지수선물시장에서의 동반매매와 속도 경쟁 = Parallel Trading and Speed Competition in the Korean Index Futures Market

다국어 초록 (Multilingual Abstract)

This study examines the behavior of parallel tradings in the KOSPI 200 stock index futures market and the speed competition among traders participating in the trades. The parallel trading, defined as the batch of multiple orders with same price and direction submitted nearly simultaneously by multiple traders occurs 6,663 times (i.e., every 3.56 seconds), everyday during the continuous trading session. We find that the parallel trading account for 41% of the total trading volume in the KOSPI 200 futures contract between May 2019 and September 2020, 97% of orders in the trades are placed by foreign investors, and 68% of them are IOC orders. The average number of order messages in a parallel trading is 6.9, the average elapsed time is 3.56ms (milliseconds), and only about 30% of orders in the parallel trading lead to the real execution of trading due to the speed competition. The probit analysis between the direction of parallel trading and the change in the order flow imbalance, for the time period between 10ms before and 1ms before a parallel trading, reveals that some parallel tradings are significantly related to the order flow imbalance. In addition, the order processing speed of some competitive traders is estimated to be less than 1ms.

참고문헌 (Reference)

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