Application of stationary technical indicator in high-frequency trading based on MACD
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摘要: 近几年来, 高频交易在全球金融市场迅速发展, 引起了金融行业的广泛关注. 高频交易的高频特征, 导致其交易无法通过人为手动进行操作, 只能借助计算机程序化交易系统实现. 因此, 构建合理的高频交易策略模型是十分必要的. MACD(Moving Average Convergence and Divergence)是一种判断股票、期货、外汇买卖时机和进场点、跟踪价格运行趋势的常用分析工具. 基于MACD指标构造出适用于高频交易策略建模的平稳性指标, 并在对数增量平稳的假设下验证了新指标的平稳性. 最后, 通过实际应用创建交易策略来验证它的有效性和获利性, 提出一种在高频交易中新的交易思想.Abstract: In recent years, the rapid development of the high-frequency trading in the global financial market causes the extensive concern of the financial world. Because of the ``high frequency'' character, the high-frequency trading cannot be implemented by manual operation, but only with the help of computer programming trading system. Therefore, building a reasonable model of high-frequency trading strategy is necessary. MACD is a very important and commonly used technical analysis indicator in the stocks, futures, foreign currency exchange market, it is commonly used to judge the buying or selling time, and track the running trend of price of assets. In this paper, we define a new stationary technical indicator $\widehat{\rm MACD}_t$ based on MACD indicator, which is suitable for high-frequency trading strategy modeling. We also prove the stationarity of $\widehat{\rm MACD}_t$ under the hypothesis of stationarity of the increments of logarithm price process. Finally, we construct a high-frequency trading strategy based on $\widehat{\rm MACD}_t$ and test its effectiveness and profitability by using real market high-frequency data. All those put forward a new kind of thought in high-frequency trading.
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Key words:
- high-frequency trading /
- MACD /
- logarithmic increment process /
- stationary process
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[1] {1} Irene Aldridge. High-Frequency Trading A Practical Guide to Algorithmic Strategies and Trading Systems[M]. Wiley Trading, 2009.{2} Peter J. Brockwell Richard A. Davis, Time Series Theory and Methods[M]. Springer, 2006.{3} 郭朋. 国外高频交易的发展现状及启示[J]. 微观结构, 2012年7月.{4} 李达捷. 股指期货高频交易的实证研究[J]. 金融财税, 2013年1月.{5} 墨菲. 期货市场技术分析[M]. 地震出版社, 1994.{6} Ruey S. Tsay. Analysis of Financial Time Series[M]. Wiley-Interscience, 2005.{7} 王帅. 量化投资: 从行为金融到高频交易[D]. 上海: 华东师范大学, 2013.
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