In the study reported here, we explored high-frequency algorithmic trading and its effect on exchange-traded funds (ETFs). Using the cancel rate, the trade-to-order ratio, percentage odd-lot volume, and trade size as proxies for algorithmic trading, we found that more algorithmic trading in ETFs results in smaller and less persistent deviations of fund prices from their net asset values (NAVs). Arbitrage strategies adopted by algorithmic traders directly help reduce the magnitude and persistence of ETF price deviations from NAVs. Also, algorithmic trading improves ETF liquidity by lowering spreads and facilitates arbitrage.

中文翻译：

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ETF的活跃交易：高频算法交易的作用

在此处报告的研究中，我们探讨了高频算法交易及其对交易所交易基金（ETF）的影响。使用取消率，交易定单比率，奇数交易量百分比和交易规模作为算法交易的代理，我们发现ETF中更多的算法交易会导致基金价格与其净资产的偏差越来越小且持续性较小值（NAV）。算法交易者采用的套利策略直接有助于降低ETF资产净值偏离价格的幅度和持续性。此外，算法交易可通过降低点差来提高ETF的流动性并促进套利。