1, statistical arbitrage.
Statistical arbitrage is arbitrage by using the historical statistical law of asset prices. It is a kind of risk arbitrage, and its risk lies in the fact that this historical statistical law is
Whether the future will continue to exist.
The main idea of statistical arbitrage is to find out several pairs of investment products with the best correlation, and then find out the long-term equilibrium relationship of each pair of investment products (portfolio)
Overall relationship), when the price difference (residual of cointegration equation) of a pair of varieties deviates to a certain extent, they start to open positions and buy relatively undervalued varieties.
Shorting relatively overvalued varieties, profit-taking after the spread returns to equilibrium.
Hedging of stock index futures is a long-term operation strategy of statistical arbitrage, that is, using the index correlation of different countries, regions or industries, and at the same time,
Buy and sell a pair of index futures for trading. Under the condition of economic globalization, the stock indexes of various countries, regions and industries are more and more closely related.
Strong, easy to lead to the emergence of stock index systemic risk. Therefore, the statistical arbitrage between hedge indexes is a low-risk and high-yield exchange.
Simple method.
2. algorithmic trading.
Algorithm trading, also known as automatic trading, black box trading or machine trading, refers to the party who issues trading instructions by designing algorithms and using computer programs.
Law. In the transaction, the scope that the program can decide includes the choice of transaction time, the price of the transaction, and even the number of assets that need to be traded in the end.
Quantity.
The main types of algorithmic trading are: (1) passive algorithmic trading, also known as structural algorithm trading. Transaction algorithms not only use historical data to estimate transactions
In addition to the key parameters of Yi model, we will not actively choose trading opportunity and trading times according to market conditions, but follow an established trading policy.
Make a deal. The core of this strategy is to reduce the sliding price (the difference between the target price and the actual average transaction price). Passive algorithm trading is the most mature and used most.
For a wide range, such as the most commonly used transaction weighted average price (VWAP) and time weighted average price (TWAP) in the international market, they all belong to the category of "transaction weighted average price".
Dynamic algorithm trading. (2) Active algorithmic trading, also called opportunistic algorithmic trading. This trading algorithm makes real-time decisions according to market conditions.
Policy, judging whether to trade, trading quantity, trading price, etc. Active trading algorithm not only tries to reduce sliding price, but also pays attention to key points one by one.
Gradually turn to price trend forecasting. (3) Comprehensive algorithm trading is a combination of the first two. The common way of this kind of algorithm is to put the transaction first.
The instructions are divided into several time periods, and how to trade in each time period is judged by the active trading algorithm. The combination of the two is achievable.
Achieve the effect that simple algorithms can't achieve.
There are three trading strategies for algorithmic trading: one is to reduce transaction costs. Large orders are usually divided into several small orders and gradually enter the market.
The success of this strategy can be measured by comparing the average purchase price and the weighted average price of transaction volume in the same period. The second is arbitrage. typical
Arbitrage strategies usually include three or four kinds of financial assets, such as domestic bond prices and bond prices denominated in foreign currencies according to the exchange rate parity of the foreign exchange market.
Case, the spot exchange rate and the forward exchange rate contract price will have certain correlation, if the market price deviates greatly from the price implied by the theory, and
If it exceeds its transaction cost, you can use four transactions to ensure risk-free profits. The term arbitrage of stock index futures can also be completed by algorithmic trading. three
It's market making. Market making includes hanging a limit order above the current market price or hanging a limit order below the current price to make up for the bid-ask spread.
Profit from it. In addition, there are more complex strategies, such as the "benchmark" algorithm used by traders to simulate index returns, while the "sniffing" algorithm is used for discovery.
The most unstable market. Any type of pattern recognition or prediction model can be used to start algorithmic trading.