Automatic Trading Research In The Securities Market Based On Arbitrage Pricing Theory

Along with domestic securities markets increasing development, implementof the stock index futures and margin trading enhance short mechanism. Thosechanges have brought challenges to traditional financial institutes. But at the sametime, it will create more opportunities to the financial industry. China securitiesmarket has learned from its own development that there are many aspects thatneed to be further perfected and improved. The core issues to financial companiescan be summarized as the mode of earning profit is quite single, which lack ofcore competitiveness. How to change this situation and reach new peaks is themost important problem in the course of financial reform.The application of automatic trading technology is an important mark ofsecurities market modernization. With rapid economic development, China’s stockmarket continues to be refined, it is more and more clear that the automatictrading system is important and indispensable for the developed financial markets.In this paper, on the basis of theoretical and empirical analysis, a research onthe automatic trading was developed, the basic concepts and study status bothdomestic and abroad was reviewed. Moreover, this article mainly focused on thedifferent application way of automatic trading based on the arbitrage pricingtheory (APT). Combined with APT, the paper designs an automatic trading model,which has been fully tested.At the end of the paper, it introduces an empirical case applied in ChinaGreat Wall Securities. It also provides a math model for the SUNGARD_ASTPautomatic trading system and explains its basic function.