【摘要】：技術(shù)分析是一種在金融投資實務領(lǐng)域被廣為使用的方法,有關(guān)技術(shù)分析的現(xiàn)有研究主要集中在價格變化趨勢的預測方面。近年來,隨著市場微觀結(jié)構(gòu)理論的不斷發(fā)展,一些學者研究發(fā)現(xiàn),使用技術(shù)分析方法還有助于預測市場流動性的變化。本文通過考察中國股票市場上技術(shù)分析指標與流動性指標之間的內(nèi)在關(guān)系,研究技術(shù)分析是否有助于探測市場流動性的變化模式,考察技術(shù)分析能否為流動性提供者制定合適的訂單提交策略提供有用的信息,并進一步探討基于流動性的變化模式來構(gòu)造高頻交易策略的可行性。 首先,本文基于上證50與深證成指指數(shù)成分股的高頻交易數(shù)據(jù),實證考察了阻力線(支撐線)與市場流動性指標之間的關(guān)系,發(fā)現(xiàn)價格越靠近阻力線(支撐線)賣方(買方)深度越大；并且大量限價訂單在某些價位上的聚集更有可能是阻力線(支撐線)形成的Granger原因而不是相反。進一步研究發(fā)現(xiàn),在阻力線(支撐線)形成前提交的限價訂單傾向于集中在某些接近于隨后的阻力線(支撐線)的價位上,而阻力線(支撐線)形成之后,限價訂單的分布相對分散；這意味著流動性提供者傾向于在略低于(高于)阻力線(支撐線)的價位處提交限價賣單(買單),在盡可能規(guī)避逆向選擇風險的同時,也避免了大量訂單聚集在阻力線(支撐線)上而無法成交的風險。 其次,由于流動性提供者提交限價訂單時,需在逆向選擇風險和訂單不能執(zhí)行的風險之間進行權(quán)衡,本文估測出在阻力線(支撐線)下方(上方)不同價格區(qū)間內(nèi)提交限價賣單(買單)的成交概率,以衡量訂單不能執(zhí)行的風險。將交易對手的最優(yōu)報價(不能執(zhí)行的風險為0,但逆向選擇風險最大)作為基準價格,再根據(jù)相對基準價格的期望收益(或價格改進)最大化的原則來確定最優(yōu)的限價訂單提交價格。基于該方法,本文構(gòu)造出相應的指標來為流動性提供者選擇出最優(yōu)的限價訂單提交價格。 最后,本文進一步探討基于流動性的變化模式來構(gòu)造高頻交易策略的可行性。利用價格在阻力線和支撐線之間的振蕩提出了高頻交易策略(假定T+1的交易制度限制不存在的情況下所做的假想策略),并采用上證50指數(shù)成分股中波動最大的前10只股票的分筆交易數(shù)據(jù),對基于阻力線和支撐線的高頻交易策略的獲利性進行了考察。
[Abstract]:Technical analysis is a widely used method in the field of financial investment. The existing research on technical analysis mainly focuses on the prediction of price trends. In recent years, with the development of market microstructure theory, some scholars have found that the use of technical analysis method can also help to predict the changes of market liquidity. By investigating the relationship between the technical analysis index and the liquidity index in the Chinese stock market, this paper studies whether the technical analysis can help to detect the changing pattern of the market liquidity. This paper investigates whether the technical analysis can provide useful information for liquidity providers to formulate appropriate order submission strategies, and further discusses the feasibility of constructing high-frequency trading strategies based on liquidity change patterns. First of all, based on the high-frequency trading data of Shanghai Stock Exchange 50 and Shenzhen Stock Exchange Index, this paper empirically investigates the relationship between resistance line (support line) and market liquidity index. The closer the price is to the resistance line (support line), the deeper the seller (buyer) is found; And the accumulation of large price limit orders at some prices is more likely to be the Granger cause of resistance lines than the opposite. Further studies show that the price limit orders submitted before the formation of the resistance line (support line) tend to concentrate on some prices close to the subsequent resistance line (support line), and after the resistance line (support line) is formed, The distribution of price limit orders is relatively scattered; This means that liquidity providers tend to submit price limit orders at prices slightly below (above) the resistance line (support line), while avoiding the risk of adverse selection as much as possible. Also avoid a large number of orders on the resistance line (support line) and can not close the risk. Second, because liquidity providers have to weigh the risk of adverse selection against the risk that the order cannot be executed when submitting a price limit order, This paper estimates the probability of submitting a price limit order (paying the bill) in different price ranges under the resistance line (support line) to measure the risk that the order cannot be executed. Take as the benchmark price the optimal quotation of the counterparty (the risk that cannot be executed is 0, but the risk of adverse selection is the greatest), According to the principle of maximization of the expected return (or price improvement) of the relative benchmark price, the optimal limit price order submission price is determined. Based on this method, this paper constructs the corresponding index to select the optimal price limit price for the liquidity provider. Finally, this paper discusses the feasibility of constructing high-frequency trading strategy based on liquidity change model. Using the oscillation of price between resistance line and support line, a high-frequency trading strategy (hypothetical strategy under the assumption that the trading system restriction of T1 does not exist) is proposed. The profit-making of high-frequency trading strategy based on resistance line and support line is investigated by using the data of the top 10 stocks in Shanghai 50 Index.
【學位授予單位】：電子科技大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F830.59

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