【摘要】：期貨市場被人們認為是一個“零和博弈”的市場,并且期貨價格波動較大,所以要求投資者必須以投資的心態(tài)進入期貨市場,只有這樣才能降低在市場中發(fā)生虧損的可能性,達到盈利的目的。投資的心態(tài)是指,按照進入市場前設定的周密計劃嚴格操作。上世紀八十年代,美國是第一個提出程序化交易的國家。程序化交易最初是用來管理同一時間內(nèi)投資十五支股票以上的投資組合,所以程序化交易也被成為籃子交易(Basket Trading)。隨著互聯(lián)網(wǎng)及計算機技術的不斷發(fā)展,程序化交易是計算機技術與投資管理理論相結合的產(chǎn)物。程序化交易(Program Trading)主要是指與完成一組股票交易組合相關的相關程序方式。本文是針對程序化交易方法進行研究,其應歸屬于金融創(chuàng)新的范疇。程序化交易與傳統(tǒng)交易方式相比,其顯著的優(yōu)勢就是可以有效避免人性的弱點的同時,對風險和盈利有個預期估算,所以程序化交易被越來越多的投資者及經(jīng)紀商所認可,與此同時程序化交易也逐漸發(fā)展成熟。要想實現(xiàn)期現(xiàn)套利,就不可能與系統(tǒng)設計、風險識別及控制相分離這三個方面相分離。所以本文就圍繞這上述三個問題進行研究,同時結合我國證券市場的特點,對程序化交易模型進行優(yōu)化;并對交易流程及系統(tǒng)進行針對性的設計。除此之外,本文還針對程序化交易過程中需要解決的實時監(jiān)控、批量委托等問題進行深入研究,并提出了相應的優(yōu)化方案。在文章的最后,筆者根據(jù)程序化交易過程中存在的風險,提出了相應的識別風險和防范風險的應對措施,為期現(xiàn)套利提供更好的安全保證。
[Abstract]:The futures market is considered to be a "zero-sum game" market, and the futures price fluctuates greatly. Therefore, investors must enter the futures market with an investment mentality. Only in this way can the possibility of losing money in the market be reduced. To achieve profit. The mentality of investment refers to strict operation according to the careful plan set before entering the market. In the 1980 s, the United States was the first country to introduce procedural transactions. Programmed trading was originally used to manage portfolios of more than 15 stocks at the same time, so programmed trading is also called basket trading (Basket Trading). With the development of Internet and computer technology, programmed transaction is the combination of computer technology and investment management theory. Programmed trading (Program Trading) mainly refers to the relevant procedure related to the completion of a set of stock trading portfolios. This paper focuses on the procedural trading method, which should belong to the category of financial innovation. Compared with the traditional trading methods, the obvious advantage of programmed trading is that it can effectively avoid human weakness and have an expected estimate of risk and profit, so procedural trading is recognized by more and more investors and brokers. At the same time, procedural transactions are also gradually maturing. To realize current arbitrage, it is impossible to separate the three aspects of system design, risk identification and control. So this paper focuses on the above three issues, at the same time combined with the characteristics of China's securities market, to optimize the procedural trading model; and the transaction process and system targeted design. In addition, this paper makes a thorough study on the real-time monitoring and batch entrustment in the process of programmed transaction, and puts forward the corresponding optimization scheme. At the end of the paper, according to the risks existing in the process of procedural trading, the author puts forward the corresponding measures to identify risks and prevent them, so as to provide a better security guarantee for arbitrage.
【學位授予單位】：天津大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F724.5

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