고빈도 알고리즘 매매의 투기거래 분석: 주가지수 선물시장을 중심으로
The Speculation Performance in High Frequency Trading: Focused on the Stock Index Futures Market
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초록
본 연구는 최근 고빈도 알고리즘 매매(High Frequency Trading)의 선물을 활용한 투기거래가 증가하는 상황에서 주가지수 선물을 대상으로 대표적인 투기거래 전략인 데이트레이딩의 투자 성과를 분석하였다. 본 연구의 주요 결과는 다음과 같다. 첫째, 지수선물시장에서 투기거래 전략인 데이트레이딩은 투자 상품 모두에서 통계적으로 유의한 수준의 이익을 얻은 것으로 나타났다. 둘째, 선행연구들과 마찬가지로 개인투자자와 일반계좌의 데이트레이딩은 유의한 투자 성과를 보이지 않았으나, 외국인 투자자는 모든 계좌의 데이트레이딩 거래에서, HFT 계좌는 모든 투자자의 데이트레이딩 거래에서 통계적으로 유의한 수준의 이익을 얻는 것으로 나타났다. 셋째, 모든 지수선물을 투자하는 데이트레이딩 전략을 지속적으로 활용하면 투자 성과는 통계적으로 유의하게 좋아지는 것으로 나타났다. 선행연구들과 비교하여 고빈도 알고리즘 매매를 보다 명확하게 구분하였다는 점과 HFT의 데이트레이딩 전략이 통계적으로 유의한 수준의 이익을 실현시킨다는 것을 보여준 점은 본 연구의 의의라고 판단된다. 또한 본 연구의 주요 결과를 통하여 HFT 기반의 매매가 더욱 확산되고, 선물거래가 투기거래에 활용될 가능성이 높아질 수 있을 것으로 예상되어 주문 속도 경쟁이 시장 전체적으로 긍정적인 변화로만 볼 수는 없다고 판단된다.
Abstract
This study analyzes the investment performance of day trading using the stock index futures, which is a typical speculative trading strategy, in a situation where speculative transactions of High Frequency Trading using futures are increasing recently. The main results of this study are as follows : First, day trading, which is a speculative trading strategy in the stock index futures market, showed statistically significant profits, and all of investments showed such profits. Second, as in previous studies, individual investors and general accounts of day trading did not show significant investment performance, but foreign investors showed significant profits in all accounts and HFT accounts of all investors also showed significant profits. Third, if all stock index futures are invested and the day trading strategy is continuously used, the investment performance is significantly improved. This study is meaningful in that it clearly distinguishes the HFT compared to previous studies and shows that day trading strategy of HFT realizes statistically significant levels of profits. In addition, the main results of this study suggest that HFT-based tradings will spread more and futures tradings will be more likely to be used in speculative trading, so the competition for an order speed cannot be seen as a positive change in the market as a whole.
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