The Application Analysis Of High Frequent Trading (HFT) In Chinese Security Market

After rapid development during the recent decades, Chinesefinancial market has become an import part of the global financial system.More and more trading strategies are being used in financial market withmore products introduced and technology developed. Especially afterindex future was released, more institutions are being involved inprogram and high frequency trading. So it provides practical values forreference by analyzing this topic in Chinese market.Firstly, it introduces the history of HFT, its definition and thedifference with other two similar concepts: program trading andalgorithm trading. As a sub category of algorithm trading, HFT hasdifferent features such as: highly quantified, low latency, marketneutral,.etc.Next, it gives couples of typical HFT strategies in three maincategories, they are: market making strategy, event arbitrage andstatistical arbitrage.HFT was introduced in western security markets, and developed alot after that. It takes many market shares in couple of key markets, however, it also bring risks and problems when it is widely used.It also describes the current situation about HFT in Chinese securitymarket and provides some analysis regarding application. As market isyoung and not mature, there are couple of quantitive traders, about HFT,due to limitations, there is few of investors with raw strategies and tools.Then, as the key part of how to apply HFT to Chinese securitymarket, it then explains the design of commercial used HFT tradingsystem in details based on current situation and future of Chinesefinancial market. It introduces: real-time market data system, strategysystem, real-time execution system and other support systems.At the end, in order to apply and approve the information describedin previous chapters, it simulates one simple strategy in index futuremarket. The result shows that it is profitable by using the HFT system andrelated strategy in Chinese market and it is promising.