發(fā)布時(shí)間：2018-03-21 17:39

  本文選題：并行處理　切入點(diǎn)：高頻數(shù)據(jù)　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：市場(chǎng)微觀結(jié)構(gòu)理論是近二十年來(lái)發(fā)展最快的金融領(lǐng)域之一。本文屬于市場(chǎng)微觀結(jié)構(gòu)的研究范疇,文章從市場(chǎng)機(jī)制、投資者行為和市場(chǎng)質(zhì)量的角度討論了中國(guó)期貨市場(chǎng)微觀結(jié)構(gòu)。期貨市場(chǎng)機(jī)制分析比較了做市商機(jī)制和競(jìng)價(jià)機(jī)制的優(yōu)劣,介紹了中國(guó)期貨市場(chǎng)風(fēng)險(xiǎn)管理制度；期貨投資者行為分析了中國(guó)期貨市場(chǎng)投資者結(jié)構(gòu),認(rèn)為個(gè)人投資者比重過(guò)高導(dǎo)致了市場(chǎng)的投機(jī)性。針對(duì)采用高頻數(shù)據(jù)實(shí)證研究市場(chǎng)微觀結(jié)構(gòu)中的問(wèn)題,提出采用機(jī)群并行處理技術(shù)解決計(jì)算機(jī)處理能力瓶頸,首次詳細(xì)介紹了并行處理的技術(shù)方法。實(shí)證研究上,應(yīng)用計(jì)算機(jī)群并行處理分析了棉花、滬銅、滬鋅和黃金期貨的“日歷效應(yīng)”,指出期貨價(jià)格波動(dòng)、價(jià)差等指標(biāo)日內(nèi)呈“L”型波動(dòng),并提出“L”型波動(dòng)源于日間數(shù)據(jù)量和日內(nèi)數(shù)據(jù)量之間的差距；針對(duì)分筆數(shù)據(jù)研究中樣本時(shí)間間隔不等問(wèn)題,采用自回歸條件久期模型(ACD)分析了棉花期貨合約交易集聚性問(wèn)題,證實(shí)期貨交易的集聚性,回歸結(jié)果顯示期貨交易久期受一階滯后項(xiàng)影響,比較了EACD和WACD模型的估計(jì)結(jié)果,認(rèn)為在本次實(shí)證中EACD和WACD模型沒(méi)有顯示出明顯的估計(jì)效果差異。最后,以微觀結(jié)構(gòu)研究和高頻數(shù)據(jù)研究的商業(yè)層面應(yīng)用為出發(fā)點(diǎn),探討了高頻自動(dòng)交易在中國(guó)的發(fā)展。
[Abstract]:The theory of market microstructure is one of the fastest growing financial fields in the past two decades. From the angle of investor behavior and market quality, this paper discusses the microstructure of Chinese futures market, analyzes and compares the advantages and disadvantages of market maker mechanism and bidding mechanism, and introduces the risk management system of Chinese futures market. The behavior of futures investors analyzes the structure of investors in China's futures market, and considers that the excessive proportion of individual investors leads to the speculative nature of the market. In this paper, a cluster parallel processing technique is proposed to solve the bottleneck of computer processing capability. The technical method of parallel processing is introduced in detail for the first time. "Calendar effect" of Shanghai zinc and gold futures, pointing out that futures price fluctuation and price difference fluctuate in "L" type within a day, and pointing out that the "L" type fluctuation originates from the gap between the amount of data between days and the amount of data within days. Aiming at the problem of unequal sample time interval in the study of split data, the paper analyzes the agglomeration of cotton futures contracts by using the autoregressive conditional duration model (ACDD), and proves the agglomeration of futures trading. The regression results show that the duration of futures trading is affected by the first order lag term. The results of EACD and WACD models are compared. It is concluded that the EACD and WACD models do not show significant difference in the estimated effects in this empirical study. Based on the commercial application of microstructure research and high frequency data research, this paper discusses the development of high frequency automatic 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】：2013
【分類(lèi)號(hào)】：F224;F724.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 岳樹(shù)嶺;;基于高頻數(shù)據(jù)的市場(chǎng)價(jià)格久期集聚特征分析[J];統(tǒng)計(jì)與決策;2012年17期

，

本文編號(hào)：1644881