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High Frequency And Statistic Arbitrage Analysis Based On Program Trading

Posted on:2015-08-24Degree:MasterType:Thesis
Country:ChinaCandidate:X FanFull Text:PDF
GTID:2309330464963278Subject:Finance
Abstract/Summary:PDF Full Text Request
With the development of quantitative financial theory, information technology greatly play an increasingly importance role to the financial sector. Not only transactional-based data storage processing or orders, but also based trading and risk control because of the enormous amount of data and the real-time requirements. The appearance of the high frequency trading and its core strategy adaptive algorithm is adjusted by the dynamic mathematical formula. This mathematical model, from the standpoint of signal processing is a digital filter is an adaptive algorithm, from a software standpoint.This paper, using specific examples combination of statistical arbitrage and high frequency trading transactions carried out research and demonstration of specific data, specific stock case focuses on China’s securities market, a comprehensive introduction to the theoretical basis of statistical arbitrage, research and performance evaluation.The full text of the relevant content of a main part of:The first chapter introduces a comprehensive overview of computer automated trading and development, the development of IT industry on financial transactions to promote, not only reflected in the technical support, while also developing strategies judgments.The second chapter introduced the basic situation of high-frequency trading and statistical arbitrage concept and study of high-frequency trading combined statistical arbitrage trading advantages and requirements of computer platforms.Chapter Three goes to the theory of statistical arbitrage strategy stage, which is a core part of this article. Start from the simple pairing transactions mean regression model to the slightly more complex, multi-factor model and co-package of Lee model. Eventually into the analysis and research, including neural networks, genetic algorithms and chaotic time series, including statistical arbitrage based on data mining technology and theory.Chapter Four China’s securities market stock case pairing models and co integration model statistical arbitrage the instance argument analysis and research.Finally, focus on the performance assessment of model testing and the outlook of statistical arbitrage strategies.
Keywords/Search Tags:High Frequency, Statistical Arbitrage, Pairs Trading, co integration Arbitrage, BP Module
PDF Full Text Request
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