detailed analysis points to the behavioral mechanism, i.e. perception alignment, and microstructural mechanism, i.e. incomplete order display, that could be responsive to regulation.,The originality of the findings is to uncover the mechanism of spoofing in taking advantage of behavioral biases of individual investors. The value is to gain more complete understanding of the essence of herding caused by spoofing.

中文翻译：

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欺骗：通过感知一致建立有效的市场力量

本文旨在证明金融市场中存在市场支配力，并分析高频交易者如何利用欺骗手段利用个人投资者的行为弱点和交易场所的微观结构漏洞来建立市场支配力。金融市场中存在着市场力量，本文围绕如何在金融市场中构建市场力量这一问题展开讨论。为了弄清楚这个问题的答案，本文将金融市场和商品市场的市场支配力所需的条件进行了比较。本文选择了欺骗，这是高频交易策略中经常使用的基于订单的策略，详细分析了欺骗订单如何以市场势力建设为根基来引发羊群效应。2010年5月6日发生在纽约证券交易所的Flash崩溃提供了一个很好的案例，显示了欺骗中的市场力量构建。在欺骗情况下，市场力量构建的行为机制是感知一致。当满足两个必要条件时，该功能将生效：欺骗交易者利用交易所设置的不完整订单显示；以及众多个人投资者表现出的行为缺陷。除了这些关键条件外，本文还找到了在金融市场中建立市场支配力的其他条件。相对于商品市场中建立市场支配力的条件，它们更容易，更快捷，更秘密，更灵活且风险更低。详细分析指出了行为机制，即知觉一致性和微观结构机制，即发现不完整的订单显示，这可能是对法规的响应。研究结果的独创性在于揭示利用个体投资者的行为偏见进行欺骗的机制。其价值是使您更全面地了解由欺骗引起的羊群效应。