高频交易在中国证券市场的应用研究

发布时间：2018-05-10 10:07

本文选题：高频交易 + 程序交易　；参考：《上海交通大学》2012年硕士论文

【摘要】：中国的金融市场经过几十年的飞速发展，已经成为国际市场中一个不可获取的组成部分。随着交易品种的增多和技术的进步，更多的交易方法开始涌现出来。特别是在股指期货推出之后，越来越多的机构将逐步参与到期货品种的高频交易中来，CTA是未来机构的发展方向之一。对课题的研究具有一定的实践参考意义。本论文首先介绍了高频交易这一新兴名词的由来，定义，以及同程序化交易和算法交易的区别。高频交易作为一种新兴的算法交易，具有高度量化、低延迟、市场中性、不隔夜持仓等特点。策略是高频交易的核心，其关系着交易的利润和风险。在高频交易策略领域，策略一般主要分为：做市商策略、事件套利和统计套利。高频交易开始于欧美金融市场，并得到大力的发展，在高频交易占有较大市场交易量的同时，也出现了一些问题和风险。然后论文对国内高频交易的现状进行了介绍和应用分析。国内的证券市场比较年轻，已经有较多的交易者进行量化交易，然而对高频交易由于环境等多方面的原因，至今还没有得到发展，，但是随着市场的逐渐成熟，高频交易将有不错的前途。作为应用的重要部分，一个具有实时性、自动化、稳健性、高性能等特点的高频交易系统主要包括：（1）实时市场报价系统：由于高频交易系统可能交易不同交易所的产品，实时市场报价系统将连接不同的交易所报价数据接口，整合到统一的平台，并发送到相关下游系统。（2）高频交易策略系统：是系统中的核心系统，主要包含了相关的交易策略逻辑，其根据市场报价等信息，迅速做出交易判断生成相应指令，发送到交易单管理系统。（3）交易单管理系统：接受来自上游系统如高频交易策略系统的指令单信息，并通过相关的交易所接口发送，然后接受回复并转发给上游系统。最后采用趋势跟踪策略对股指期货进行模拟，以简单演示论证论文的分析设计思想。结果显示了在应用相关交易系统和策略情况下，可以实现盈利的投资方式。
[Abstract]:After decades of rapid development, China's financial market has become an inaccessible part of the international market. With the increasing variety of trading and technological progress, more trading methods began to emerge. Especially after the introduction of stock index futures, more and more institutions will gradually participate in the high-frequency trading of futures. CTA is one of the development directions of future institutions. The research on the subject has certain practical reference significance. This paper first introduces the origin and definition of high frequency trading, as well as the difference from programmed transaction and algorithmic transaction. As a new algorithm, high frequency trading has the characteristics of high quantification, low delay, market neutrality and no overnight position. Strategy is the core of high-frequency trading, which is related to the profits and risks of trading. In the field of high-frequency trading strategy, the strategy is generally divided into: market maker strategy, event arbitrage and statistical arbitrage. High frequency trading began in European and American financial markets, and developed greatly. While high frequency trading occupies a large market volume, there are some problems and risks at the same time. Then the paper introduces and analyzes the current situation of high-frequency trading in China. The domestic securities market is relatively young, and there have been more traders engaged in quantitative trading. However, the high-frequency trading has not been developed so far due to various reasons, such as the environment, but as the market matures, High-frequency trading will have a good future. As an important part of the application, a high frequency trading system with real-time, automation, robustness and high performance mainly includes: Real time market quotation system: because the high frequency trading system may trade the products of different exchanges, the real time market quotation system will connect different exchange quotation data interface, integrate to the unified platform, and send to the related downstream system. High frequency trading strategy system: it is the core system of the system, which mainly contains the related transaction strategy logic. According to the information such as market quotation, it makes the transaction judgment quickly and generates the corresponding order, and sends it to the transaction order management system. Transaction order management system: receiving instruction list information from upstream system such as high frequency trading strategy system, sending it through the relevant exchange interface, receiving reply and forwarding it to upstream system. Finally, the trend tracking strategy is used to simulate the stock index futures to demonstrate the analysis and design idea of the paper. The results show that the profitable investment mode can be realized with the application of related trading systems and strategies.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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