美国证券交易监督委员会：2020年美国资本市场算法交易员工报告（英文版）（99页）.pdf

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1、 1 Staff Report on Algorithmic Trading in U.S. Capital Markets As Required by Section 502 of the Economic Growth, Regulatory Relief, and Consumer Protection Act of 2018 This is a report by the Staff of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the an

2、alysis, findings, or conclusions contained herein. August 5, 2020 2 Table of Contents I. Introduction . 3 A. Congressional Mandate . 3 B. Overview . 4 C. Algorithmic Trading and Markets . 5 II. Overview of Equity Market Structure . 7 A. Trading Centers . 9 B. Market Data . 19 III. Overview of Debt M

3、arket Structure . 23 A. Types of Debt Securities or Instruments . 23 B. Data and Communications . 28 IV. Benefits and Risks of Algorithmic Trading in Equities . 30 A. Investors . 30 B. Brokers . 36 C. Principal Trading . 37 D. Operational Risks to Firms and the Market . 42 E. Studies of Effects on M

4、arket Quality and Provision of Liquidity . 44 F. Effects of the COVID-19 Pandemic . 47 V. Benefits and Risks of Algorithmic Trading in Corporate and Municipal Bonds. 51 A. Liquidity Search and Trade Execution . 51 B. ETF Market Making and Arbitrage . 53 C. Studies of Effects on Market Quality and Pr

5、ovision of Liquidity . 53 VI. Regulatory Responses to Market Complexity, Volatility, and Instability . 55 A. Improving Market Transparency. 55 B. Mitigating Price Volatility . 60 C. Facilitating Market Stability and Security . 63 D. Additional Ongoing and Potential Commission and Staff Actions . 67

6、VII. Summary of Studies on Algorithmic Trading . 69 A. Equities . 69 B. Debt Securities . 82 VIII. Conclusion . 83 IX. Bibliography to Summary of Academic Studies . 85 X. Appendix: Market Participants, Roles, and Obligations . 92 3 I. Introduction A. Congressional Mandate The Economic Growth, Regula