华东师范大学学报(自然科学版) ›› 2013, Vol. 2013 ›› Issue (6): 14-21.

• 应用数学与基础数学 • 上一篇    下一篇

成交价在高频交易中的分析与应用

刘 畅,  郑伟安   

  1. 华东师范大学 金融与统计学院, 上海\; 200062
  • 收稿日期:2013-09-01 修回日期:2013-10-01 出版日期:2013-11-25 发布日期:2014-01-13

Transaction price analysis and high-frequency trading

LIU Chang,  ZHENG Wei-an   

  1. School of Finance and Statistics, East China Normal University, Shanghai 200062, China
  • Received:2013-09-01 Revised:2013-10-01 Online:2013-11-25 Published:2014-01-13

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摘要： 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.

关键词: 成交价, 买卖价, 成交量, 高频交易

Abstract: 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.

Key words: transaction price, bid-ask price, volume, high-frequency trading

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