The Influence Of Investor Sentiment And Informed Trading Probability On Stock Index Futures Market

With the rapid development of computer technology,high-frequency quantitative trading is gradually rising.On the one hand,information transmission in the high-frequency market is bound to have an impact on asset prices and promote the study of Market Microstructure.On the other hand,the emergence of financial anomalies is also challenging the traditional financial theory,behavioral finance came into being,and the impact of investor sentiment on the market is more self-evident.Therefore,this paper considers the probability of informed trading in the Market Microstructure and investor sentiment in Behavioral Finance to build an analysis framework to try to explore the impact of CSI 300 Stock Index futures market.This paper uses the CSI 300 Stock Index futures minute data from April 2010 to December 2017 in Wind Financial Database to study.First of all,using the principal component analysis method to construct the composite index of investor sentiment in CSI 300 Stock Index futures market.Secondly,Volume-Synchronized Probability of Informed Trading(VPIN)and Dynamic Informed Trading Probability(DPIN)designed from reverse trading and herd trading are calculated.Then,this paper uses the regression model to study the forecasting ability of the three indexes to the market return,liquidity and volatility under the different trading frequency of intraday high frequency and daily low frequency.At the same time,the relationship between liquidity and volatility is discussed.Furthermore,investor sentiment is divided into institutional investor sentiment and noise trader sentiment by residual decomposition.By introducing dummy variables,refined DPIN are obtained.Finally,using the results of the previous study,based on the above indicators to build a quantitative strategy,through back testing the indicator data from April 2010 to April 2019,further verify the effectiveness of each indicator from the perspective of transaction.The empirical results show that the three indexes can predict the volatility and liquidity of CSI 300 Stock Index futures market at different time and frequency,but only VPIN can predict the market return.Furthermore,it is found that the liquidity index has a long memory,which has a significant relationship with volatility and trading volume.Then,from the perspective of investor sentiment,to verify the prediction ability of liquidity,the investor sentiment composite index is significant;for the prediction ability of volatility,Noise Trader Sentiment Index is dominant.At the same time,the DPIN index modified by sentiment and trading volume has better influence on the market.Finally,the quantitative strategies based on the three indicators studied in this paper have a good performance level.