基于高频交易模式下期货投资组合策略研究

发布时间：2018-03-07 14:28

本文选题：Kelly策略　切入点：投资组合构建　出处：《华南理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：高频交易近两年在国内兴起，势头强劲，然而经历两年后的盈利状况却不容乐观，随着参与者的蜂拥而入以及国内证券市场微观结构的变化，高频交易难度增大并且收益率下降。本文针对这一问题，提出通过Kelly策略优化单一高频策略模型的收益，并且建立基于高频交易的投资组合策略，这也是本文的创新点。现代的投资组合理论大多都是基于Markowitz在1952年提出的均值-方差模型，本文则是从另外一个视角出发，基于美国贝尔实验室工程师Kelly提出的“资金增长最快的投资比例”理论进行投资组合构建策略研究。本文首先介绍投资组合构建的主要研究方法以及发展创新，提出了基于最优增长路径的Kelly投资策略的必要性，并且对有关Kelly策略的国内外研究现状进行了综述，初步论述Kelly策略。接下来，具体介绍Kelly策略。首先从投资单一资产出发，利用收益率服从二项分布的赌局介绍Kelly策略的基本原理，并验证其长期最优性，分析其理论依据与风险。接着，研究了资产组合的Kelly策略，给出计算Kelly策略最优投资比例的一般化方程表达式。进一步给出资产收益率独立且服从于同一二项分布的资产组合下的Kelly投资组合策略，求解并分析其性质。接着引出多期投资组合问题，并建立基于Kelly策略的多期最优投资组合构建策略。对于高频交易的相关知识，本文详细介绍高频交易在我国近两年的发展现状、高频交易的主要特性、高频交易系统以及常用的高频交易模型：均线模型、布林线模型和RSI模型。创新的提出高频交易组合策略，并给出相互独立的两个高频交易策略的最优资金分配模型与求解方法。实证分析环节，选取5分钟的沪深300股指期货数据，通过不同的高频交易策略模型，首先验证Kelly策略在单一高频交易模型应用上的优势，再验证了两个高频交易模型组合策略的可行性。最后，对全文的工作进行了总结，，并对未来研究的方向进行了展望。
[Abstract]:High frequency trading has been rising in China for nearly two years. However, after two years, the profit situation is not optimistic. With the influx of participants and the changes of the microstructure of the domestic securities market, In order to solve this problem, this paper proposes to optimize the returns of a single high-frequency strategy model by using Kelly strategy, and to establish a portfolio strategy based on high-frequency trading, which is also the innovation of this paper. Most of the modern portfolio theories are based on the mean-variance model proposed by Markowitz in 1952. Based on the theory of "the fastest-growing investment ratio" proposed by Bell Labs engineer Kelly, the strategy of portfolio construction is studied. This paper first introduces the main research methods and development innovation of portfolio construction, puts forward the necessity of Kelly investment strategy based on optimal growth path, and summarizes the current research situation of Kelly strategy at home and abroad. The Kelly strategy is discussed preliminarily. Then, the Kelly strategy is introduced in detail. Firstly, the basic principle of Kelly strategy is introduced by using the bet with the binomial distribution of yield service, and its long-term optimality is verified, and its theoretical basis and risk are analyzed. In this paper, the Kelly strategy of portfolio is studied, and the expression of general equation for calculating the optimal investment proportion of Kelly strategy is given. Furthermore, the Kelly portfolio strategy with independent return on assets and under the same binomial distribution is given. Then the multi-period portfolio problem is introduced, and the multi-period optimal portfolio construction strategy based on Kelly strategy is established. For the related knowledge of high-frequency trading, this paper introduces the current situation of high-frequency trading in China in recent two years, the main characteristics of high-frequency trading, the high-frequency trading system and the commonly used high-frequency trading model: the average line model. Brinling line model and RSI model. The combination strategy of high frequency trading is proposed, and the optimal fund allocation model and solution method of two independent high frequency trading strategies are given. In the empirical analysis, we select the Shanghai and Shenzhen 300 stock index futures data for 5 minutes, and verify the advantages of Kelly strategy in the application of the single high-frequency trading model through different high-frequency trading strategy models. The feasibility of the combination strategy of two high frequency trading models is verified. Finally, the work of the paper is summarized, and the future research direction is prospected.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5;F224

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