成交价在高频交易中的分析与应用

Transaction price analysis and high-frequency trading

近几年,高频交易在国内外金融领域中呈现出迅猛发展的态势."快进快出,交易频繁","每次收益微小"的特点令高频交易对成本非常敏感.成交价是影响交易成本的核心因素.本文根据盘口信息中的买卖价、成交量等一系列市场信息,构造一个新的成交价估计模型.通过实际应用,以MACD技术指标的策略为例,验证成交价模型具有良好的稳定性,能够带来更好的收益.

In recent years,the rapid development of high-frequency trading in the global financial market have gained widely attention.＂Holding period for the assets is short but frequent＂ and ＂tiny yields in every trade＂ cause the trading sensitive to the transaction cost,in which the transaction price is the core.In this paper,a new transaction price model is constructed with the position information.Applied to the MACD indicator strategy,it has a good performance and bring a better return.