本文選題：并行處理　切入點：高頻數(shù)據(jù)　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

【摘要】：市場微觀結(jié)構(gòu)理論是近二十年來發(fā)展最快的金融領(lǐng)域之一。本文屬于市場微觀結(jié)構(gòu)的研究范疇,文章從市場機制、投資者行為和市場質(zhì)量的角度討論了中國期貨市場微觀結(jié)構(gòu)。期貨市場機制分析比較了做市商機制和競價機制的優(yōu)劣,介紹了中國期貨市場風險管理制度；期貨投資者行為分析了中國期貨市場投資者結(jié)構(gòu),認為個人投資者比重過高導致了市場的投機性。針對采用高頻數(shù)據(jù)實證研究市場微觀結(jié)構(gòu)中的問題,提出采用機群并行處理技術(shù)解決計算機處理能力瓶頸,首次詳細介紹了并行處理的技術(shù)方法。實證研究上,應用計算機群并行處理分析了棉花、滬銅、滬鋅和黃金期貨的“日歷效應”,指出期貨價格波動、價差等指標日內(nèi)呈“L”型波動,并提出“L”型波動源于日間數(shù)據(jù)量和日內(nèi)數(shù)據(jù)量之間的差距；針對分筆數(shù)據(jù)研究中樣本時間間隔不等問題,采用自回歸條件久期模型(ACD)分析了棉花期貨合約交易集聚性問題,證實期貨交易的集聚性,回歸結(jié)果顯示期貨交易久期受一階滯后項影響,比較了EACD和WACD模型的估計結(jié)果,認為在本次實證中EACD和WACD模型沒有顯示出明顯的估計效果差異。最后,以微觀結(jié)構(gòu)研究和高頻數(shù)據(jù)研究的商業(yè)層面應用為出發(fā)點,探討了高頻自動交易在中國的發(fā)展。
[Abstract]:The theory of market microstructure is one of the fastest growing financial fields in the past two decades. From the angle of investor behavior and market quality, this paper discusses the microstructure of Chinese futures market, analyzes and compares the advantages and disadvantages of market maker mechanism and bidding mechanism, and introduces the risk management system of Chinese futures market. The behavior of futures investors analyzes the structure of investors in China's futures market, and considers that the excessive proportion of individual investors leads to the speculative nature of the market. In this paper, a cluster parallel processing technique is proposed to solve the bottleneck of computer processing capability. The technical method of parallel processing is introduced in detail for the first time. "Calendar effect" of Shanghai zinc and gold futures, pointing out that futures price fluctuation and price difference fluctuate in "L" type within a day, and pointing out that the "L" type fluctuation originates from the gap between the amount of data between days and the amount of data within days. Aiming at the problem of unequal sample time interval in the study of split data, the paper analyzes the agglomeration of cotton futures contracts by using the autoregressive conditional duration model (ACDD), and proves the agglomeration of futures trading. The regression results show that the duration of futures trading is affected by the first order lag term. The results of EACD and WACD models are compared. It is concluded that the EACD and WACD models do not show significant difference in the estimated effects in this empirical study. Based on the commercial application of microstructure research and high frequency data research, this paper discusses the development of high frequency automatic trading in China.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F724.5

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相關(guān)期刊論文 前1條

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