摘要
本文针对日内高频交易,引入保留价格具体分析限价单到达率,设计限价单报价的最优高频交易策略,与一般高频交易策略结果进行对比分析,并提供了基于该策略的实证检验分析。理论部分首先对证券价格路径进行了介绍,并通过指数效用函数引出保留价格的基本公式;之后通过对市场微观结构的研究,分析得出限价订单理论上的成交概率;最后通过建立并解出汉密尔顿-雅各比-贝尔曼方程获得最优高频策略,进行计算机模拟并将其与一般高频策略结果进行对比分析,证实了该模型在理论拟合中的优势与策略的稳定性。文中实证分析部分,选取A股市场上的股票,测量股票波动率,并利用理论部分得出的结论,通过Wind终端实时接收数据,检验策略在模拟交易情况下的稳定性与有效性。
In recent years, with the growth of electronic exchanges, anyone is willing to submit limit orders in the system, it can effectively play the role of a market maker. In this project, we used reservation price to control the inventory risk arising from uncertainty in the asset＆#39;s value. The pricing strategies of dealers have been studied extensively in the micro structure literature. In the first part, we will introduce the basic theory on the microstructure including the exponential utility function and some theory on the limit orders. One of the key steps in the analysis is to use the dynamic programming principle to show that this problem solves the Hamilton–Jacobi–Bellman equation. Based on the model, we explore a simple trading strategy and present an approximate solution and a real trading of the performance of our strategy＆#39;s profit and loss through the Wind database.
出处
《价值工程》
2015年第15期193-196,共4页
Value Engineering
关键词
高频交易
微型做市商策略
限价单策略
high-frequency trading
mini-market-maker strategy
limit order strategy
