SPAN简化方法以及盘中风险控制模式研究

发布时间：2018-01-07 18:43

本文关键词：SPAN简化方法以及盘中风险控制模式研究　出处：《证券市场导报》2017年05期 　论文类型：期刊论文

【摘要】：为了更有效率地适应期权业务发展,本文在研究境内外各交易所保证金模型和风险控制模式的基础上,提出一种逐笔计算简化参数SPAN算法。该算法通过业务层面简化和算法层优化,支持逐笔增量式计算。实验结果表明在简化参数的基础上,该算法与传统SPAN算法准确率相差无几,但逐笔计算1的吞吐量提升明显(在(35~41)万/秒之间)。此外,本文还提出了交易前逐笔预收、交易后逐笔返还的逐笔非线性风险控制模式和交易前逐笔预收、交易后实时异步返还的逐笔延迟释放风险控制模式,为相关系统设计者提供决策参考。
[Abstract]:In order to more effectively adapt to the business development options, based on the domestic and foreign exchange margin model and risk control model, put forward a simplified calculation by parameter SPAN algorithm. The algorithm through the business level and simplify the algorithm level optimization, support by incremental calculation. Experimental results show that based on the simplified parameters. The traditional algorithm and the accuracy rate of SPAN algorithm by computing 1 but not much difference between, significantly enhance the throughput (in (35~41) million / seconds). In addition, this paper also put forward the transaction before the transaction in advance, after the return of the transaction by transaction risk nonlinear control mode and the transaction before the transaction in advance, after the return of the asynchronous real-time transaction transaction delay the release of risk control mode, to provide a reference for the relevant system designers.

【作者单位】：大连飞创信息技术有限公司;大连商品交易所;
【分类号】：F724.5
【正文快照】： 引言在交易所的风险管理体系中,保证金是风险控制的核心:一方面,它需要能切实守住交易所的风险底线,保障整个市场的稳定运行;另一方面,它需要在防范风险和保证公平的前提下,让市场更有效率地适应期权等创新业务发展。从系统构成角度,盘中保证金风险控制可分解为保证金模型和盘

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