量化交易改善了中国股指期货市场质量吗?——基于股指期货高频数据的分析  

Does Quantitative Trading Influence Market Quality of Stock Index Futures:An Analysis Based on High Frequency Data of Stock Index Futures

作　　者：黄锐[1] 

机构地区：[1]广东金融学院金融系,广东广州510051

出　　处：《金融经济学研究》2016年第3期60-69,共10页Financial Economics Research

摘　　要：使用2012年12月至2015年9月期间股指期货高频交易数据,研究量化交易在不同市场条件下对股指期货市场流动性、波动性的影响。研究表明,量化交易在震荡阶段和暴涨阶段可以提高流动性,在暴跌阶段降低流动性,并在所有市场情况下都降低了波动性。而且从市场震荡到市场暴涨再到市场暴跌,量化交易对波动性抑制的程度依次减弱,对流动性的负面影响依次增强;在一般市场条件下,套利类策略通过减少相对价差和波动性,提高了市场质量,但是其正面作用有缩小趋势,而动量类量化交易策略对市场质量有负面作用并有扩大趋势。建议对量化交易采取分类监管、科学的市场机制和先进的技术手段,以扬利去弊,提高股指期货市场的质量水平。In this paper, I use the from December 2012 to September 2015 ty and volatility evidence shows high frequency trading data of stock index futures to study the effect of quantitative trading on liquidi- of stock index futures market under different market conditions. Empirical that quantitative trading can improve liquidity in the normal phase and the rising phase, reduce liquidity in the down phase and reduce volatility in all market condi- tions. And from the normal market phase to the soared market phase and then market down- ward phase ,the extent of inhibition on volatility decreases and negative effects to liquidity gradually increase;in the normal market conditions, the arbitrage strategy can reduce the relative spreads and volatility, and improve tends to decrease ; momentum quantitative have negative effects and have a tendency the quality of the market, but its positive role trading strategies on the quality of the market to expand. The early stage of development of our country~ stock index futures market, the structure of investors and the quantitative trading characteristics may help to explain the pbenomema. The paper suggests that the develop- ment of quantitative trading requires classification regulation, scientific market mechanism and advanced technology in order to reduce risk and improve the quality level of the stock index futures market.

关 键 词：量化交易 股指期货 市场质量 高频数据 

分 类 号：F832.5[经济管理—金融学]