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the status, characteristics and development trend of foreign high-frequency trading, on the basis of analysis of high-frequency trading system structure; Then, studies support the theoretical model of high-frequency technology, and based on the csi 300 index and the stock index futures data, from two aspects of volume and price of our country securities market presence of high-frequency empirical analysis; Finally, to sum up the experiences of foreign high-frequency trading regulation and development of our country high-frequency corresponding regulatory Suggestions are put forward.


High-frequency trading has high speed and complex instructions operation procedures, low latency, open time is short,Deal more cancellations, days of kaiping warehouse, bulk deity characteristics, with reducing some securitiesThe advantages of the participants in the transaction cost, at the same time, also brought increasing market instability, such as negativeImpact.


High-frequency trading is based on the strategy model, now on the implementation of high-frequency trading strategy is mainly divided into four kinds, respectively is the inventory model and information model based on market microstructure, based on the principle of arbitrage events arbitrage strategy, as well as the high frequency of statistical arbitrage strategy based on statistical arbitrage.


Quantity and price based on the above model, we from the two aspects of China's securities market make an empirical analysis of the presence of high-frequency trading. First of all, we observed from the perspective of trading volume before and after the stock index futures introduced the csi 300 index and the csi 300 stock index futures trading frequency distribution curves, the empirical analysis shows that the csi 300 stock index futures trading in 300, with 5 minutes as the cycle frequency trading volume significantly more than the other, and at the beginning of its establishment in 2011, compared to 2012 in 2010, market participants trading strategy may account for this, especially programming trading is mostly based on K line form trigger order; From Shanghai and shenzhen 300 index of volume analysis we can see that in the a-share market high-frequency trading is not significant, the frequency of the volume of comparison for the uniform, but from the frequency domain graph, we can also see 2010, 2011, 2012, 5 minutes cycle trading frequency trading is more significant than others, and this phenomenon is not in 2008, in 2008, we speculate that this kind of situation on the one hand, related to the change of market participants trading patterns in recent years, on the other hand may be linked to the launch of stock index futures, market participants can be based on the futures market and spot market to achieve A more flexible trading strategies. Then, from the perspective of the transaction price, possible high frequency of csi 300 stock index futures trading for empirical analysis.

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