高频交易对市场微观结构的影响分析及高频交易的监管建议

发布时间：2017-12-27 14:09

本文关键词：高频交易对市场微观结构的影响分析及高频交易的监管建议　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：2013年8月16日,光大证券的“乌龙指”事件使得高频交易再次成为市场关注的焦点。高频交易自问世以来,由于其强大的盈利能力,在全球金融市场得到了迅速发展。据波士顿咨询公司(BCG)预测2015年美国和欧洲的高频交易比例都将达到60%以上,亚洲将超过20%。我国由于交易制度等方面的原因,高频交易的发展还处于起步阶段。高频交易为市场提供了流动性,缩小了买卖价差,降低了交易成本,有效提升了市场效率,但同时也会加剧市场波动,甚至影响市场的公平性。我国股指期货市场的交易机制具备高频交易的基本特征,本文通过对沪深300股指期货跨期套利高频交易策略的实证分析,证明了高频交易适用于我国的股指期货市场,并且具有较强的盈利能力。通过对我国股指期货市场基于Garch模型的实证分析,证明了股指期货合约的价格波动率与成交量之间存在显著的正相关关系,高频交易在为市场提供流动性的同时加剧了价格波动。美国高频交易的快速发展与市场微观结构的改变密切相关,许多研究都已经表明高频交易的速度对市场公平性有一定的影响。通过对高频交易的某些交易策略的分析发现高频交易者所利用的特殊指令类型也会有损市场的公平性。未来高频交易在我国证券市场的应用必定会不断发展,光大证券的“乌龙指”事件让我们看到了高频交易可能对市场带来的巨大影响。2010年的“闪跌”事件以后,美国加强了对高频交易的监管。我国目前并没有针对高频交易监管相关的法律法规,本文分析汇总了欧美关于高频交易监管的最新趋势,为我国发展高频交易提供监管建议。
[Abstract]:In August 16, 2013, the "Wulong" event of Everbright Securities made high-frequency trading the focus of the market again. High frequency trading has developed rapidly in the global financial market since its strong profitability. According to the Boston consulting firm (BCG), the ratio of high frequency transactions between the United States and Europe will reach more than 60% in 2015, and more than 20% in Asia. The development of high frequency trading is still in its infancy due to the reasons of trading system in China. High frequency trading provides liquidity for the market, narrowing the bid ask spread, reducing transaction costs, and effectively improving market efficiency, but at the same time, it will also exacerbate market volatility and even affect the fairness of the market. The trading mechanism of China's stock index futures market has the basic characteristics of high-frequency trading. Based on the empirical analysis of HSI 300 stock index futures intertemporal arbitrage and high-frequency trading strategy, it is proved that HF trading is applicable to China's stock index futures market, and has strong profitability. Based on the empirical analysis of China's stock index futures market based on the Garch model, it is proved that there is a significant positive correlation between the price volatility and trading volume of stock index futures contracts, while high-frequency trading increases liquidity while providing liquidity for the market. The rapid development of high-frequency trading in the US is closely related to the change of market microstructure. Many studies have shown that the speed of high-frequency trading has a certain impact on the fairness of the market. Through the analysis of some trading strategies in high frequency trading, it is found that the particular type of instruction used by high frequency traders also undermines the fairness of the market. The application of future high-frequency trading in China's securities market is bound to develop. The "Oolong" incident of Everbright Securities shows us the huge impact of high-frequency trading on the market. After the "flashing" incident in 2010, the United States strengthened its regulation of high frequency transactions. At present, there are no laws and regulations related to high-frequency trading regulation in China. This article analyzes and summarizes the latest trend of high-frequency trading regulation in Europe and America, and provides regulatory recommendations for developing high-frequency trading in China.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】