Research On Empirical Analysis And Trading Strategy Of Informed Trading Probability Of Stock Index Futures Based On VPIN

Since the launch of China's Shanghai and Shenzhen 300 stock index futures,flexible trading rules and leverage system have made it one of the most active markets in terms of trading volume,and it also provides a realistic possibility for the development of high-frequency trading and quantitative investment in China.At the same time,a series of speculative arbitrage and informed trading seriously endangered the market order of stock index futures,which not only lost the rights and interests of investors,but also raised higher challenges for the regulatory authorities.Therefore,it is especially important to study the market microstructure of China's stock index futures from the perspective of information.We use the non-parametric model named VPIN proposed by Easley(2011)and others.Based on the high-frequency transaction data of China's CSI300 stock index futures from 2015 to 2017,the market's informed trading probability level is measured during the sample period,and its statistical attribute is analyzed.In general,the probability of informed trading of China's stock index futures is at a lower position.Secondly,by demonstrating the VPIN value and market volatility,the results show that the larger the VPIN value,the higher the market volatility in the short term,and the appearance of the VPIN extreme value has a certain predictive effect on the market risk and even the collapse.According to the empirical results,combined with the assumption that informed trading affects market information and trading behavior,we redesigns the doubleaverage timing strategy,that is,adding VPIN indicators based on the original opening conditions,thereby shielding many invalid signals,and according to backtesting results based on data in 2018,the optimized strategy can effectively reduce transaction risk while obtaining higher returns,and has strong application value.