摘要
高频数据较传统行情数据细节展示更清晰,对交易的流动性进行测度从而打开Level-2数据应用的新空间。本文基于传统流动性测度指标设计了双向流动性指标的基本模型,给出了与实际行情结合使用的例证、交易策略,以及产品化的Demo。结果表明,流动性测度指标作为一种短线策略,与操盘线配合使用能发挥更大作用。高频数据在信息服务产业还有待深入挖掘以得到更广阔的应用。
The high frequency data show than the traditional market data details more clearly. The liquidity measure opens new space of Level - 2 data applications. Based on the traditional liquidity measures a two-way liquidity indexes model are given, and the basic model of using a combination with actual market trading strategies, as well as examples, the professional Demo. The results show that the liquidity measures as a short term strategy, cooperating with buy-sell line to play a bigger role. The high frequency data during the information service industry remains to be dig to get wider application.
基金
国家创新基金项目(07C26213100259)
上海市科技小巨人工程(09HX1186300)
关键词
流动性测度
高频数据
交易策略
Liquidity Measurement
High Frequency Data
Trading Strategy
