發(fā)布時(shí)間：2018-11-19 12:24

【摘要】：隨著近幾年證券市場(chǎng)和程序化交易平臺(tái)的不斷發(fā)展和完善,程序化交易在證券交易市場(chǎng)的扮演著越來(lái)越重要的角色。程序化交易是通過(guò)計(jì)算機(jī)執(zhí)行設(shè)定的程序的過(guò)程。而這個(gè)計(jì)算機(jī)程序就是交易者的交易思想和模型的計(jì)算機(jī)程序化。因此,程序化交易是依賴于計(jì)算機(jī)交易平臺(tái)和交易模型的。由于國(guó)內(nèi)程序化交易平臺(tái)的開發(fā)和發(fā)展已經(jīng)比較完善,所以研究分析交易模型成了影響程序化交易的關(guān)鍵因素。 程序化交易的最大的優(yōu)勢(shì)在于完全不受交易者主觀情緒的影響。計(jì)算機(jī)會(huì)嚴(yán)格執(zhí)行交易策略代碼,不涉及任何猶豫,貪婪和恐慌等情緒。而交易者在交易中不可避免的要受到自身主觀情緒的影響,從而錯(cuò)過(guò)了止損或盈利的最佳時(shí)機(jī)。在交易過(guò)程中,速度對(duì)操盤手的要求也是很嚴(yán)格的。市場(chǎng)是瞬息萬(wàn)變的,如若下單速度比其他人慢,最佳的交易機(jī)會(huì)有可能就喪失了。而程序化交易的交易速度非�？�,而且還可以24小時(shí)工作。對(duì)進(jìn)行短線交易或高頻交易的投資者來(lái)說(shuō),程序化交易非常具有吸引力。算法交易,是指把一個(gè)具有指定交易量、交易時(shí)間區(qū)間和價(jià)格區(qū)間約束的交易指令通過(guò)計(jì)算機(jī)程序來(lái)完成,用算法決定交易指令的遞交時(shí)間、價(jià)格、數(shù)量和指令的類型。算法交易可以算是程序化交易在不斷發(fā)展中的一個(gè)分支。因此,將算法思想融入到程序化交易中,不僅可以優(yōu)化資源配置,也可以減少交易成本,獲得較高的收益。 本文先從程序化交易的起源出發(fā),最早出現(xiàn)在1975年的美國(guó)證券市場(chǎng)。接著給出了程序化交易的NYSE定義,由于程序化交易已經(jīng)經(jīng)歷的30多年的發(fā)展,依據(jù)現(xiàn)在市場(chǎng)上的環(huán)境重新定義了程序化交易,更貼近交易者的使用習(xí)慣,更適用于市場(chǎng)化的發(fā)展意義。接著介紹了國(guó)內(nèi)外程序化交易的發(fā)展?fàn)顩r,可以了解國(guó)內(nèi)的發(fā)展趨勢(shì),對(duì)投資者進(jìn)行程序化交易有一定的參考作用。通過(guò)介紹分析程序化交易的優(yōu)點(diǎn)和應(yīng)用領(lǐng)域可以了解到程序化交易深受交易者喜愛(ài)的原因。 同時(shí),本文著重介紹了程序化交易的交易模型,對(duì)每個(gè)模型的原理,應(yīng)用規(guī)則和模型的不足,都做了介紹分析,這為下面加入算法模型思想做了鋪墊。緊接著,本文介紹了算法模型的思想和常用的算法交易的模型。通過(guò)介紹算法交易的定義和應(yīng)用領(lǐng)域,可以幫助投資者進(jìn)一步的了解算法交易。最后是本文的創(chuàng)新部分�；趯�(duì)常用的算法交易模型進(jìn)行了改進(jìn),并將其加入到了程序化交易模型中,得到了一個(gè)程序化算法模型。這個(gè)模型終合了程序化交易模型的特點(diǎn)和算法交易模型的特點(diǎn),是對(duì)程序化交易模型的一種改進(jìn),使程序化交易更好地捕捉到市場(chǎng)的信息和價(jià)格,獲得較高的利潤(rùn)。
[Abstract]:With the continuous development and improvement of the securities market and the procedural trading platform in recent years, the programmed trading plays an increasingly important role in the securities trading market. A programmed transaction is the process of executing a set program through a computer. The computer program is the trading thought and model of traders. Therefore, programmed transactions depend on computer trading platforms and trading models. Since the development and development of the domestic procedural trading platform has been relatively perfect, the research and analysis of the transaction model has become the key factor affecting the procedural trading. The biggest advantage of programmed trading is that it is completely independent of traders' subjective emotions. The computer strictly executes the trading policy code without any hesitation, greed, or panic. Traders are inevitably influenced by their own subjective emotions, thus missing the best time to stop loss or profit. In the course of trading, the speed of the traders is also very strict requirements. The market is rapidly changing, and if orders are placed at a slower pace than others, the best trading opportunities are likely to be lost. Programmed transactions are very fast and can work 24 hours a day. For short-term trading or high-frequency trading investors, program trading is very attractive. Algorithmic transaction means that a transaction order with specified trading volume, transaction time interval and price interval constraints is completed by a computer program. The algorithm is used to determine the delivery time, price, quantity and type of the order. Algorithmic transaction can be regarded as a branch of programmed transaction. Therefore, integrating the idea of algorithm into programmed transaction can not only optimize the allocation of resources, but also reduce the transaction cost and obtain higher income. Starting from the origin of programmed trading, this paper first appeared in the American stock market in 1975. Secondly, the NYSE definition of programmed trading is given. Due to the development of programmed trading for more than 30 years, it redefines programmed trading according to the current market environment, which is closer to the usage habits of traders. More suitable for the development of market-oriented significance. Then it introduces the development situation of the domestic and foreign programmed transactions, and can understand the domestic development trend, which has a certain reference role for investors to carry out the programmed trading. By analyzing the advantages and applications of programmed trading, we can find out the reasons why programmed trading is popular with traders. At the same time, this paper mainly introduces the transaction model of programmed transaction. The principle of each model, the application rules and the shortcomings of the model are introduced and analyzed, which lays the groundwork for adding the idea of algorithm model to the following. Then, this paper introduces the idea of algorithm model and the commonly used algorithm transaction model. By introducing the definition and application field of algorithmic trading, we can help investors to know more about algorithmic transactions. The last part is the innovation of this paper. Based on the improvement of the commonly used algorithm transaction model, a program algorithm model is obtained by adding it to the program transaction model. This model is an improvement on the programmed transaction model, which can capture the market information and price better and obtain higher profit.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F830.91

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本文編號(hào)：2342294