Research On Value Formation Process And Empirical Study Of HFT's Underlying Assets

China's stock index futures products have been officially listed and traded in 2010,and the trading volume has been steadily rising until 2015.In 2015,the volume of transaction reached the highest level in history.In the same period,thousands of stocks falled staying in Shanghai and Shenzhen A shares markets.During this period,the total profit earned by the high-frequency trading of the people involved in the “Istonon Company's manipulation of the futures market case” exceeded 100 million yuan,which made investors stunned and exposed the supervision insufficient of the stock index futures market in China.Regulators believed that the stock index futures market played a role in helping the stock market crash in 2015.Stock index futures market entered a cold winter because of high margin and high liquidate expenses.However,with the improvement of regulatory measures,the openness of the market,and more rational investor's behavior in recent years,the strict control of stock index futures has experienced three times of loosening at the end of December 2018.Stock index futures market is gradually picking up.How can investors prepare for the next wave of market climax and use high-frequency trading to obtain excess profits? This paper provides a valuable reference.Based on the market effectiveness theory,the theory of Martingale and other research results,combined with the relevant information disclosed by the “Istonon case”,this paper uses the theory of probability theory,finance,economics and other disciplines to study the value formation process and the profitability of China's stock index futures contracts under high-frequency trading..The model enlightenment is obtained through the conclusion of the model,which lays a foundation for further research on the related issues of high-frequency trading.The research on the formation process helps investors better understand the highfrequency trading and its acquisition of excess profits,clarifies the starting point of investors to participate in or to improve high-frequency trading,so that they can grasp better investment opportunities under a more relaxed regulatory environment.In theory,it is a research and discussion on the formation process of high-frequency trading value in China's current stock index futures market,which provides a new perspective for the related research of “Istonon case”.It is also an important supplement to the existing literature that use a variety of static weak form efficiency testing methods to test the validity of China's stock index futures market at the present stage.The innovation of this thesis is mainly reflected in the following aspects: the further division of investors in the value formation process model of high-frequency trading,that is,price insiders and non-price insiders within the time interval of market feedback;design of high-frequency trading framework based on information.The specific contents of the thesis are as follows: Firstly,for rationality and readability,the relevant theories involved in the following contents are briefly explained.Secondly,based on the theory of martingale,the information-based value formation model is constructed.Get two sufficient conditions of price insider's excess profit obtaining: speed can identify the price trend,speed can observe the signal related to the next moment of price.And then I discuss the relationship between the high frequency trader and the price insider,the model enlightenments are obtained.Again,in order to further explore the profitability,using three weak form efficiency testing methods and different frequencies and periods of data,I conducted market effectiveness tests.The results show that on the whole,China's stock index futures market has achieved a weak form of effectiveness.However,according to the test results of annual and partial intraday data,the change of price series still has certain trend.Investors can obtain excess profits by fundamental analysis and technical analysis.On the basis of this result,based on the double-average strategy and the box theory,I conducted synthetic transaction and got their profit differences.The result supports the conclusion of the value formation model.Finally,I design the framework of the highfrequency trading platform,and specifically discuss the optimization design based on the value formation model.That including the high-frequency data reception and processing,the trend tracking strategy combine with related information,and transaction performance evaluation and strategy revision.