测量高频交易领域中的指令流毒性——基于我国沪深300指数期货的实证研究  

Measuring Flow Toxicity in a High Frequency World ——Empirical Research based on the CSI300 Index

作　　者：刘文文[1] 张合金[1] 

机构地区：[1]西南财经大学,成都611130

出　　处：《中国经济问题》2013年第1期81-91,共11页China Economic Studies

基　　金：国家自然科学基金<复杂衍生产品的蒙特卡洛定价方法研究>(71271173)资助

摘　　要：作为量化投资的前沿和热点问题,市场微观结构和高频交易近年来在国内备受关注,但是由于我国的股指期货推出比较晚,学术界对此关注的并不多。本文正是在此背景下研究了我国股指期货市场的指令流毒性,当指令流逆向的选择做市商时,指令流则被认为是有毒性的。本文采用最新的测量指令流毒性的方法——等交易量信息交易的概率(VPIN),来度量我国股指期货市场上的指令流毒性。实证结果表明,VPIN不仅可以监测到沪深300指数期货大跌时候的指令流毒性,在指数大涨的时候,也能很好的监测到股指期货市场的指令流毒性。跟踪VPIN值可以使流动性提供者控制他们的头寸风险;监管者可以监控市场的流动性质量,提前限制交易或者加强市场控制。In recent years, as the leading edge of the quantitative investment and hot issue, Market microstructure and high frequency trading has been concerned in China. But Academics＇ concern is not much Because of stock index futures launched relatively late in our country. In this context, we study the flow toxicity in china＇s stock index futures. Order flow is regarded as toxic when it adversely selects market makers. This paper uses the newest method, Volume-Synchronized Probability of In- formed Trading（ VPIN）, to measure order flow toxicity in HS300 index futures. The empirieal results show that VPIN can moni- tor the flow toxicity no matter index rose or crash. Tracking the VPIN would allow market makers or liquidity provider to control their risk. Regulator can monitor the ＂quality＂ of liquidity provision, and can pro-actively move to restrict trading or impose market controls.

关 键 词：流动性 指令流毒性 市场微观结构 VPIN 

分 类 号：F832.51[经济管理—金融学] F224