基于中国股指期货市场的程序化交易策略分析
发布时间：2018-11-03 21:50
【摘要】：期货市场被人们认为是一个“零和博弈”的市场,并且期货价格波动较大,所以要求投资者必须以投资的心态进入期货市场,只有这样才能降低在市场中发生亏损的可能性,达到盈利的目的。投资的心态是指,按照进入市场前设定的周密计划严格操作。上世纪八十年代,美国是第一个提出程序化交易的国家。程序化交易最初是用来管理同一时间内投资十五支股票以上的投资组合,所以程序化交易也被成为篮子交易(Basket Trading)。随着互联网及计算机技术的不断发展,程序化交易是计算机技术与投资管理理论相结合的产物。程序化交易(Program Trading)主要是指与完成一组股票交易组合相关的相关程序方式。本文是针对程序化交易方法进行研究,其应归属于金融创新的范畴。程序化交易与传统交易方式相比,其显著的优势就是可以有效避免人性的弱点的同时,对风险和盈利有个预期估算,所以程序化交易被越来越多的投资者及经纪商所认可,与此同时程序化交易也逐渐发展成熟。要想实现期现套利,就不可能与系统设计、风险识别及控制相分离这三个方面相分离。所以本文就围绕这上述三个问题进行研究,同时结合我国证券市场的特点,对程序化交易模型进行优化;并对交易流程及系统进行针对性的设计。除此之外,本文还针对程序化交易过程中需要解决的实时监控、批量委托等问题进行深入研究,并提出了相应的优化方案。在文章的最后,笔者根据程序化交易过程中存在的风险,提出了相应的识别风险和防范风险的应对措施,为期现套利提供更好的安全保证。
[Abstract]:The futures market is considered to be a "zero-sum game" market, and the futures price fluctuates greatly. Therefore, investors must enter the futures market with an investment mentality. Only in this way can the possibility of losing money in the market be reduced. To achieve profit. The mentality of investment refers to strict operation according to the careful plan set before entering the market. In the 1980 s, the United States was the first country to introduce procedural transactions. Programmed trading was originally used to manage portfolios of more than 15 stocks at the same time, so programmed trading is also called basket trading (Basket Trading). With the development of Internet and computer technology, programmed transaction is the combination of computer technology and investment management theory. Programmed trading (Program Trading) mainly refers to the relevant procedure related to the completion of a set of stock trading portfolios. This paper focuses on the procedural trading method, which should belong to the category of financial innovation. Compared with the traditional trading methods, the obvious advantage of programmed trading is that it can effectively avoid human weakness and have an expected estimate of risk and profit, so procedural trading is recognized by more and more investors and brokers. At the same time, procedural transactions are also gradually maturing. To realize current arbitrage, it is impossible to separate the three aspects of system design, risk identification and control. So this paper focuses on the above three issues, at the same time combined with the characteristics of China's securities market, to optimize the procedural trading model; and the transaction process and system targeted design. In addition, this paper makes a thorough study on the real-time monitoring and batch entrustment in the process of programmed transaction, and puts forward the corresponding optimization scheme. At the end of the paper, according to the risks existing in the process of procedural trading, the author puts forward the corresponding measures to identify risks and prevent them, so as to provide a better security guarantee for arbitrage.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F724.5
本文编号：2309142
[Abstract]:The futures market is considered to be a "zero-sum game" market, and the futures price fluctuates greatly. Therefore, investors must enter the futures market with an investment mentality. Only in this way can the possibility of losing money in the market be reduced. To achieve profit. The mentality of investment refers to strict operation according to the careful plan set before entering the market. In the 1980 s, the United States was the first country to introduce procedural transactions. Programmed trading was originally used to manage portfolios of more than 15 stocks at the same time, so programmed trading is also called basket trading (Basket Trading). With the development of Internet and computer technology, programmed transaction is the combination of computer technology and investment management theory. Programmed trading (Program Trading) mainly refers to the relevant procedure related to the completion of a set of stock trading portfolios. This paper focuses on the procedural trading method, which should belong to the category of financial innovation. Compared with the traditional trading methods, the obvious advantage of programmed trading is that it can effectively avoid human weakness and have an expected estimate of risk and profit, so procedural trading is recognized by more and more investors and brokers. At the same time, procedural transactions are also gradually maturing. To realize current arbitrage, it is impossible to separate the three aspects of system design, risk identification and control. So this paper focuses on the above three issues, at the same time combined with the characteristics of China's securities market, to optimize the procedural trading model; and the transaction process and system targeted design. In addition, this paper makes a thorough study on the real-time monitoring and batch entrustment in the process of programmed transaction, and puts forward the corresponding optimization scheme. At the end of the paper, according to the risks existing in the process of procedural trading, the author puts forward the corresponding measures to identify risks and prevent them, so as to provide a better security guarantee for arbitrage.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F724.5
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