我国资本市场程序化交易的风险控制策略

发布时间：2018-01-06 01:33

本文关键词：我国资本市场程序化交易的风险控制策略　出处：《证券市场导报》2014年08期 　论文类型：期刊论文

【摘要】：光大证券"816乌龙指事件"引发我国股票市场巨幅波动,将其自营部门使用的量化投资与程序化交易技术暴露在普通股民的视野之中。对程序化交易这种新兴的交易方式,究竟是杀鸡儆猴限制其发展还是加强监管避免系统性风险,成为监管层的一个现实问题。本文提出了基于风险控制的程序化交易的概念,并分为全新的五种类型。基于对国内的程序化交易现状进行了深入调研的基础上,本文详细地分析了七种风险隐患和可能产生的四种后果。本文建议建立多级风险控制体系,由交易所和会员相互协作,建立"事前报备、事中监控、事后熔断"机制,应对程序化交易给市场带来的冲击。同时,修改《证券法》和《期货管理条例》,对程序化异常交易中被交易所熔断技术中止的交易明确处置原则。
[Abstract]:Everbright Securities "816 Oolong finger incident" triggered huge fluctuations in China's stock market. The quantitative investment and programmed trading technology used in its proprietary sector are exposed to the vision of ordinary shareholders. Whether it is a practical problem to limit the development of chicken example monkey or to strengthen supervision to avoid systemic risk. This paper puts forward the concept of programmed transaction based on risk control. It is divided into five new types. Based on the in-depth investigation of the status quo of domestic procedural transactions. In this paper, seven kinds of hidden risks and four possible consequences are analyzed in detail. This paper suggests the establishment of a multi-level risk control system, in which exchanges and members cooperate with each other to establish "prior notification and monitoring in the event". The mechanism of ex post fuse should deal with the impact of procedural trading on the market. At the same time, we should amend the Securities Law and the Futures Management regulations. Make clear the principle of dealing with the transactions which have been suspended by the exchange fuse technology in the programmed abnormal trading.
【作者单位】：中国证监会规划发展委员会;
【分类号】：F832.51
【正文快照】： 程序化交易在国内方兴未艾,但其可能带来的市场风险也在不断增加,2013年8月16日发生的光大证券乌龙指事件就说明了程序化交易必须加强风险控制与监管。错误的策略算法、软件漏洞、硬件故障、操作失误以及不可预测的市场条件都有可能导致程序化交易系统出现故障,而且有可能对市

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