The Analysis About Effect Of High-frequency Trading On The Stock Index Futures Market

High-frequency trading as a new trade model is popular in the mature securities markets of Europe and the US,and greatly challenging the trading system,trading platform performance,exchange technology and market supervision.With the introduction of the stock index futures market in April 16,2010,the HFT is developing rapidly in China.But the risk events are also more and more,Such as the “Oolong index”event of the China Everbright Securitiest and the stock market crash from June to August 2015 in china.Regulators continuously introduced regulations to limit the HFT.Therefore,it has become particularly important to study the effect of HFT on financial markets.In this paper,based on the cross-market model of stock market and stock index futures market,we creatively combine the empirical method of event study with agentbased computational finance method,and systematically study the the effect of HFT on stock index futures market.we first use the method of event study,which is the limit event ahout the HFT,to research how market quality changes when the HFT is significantly reduced,.Then with the help of the new agent-based computational finance method and the artificial stock-index futures platform,we introduce the highfrequency traders to index futures market,and study the effect of HFT on the quality of the stock index futures market,and further study the effect of HFT quantity changes on the market quality.Compared to previous research,the innovation of this paper lies in the combination of empirical and computational experiments.The two methods complement each other.At the same time,we consider the linkage effect of the stock market and index stock futures market,and creatively discuss the impact of high-frequency trading on the stock index futures market.This paper has three main findings.Firstly,HFT can increase the speed of information diffusion and the price discovery efficiency in the index futures market,while too much HFT will reduce the efficiency of price discovery;Secondly,HFT can improve market liquidity,but with the increase in the number of HFT will make liquidity declined.Thirdly,HFT can increase the volatility of the market,but with the increase in the number of HFT,market volatility is stronger.In general,HFT can improve market quality,but an excess of HFT will reduce the market quality.Finally,this paper puts forward some suggestions on how to regulate the high frequency trading and promote the healthy development of the market.