算法交易及在中国资本市场的应用前景

Algorithmic Trading and the Prospect of Its Application in China's Capital Market

算法交易已被广泛用于欧美和亚洲部分成熟市场的金融产品交易中,用于降低交易成本,减少市场冲击。在中国,算法交易还不成熟,目前尚处在初级的算法交易加经验判断阶段。本文考察我国证券投资基金进行股票交易时的内生成本,分析了算法交易在我国资本市场的应用前景。研究发现:(1)基金交易技术和交易水平存在较大提升空间,交易技术和水平的提高可以为基金公司节省巨大的成本;(2)基金之间的交易技术和交易水平差距较大;(3)基金买入股票的交易成本要显著低于卖出的成本;(4)不同板块的交易成本存在差距。

Algorithmic trading has been extensively applied in financial product transactions in mature markets in European and American and some Asian markets,to reduce transaction costs and alleviate market impact.In China,algorithmic trading is not mature yet,and remains in early stages.The article examines the endogenous costs of China's securities investment funds in stock exchange,analyzes the prospect of applying algorithmic trading in China's capital market.The results are:first,there are great room for transaction technique and level to improve,thus save significant costs for funds;second,there are large differences among separate funds in terms of transaction technique and level;third,the transaction cost of funds of purchasing stocks is hugely lower than that of selling stocks;fourth,there is large gap among different plates in terms of transaction cost.