摘要
近年来,大数据在各行业开始得到充分重视,以高频数据为基础的程序化交易不仅在海外市场蓬勃发展,在国内市场也悄然兴起,日益成为各方关注的热点。伴随着美国股市"闪电崩盘"、国内"816光大事件"等风险事件的发生,程序化交易的利弊也成为各方热议焦点。文章从程序化交易的数据基础、数据模型、风险管理出发,对国内外学术界关于程序化交易的理论和实证研究进行梳理,同时针对程序化交易引发的系统性风险提出了两种监测方案,以期为我国证券市场的程序化交易监管提供参考。
In recent years, big data has been got the full attention in various fields. The program trading which is based on high frequency data flourishes both in overseas and domestic markets, which has become a hot spot of concern to interested parties. When the occurrence of risk events such as the U.S. stock market 'flash crash' and the China '816' events, it has also become a hot focus. In this paper, we start from the data base, data model, risk management of program trading, introduce the theoretic and empirical research of the domestic and foreign academic circles about program trading, at the same time we put forward two methods to monitor systemic risk caused by program trading. We hope to provide some reference for regulating program trading in China securities market.
出处
《当代经济管理》
CSSCI
2015年第12期65-68,共4页
Contemporary Economic Management
基金
国家自然科学基金青年项目(71401105)
上海市自然科学基金面上项目(13ZR1427200)
上海市教委科研创新项目(13YZ126
13ZS144)
上海金融学院2014年青年教师科研资助计划
