The research results of Associate Professor Wei Lijian and his students were published in the Journal of Management Sciences in China
Recently, Associate Professor Wei Lijian of the School of Business, Zhang Dawei and Zhang Yangfeng - graduates of our school that he supervised, and co-author Professor Luo Xingguo of Zhejiang University published their article "High-frequency Trading and Price Discovery in Stock Index Futures Market" in the Journal of Management Sciences in China.
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This article analyzes the impact of high-frequency trading on price discovery efficiency based on the millisecond high-frequency trading data of stock index futures from 2010 to 2015, and suggests that from the perspective of improving the competitiveness of China's derivatives market, for high-frequency trading, no one-size-fits-all standards should be adopted. Under the condition of restricting high-frequency trading competition, high-frequency trading based on information and arbitrage, and even market making which registered high-frequency trading should be allows to enhance market liquidity. However, order flow-driven high-frequency trading should be strictly restricted to eliminate the negative impact of high-frequency trading.