基于指令流毒性指标的量化交易监管实证研究——以“光大乌龙指”事件为例

发布时间：2018-04-27 02:03

本文选题：指令流毒性 + 量化监管　；参考：《时代金融》2015年36期

【摘要】：为验证指令流毒性指标对我国量化交易中所存在的风险具有有效性和准确性的预警作用,本文基于信息不对称条件下的指令流毒性检验的算法模型VPIN的基础上,优化模型参数的评价过程,提高算法执行速度,并对关键参数设定添加了动态调整的过程,以"光大乌龙指"事件为研究案例,选取2013年5月至12月的市场逐笔交易数据,对我国沪深300指数期货和股票市场进行细致的实证分析。通过对沪深300指数期货市场计算出的29734个VPIN值做描述性统计、频度统计和波动性分析,结果表明:VPIN序列具有右偏、后尾的特征,同时市场大部分时间整体波动在合理范围内,而异常波动只占到了很小的部分,但是这小部分的异常波动处于了流毒性指标的高位值,这意味着市场极有可能会发生巨幅异常波动,流毒性指标在"乌龙指事件"发生之前就给出提醒指示,具有预警性。本文为我国量化交易市场的风险监管有着重要的参考价值,提出了准确、及时的风险预警值。
[Abstract]:In order to verify the validity and accuracy of instruction flow toxicity index to the risk of quantitative trading in China, this paper bases on the algorithm model VPIN of instruction flow toxicity test under asymmetric information. The evaluation process of the model parameters is optimized, the execution speed of the algorithm is improved, and the dynamic adjustment process is added to the key parameter setting. Taking the "Everbright Oolong finger" event as a case study, the market transaction data from May to December 2013 are selected. This paper makes a detailed empirical analysis on the Shanghai and Shenzhen 300 index futures and stock markets. Based on the descriptive statistics, frequency statistics and volatility analysis of 29734 VPIN values calculated by the CSI 300 index futures market, the results show that the 1: VPIN sequence has the characteristics of right deviation and tail, and the whole market fluctuates within a reasonable range for most of the time. And the abnormal volatility accounts for only a very small part, but this small part of the abnormal volatility is at the high level of the flow toxicity index, which means that the market is very likely to have a huge amount of abnormal volatility. The indicator of flow toxicity gives warning indication before the occurrence of Oolong finger event. This paper has an important reference value for the risk supervision of the quantitative trading market in our country, and puts forward the accurate and timely risk warning value.
【作者单位】：西安邮电大学;
【分类号】：F832.51

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