算法交易的兴起及最新研究进展

The Rise and Latest Research Progress of Algorithmic Trading

算法交易是一种全新的交易方式,备受机构投资者青睐,市场份额迅速上升。算法交易的快速发展对资本市场总体效率和微观结构影响深远,资产定价、组合投资和风险测度可能因此发生革命性变革。本文介绍算法交易在国际资本市场中的发展历程与现状,系统总结、归纳和评述了有关算法交易的最新研究进展,并探讨了算法交易在中国的应用和发展前景,以及未来的研究方向。

Algorithmic trading is a relatively new transaction mode, which catches much of the favor of institutional investors with a rapidly rising market share. The development of algorithmic trading has a great impact on the overall efficiency and microstructure of capital market, and it may result revolutionary changes in asset pricing, portfolio investment and risk measurement. This paper introduces the development process and current situation of algorithmic trading in the international capital marekts, and systematically summerises and reviews the latest research progress of it. The application, development prospect and future research direction of algorithmic trading in China are also discussed.