基于套利定价的自动化证券交易研究

发布时间：2018-01-11 12:16

本文关键词：基于套利定价的自动化证券交易研究　出处：《天津大学》2013年硕士论文　论文类型：学位论文

【摘要】：伴随着国内证券市场股指期货、融资融券、转融通等市场基础制度的实施，我国证券市场正式进入了做空时代。这一变化在给各证券经营机构、投资机构、基金公司以及期货公司带来挑战的同时，也给他们带来了历史性的机遇。如何改变自身的盈利结构，改变靠天吃饭的现状，获取稳定的市场收益率，实现证券业务的转型，是当前各证券经营机构迫切需要解决的问题。而自动化证券交易由于在套利交易，量化投资方面的巨大优势使其成为当前证券市场的热点话题。自动化证券交易是证券市场现代化的重要标志之一，它已经成为证券市场创新、发展的一个重要方向。虽然我国自动化证券交易尚处于萌芽期，与境外发达的资本市场相比还有很大的差距。但是，随着近年来中国证券市场创新步伐的加快，我们预计未来几年自动化证券交易将得到飞速发展，该业务有巨大的成长空间。而一系列新技术的应用和新业务的出现将会改变当前证券市场的游戏规则。本文首先对自动化证券交易的国内外发展状况进行了研究，并且深入分析了国内外自动化证券交易的运行环境。指出了国内证券市场发展自动化证券交易过程遇到的阻碍和存在的主要问题。同时本文详细介绍了有效市场理论、套利定价理论、股票价格期现套利原理三大金融学经典基础理论。本文研究的重点在于套利定价理论在自动化证券交易中的应用。设计了基于套利定价理论的自动化证券交易模型，并且通过翔实的数据分析验证了套利模型的正确性。本文最后对交易模型在长城证券的应用做了整体介绍，并对自动化证券交易业务在长城证券的发展情况进行了阐述。给出SUNGARD_ASTP自动化证券交易系统的数学模型，，叙述了SUNGARD_ASTP系统的基本功能。
[Abstract]:With the implementation of the stock index futures, margin financing, conversion and other market basic systems in the domestic securities market, China's securities market has entered an era of shorting. This change is giving securities management institutions and investment institutions. Fund companies and futures companies bring challenges, but also give them a historic opportunity. How to change their profit structure, change the status quo of relying on heaven to get a stable market rate of return. To realize the transformation of securities business is an urgent problem to be solved by various securities management institutions, and automated securities trading is due to arbitrage trading. The huge advantage of quantitative investment makes it a hot topic in the current securities market. Automated securities trading is one of the important symbols of the modernization of the securities market. It has become an important direction of innovation and development of the securities market, although the automated securities trading in China is still in its infancy. Compared with the developed overseas capital market, there is still a big gap. However, with the acceleration of innovation in China's securities market in recent years, we expect that automated securities trading will develop rapidly in the next few years. The application of a series of new technologies and the emergence of new business will change the rules of the current securities market. Firstly, this paper studies the development of automated securities trading at home and abroad. This paper also analyzes the operating environment of automated securities trading at home and abroad, and points out the obstacles and main problems in the development of automated securities trading in domestic securities market. At the same time, this paper introduces the effective market in detail. Theory. Arbitrage pricing theory. This paper focuses on the application of arbitrage pricing theory in automated securities trading. An automated securities trading model based on arbitrage pricing theory is designed. Type. The correctness of the arbitrage model is verified by detailed data analysis. At the end of this paper, the application of trading model in the Great Wall securities is introduced. The development of automated securities trading in the Great Wall securities is described, and the mathematical model of SUNGARD_ASTP automated securities trading system is given. The basic function of SUNGARD_ASTP system is described.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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