High-Frequency Trading Strategy Based On Chinese Stock Price Index And Stock Portfolio

In recent years, high frequency trading(HFT) is developing rapidly in the stock market in Europe and the United States. With strong profitability and low risk, it has been the new darling of the investment analysis profession. While HFT is becoming more and more popular in Asian security markets., its research is becoming more necessary. This paper reviews the development of high-frequency trading, and discussed the related previous scholars systematically. Different from the existing literature, this paper proposed a new type of HFT strategy for domestic T+1market.Correlation analysis and cluster analysis were used in order to build the best stock portfolio, we also fit the yield spreads sequence with stable distribution and calculate the best quantiles. After estimating the impact cost in detail, this strategy can get an annual return of25.04%, which is very excellent. The results also indicate the existence of certain HFT opportunities in the domestic market.