华东师范大学学报(自然科学版) ›› 2013, Vol. 2013 ›› Issue (5): 152-160.

• 金融数学 • 上一篇    

基于MACD的平稳技术指标在高频交易中的应用

包 思, 郑伟安, 周 瑜   

  1. 华东师范大学 金融与统计学院, 上海 200241
  • 收稿日期:2012-06-01 修回日期:2012-09-01 出版日期:2013-09-25 发布日期:2013-09-30

Application of stationary technical indicator in high-frequency trading based on MACD

BAO Si, ZHENG Wei-an, ZHOU Yu   

  1. School of Finance and Statistic, East China Normal University, Shanghai 200241, China
  • Received:2012-06-01 Revised:2012-09-01 Online:2013-09-25 Published:2013-09-30

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摘要： 近几年来, 高频交易在全球金融市场迅速发展,
引起了金融行业的广泛关注. 高频交易的“高频”特征,
导致其交易无法通过人为手动进行操作,
只能借助计算机程序化交易系统实现. 因此,
构建合理的高频交易策略模型是十分必要的. MACD(Moving Average
Convergence and
Divergence)是一种判断股票、期货、外汇买卖时机和进场点、跟踪价格运行趋势的常用分析工具.
基于MACD指标构造出适用于高频交易策略建模的平稳性指标,
并在对数增量平稳的假设下验证了新指标的平稳性. 最后,
通过实际应用创建交易策略来验证它的有效性和获利性,
提出一种在高频交易中新的交易思想.

关键词: 高频交易, MACD指标, 对数增量平稳过程, 平稳过程

Abstract: In recent years, the rapid development of the
high-frequency trading in the global financial market causes the
extensive concern of the financial world. Because of the ``high
frequency'' character, the high-frequency trading cannot be
implemented by manual operation, but only with the help of computer
programming trading system. Therefore, building a reasonable model
of high-frequency trading strategy is necessary. MACD is a very
important and commonly used technical analysis indicator in the
stocks, futures, foreign currency exchange market, it is commonly
used to judge the buying or selling time, and track the running
trend of price of assets. In this paper, we define a new stationary
technical indicator $\widehat{\rm MACD}_t$   based on MACD
indicator, which is suitable for high-frequency trading strategy
modeling. We also prove the stationarity of $\widehat{\rm MACD}_t$
under the hypothesis of stationarity of the increments of logarithm
price process. Finally, we construct a high-frequency trading
strategy based on $\widehat{\rm MACD}_t$  and test its effectiveness
and profitability by using real market high-frequency data. All
those put forward a new kind of thought in high-frequency trading.

Key words: high-frequency trading, MACD, logarithmic increment process, stationary process

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