本文關(guān)鍵詞：高頻交易對(duì)市場(chǎng)微觀結(jié)構(gòu)的影響分析及高頻交易的監(jiān)管建議　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 高頻交易 市場(chǎng)微觀結(jié)構(gòu) 股指期貨 監(jiān)管

【摘要】：2013年8月16日,光大證券的“烏龍指”事件使得高頻交易再次成為市場(chǎng)關(guān)注的焦點(diǎn)。高頻交易自問(wèn)世以來(lái),由于其強(qiáng)大的盈利能力,在全球金融市場(chǎng)得到了迅速發(fā)展。據(jù)波士頓咨詢(xún)公司(BCG)預(yù)測(cè)2015年美國(guó)和歐洲的高頻交易比例都將達(dá)到60%以上,亞洲將超過(guò)20%。我國(guó)由于交易制度等方面的原因,高頻交易的發(fā)展還處于起步階段。高頻交易為市場(chǎng)提供了流動(dòng)性,縮小了買(mǎi)賣(mài)價(jià)差,降低了交易成本,有效提升了市場(chǎng)效率,但同時(shí)也會(huì)加劇市場(chǎng)波動(dòng),甚至影響市場(chǎng)的公平性。我國(guó)股指期貨市場(chǎng)的交易機(jī)制具備高頻交易的基本特征,本文通過(guò)對(duì)滬深300股指期貨跨期套利高頻交易策略的實(shí)證分析,證明了高頻交易適用于我國(guó)的股指期貨市場(chǎng),并且具有較強(qiáng)的盈利能力。通過(guò)對(duì)我國(guó)股指期貨市場(chǎng)基于Garch模型的實(shí)證分析,證明了股指期貨合約的價(jià)格波動(dòng)率與成交量之間存在顯著的正相關(guān)關(guān)系,高頻交易在為市場(chǎng)提供流動(dòng)性的同時(shí)加劇了價(jià)格波動(dòng)。美國(guó)高頻交易的快速發(fā)展與市場(chǎng)微觀結(jié)構(gòu)的改變密切相關(guān),許多研究都已經(jīng)表明高頻交易的速度對(duì)市場(chǎng)公平性有一定的影響。通過(guò)對(duì)高頻交易的某些交易策略的分析發(fā)現(xiàn)高頻交易者所利用的特殊指令類(lèi)型也會(huì)有損市場(chǎng)的公平性。未來(lái)高頻交易在我國(guó)證券市場(chǎng)的應(yīng)用必定會(huì)不斷發(fā)展,光大證券的“烏龍指”事件讓我們看到了高頻交易可能對(duì)市場(chǎng)帶來(lái)的巨大影響。2010年的“閃跌”事件以后,美國(guó)加強(qiáng)了對(duì)高頻交易的監(jiān)管。我國(guó)目前并沒(méi)有針對(duì)高頻交易監(jiān)管相關(guān)的法律法規(guī),本文分析匯總了歐美關(guān)于高頻交易監(jiān)管的最新趨勢(shì),為我國(guó)發(fā)展高頻交易提供監(jiān)管建議。
[Abstract]:In August 16, 2013, the "Wulong" event of Everbright Securities made high-frequency trading the focus of the market again. High frequency trading has developed rapidly in the global financial market since its strong profitability. According to the Boston consulting firm (BCG), the ratio of high frequency transactions between the United States and Europe will reach more than 60% in 2015, and more than 20% in Asia. The development of high frequency trading is still in its infancy due to the reasons of trading system in China. High frequency trading provides liquidity for the market, narrowing the bid ask spread, reducing transaction costs, and effectively improving market efficiency, but at the same time, it will also exacerbate market volatility and even affect the fairness of the market. The trading mechanism of China's stock index futures market has the basic characteristics of high-frequency trading. Based on the empirical analysis of HSI 300 stock index futures intertemporal arbitrage and high-frequency trading strategy, it is proved that HF trading is applicable to China's stock index futures market, and has strong profitability. Based on the empirical analysis of China's stock index futures market based on the Garch model, it is proved that there is a significant positive correlation between the price volatility and trading volume of stock index futures contracts, while high-frequency trading increases liquidity while providing liquidity for the market. The rapid development of high-frequency trading in the US is closely related to the change of market microstructure. Many studies have shown that the speed of high-frequency trading has a certain impact on the fairness of the market. Through the analysis of some trading strategies in high frequency trading, it is found that the particular type of instruction used by high frequency traders also undermines the fairness of the market. The application of future high-frequency trading in China's securities market is bound to develop. The "Oolong" incident of Everbright Securities shows us the huge impact of high-frequency trading on the market. After the "flashing" incident in 2010, the United States strengthened its regulation of high frequency transactions. At present, there are no laws and regulations related to high-frequency trading regulation in China. This article analyzes and summarizes the latest trend of high-frequency trading regulation in Europe and America, and provides regulatory recommendations for developing high-frequency trading in China.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

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本文編號(hào)：1342011