本文選題：算法交易模型 + 執(zhí)行成本　； 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：在美國,算法交易已經(jīng)成為基金業(yè)界交易策略的主流。我國算法交易尚處于萌芽狀態(tài),一些金融交易軟件提供商和金融投資機構(gòu)也正在嘗試著進入這一領(lǐng)域。一些券商也開發(fā)了自己的算法交易平臺,但由于種種原因,沒有進行大范圍的推廣和使用。大部分中國機構(gòu)投資者運用的現(xiàn)有系統(tǒng)還沒有加入算法層,由基金經(jīng)理發(fā)出指令,由交易員人工下單執(zhí)行。這一執(zhí)行過程受限于對市場實時變化數(shù)據(jù)的敏感性和及時性。當(dāng)市場已經(jīng)改變了方向,而往往策略卻滯后于市場。不能及時根據(jù)市場的歷史信息和動態(tài)實時信息進行精確分析和迅速的拆單、下單。 基于以上傳統(tǒng)下單的不足之處,本文提出了在交易層和數(shù)據(jù)層中加入了算法層的解決方案。執(zhí)行下單時加入了算法策略,大大的提高了執(zhí)行效率,提高了執(zhí)行效果并且減少了沖擊成本。此外,目前的算法交易研究多限于簡單的VWAP算法。本文在此基礎(chǔ)上還研究了IS算法的市場表現(xiàn),加入這種在歐美市場同樣流行的算法使得本文可以更加完整地反映算法交易對降低成本的作用。并且對于VWAP和IS兩種算法的利弊進行比較。最后本文還加入了算法交易主體并檢驗其對市場質(zhì)量有何影響,提起了算法交易對于市場的影響更多的關(guān)注。本文得出的結(jié)論主要有以下兩點： 從算法交易對執(zhí)行成本的影響看：算法交易確實能夠通過減少大額訂單的市場沖擊,在證券市場上為投資者降低交易成本、控制交易風(fēng)險。VWAP算法在平均執(zhí)行成本低于機構(gòu)投資者的情況下,保證了更加穩(wěn)定的執(zhí)行效果；IS算法同樣能夠為投資者大幅節(jié)約交易成本,幫助投資者獲取更高的投資收益率。雖然IS算法保證了機構(gòu)投資者的交易能夠更快更早的完成,但其績效表現(xiàn)的波動較大,執(zhí)行成本的標(biāo)準(zhǔn)差大于VWAP算法,執(zhí)行效果及其穩(wěn)定性均遜于VWAP算法。 從算法交易對市場質(zhì)量的影響看：算法交易能夠通過減小大額訂單對市場的沖擊降低證券市場的波動性,并且算法交易所生成的實時更新的限價訂單流能夠為市場帶來更好的流動性,本文研究表明算法交易的發(fā)展對提高證券市場的質(zhì)量起著積極的作用。
[Abstract]:In the United States, algorithmic trading has become the mainstream of the fund industry's trading strategy. In China, algorithm trading is still in its infancy, and some financial transaction software providers and financial investment institutions are also trying to enter this field. Some securities companies have also developed their own algorithm trading platform, but due to various reasons, they have not carried out a wide range of promotion and use. Most of the existing systems used by Chinese institutional investors have not yet been added to the algorithmic layer, with fund managers giving orders and traders manually placing orders. This implementation process is limited by the sensitivity and timeliness of real-time market change data. When the market has changed direction, often the strategy lags behind the market. Unable to accurately analyze and quickly disassemble orders according to market historical information and dynamic real-time information in time. Based on the shortcomings of the traditional order, this paper proposes a solution to add the algorithm layer to the transaction layer and the data layer. An algorithm strategy is added to execute the order, which greatly improves the execution efficiency, improves the execution effect and reduces the impact cost. In addition, the current research on algorithm transaction is limited to simple VWAP algorithm. This paper also studies the market performance of is algorithm. Adding this algorithm, which is also popular in European and American markets, this paper can reflect the effect of algorithm transaction on cost reduction more completely. The advantages and disadvantages of VWAP and is are compared. Finally, this paper also adds the algorithm trading agent to test its influence on the market quality, and points out that the algorithm transaction has more attention to the market. The main conclusions of this paper are as follows: From the impact of algorithmic trading on execution costs, it is true that algorithmic transactions can reduce transaction costs for investors in the securities market by reducing the market impact of large orders. Under the condition that the average execution cost is lower than that of institutional investors, the control of transaction risk. VWAP algorithm ensures a more stable execution effect. The is algorithm can also save transaction costs for investors and help investors obtain higher investment returns. Although the is algorithm ensures that the transaction of institutional investors can be completed faster and earlier, its performance fluctuates greatly, the standard deviation of execution cost is larger than that of VWAP algorithm, and the execution effect and stability are inferior to that of VWAP algorithm. From the perspective of the effect of algorithm trading on market quality: algorithm trading can reduce the volatility of securities market by reducing the impact of large orders on the market. And the real-time updated limited order flow generated by the algorithm exchange can bring better liquidity to the market. The research shows that the development of the algorithm trading plays a positive role in improving the quality of the securities market.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;TP301.6

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1 劉小昊;基于算法交易的機構(gòu)投資策略研究分析[D];復(fù)旦大學(xué);2013年

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本文編號：1918722