现代计算机（普及版）
現代計算機（普及版）
현대계산궤（보급판）
MODERN COMPUTER
2014年
2期
12-16,22
,共6页
套利%程序化交易%高频交易%股指期货%交易开拓者
套利%程序化交易%高頻交易%股指期貨%交易開拓者
투리%정서화교역%고빈교역%고지기화%교역개탁자
Arbitrage%Program Trading%High-Frequency Trading%Stock Index Futures%TradeBlazer
套利是股指期货投资方式常见的一种，由于其风险低、收益稳健，而受到很多机构投资者的青睐。但是套利交易频率高，时间短促，盈利机会稍纵即逝，所以亟需借助程序化交易。从实证角度，基于专业量化交易软件“交易开拓者”TradeBlazer，利用高频数据构建均值回复套利策略，为机构投资者跨期套利提供一个可行的框架。
套利是股指期貨投資方式常見的一種，由于其風險低、收益穩健，而受到很多機構投資者的青睞。但是套利交易頻率高，時間短促，盈利機會稍縱即逝，所以亟需藉助程序化交易。從實證角度，基于專業量化交易軟件“交易開拓者”TradeBlazer，利用高頻數據構建均值迴複套利策略，為機構投資者跨期套利提供一箇可行的框架。
투리시고지기화투자방식상견적일충，유우기풍험저、수익은건，이수도흔다궤구투자자적청래。단시투리교역빈솔고，시간단촉，영리궤회초종즉서，소이극수차조정서화교역。종실증각도，기우전업양화교역연건“교역개탁자”TradeBlazer，이용고빈수거구건균치회복투리책략，위궤구투자자과기투리제공일개가행적광가。
Arbitrage is a common kind of way to invest the stock index futures, due to its low risk and moderate incomes, is favored by many institu-tional investors. But it is such a way of trading requiring high frequency and speed that the profit opportunities are easily fleeting. Conse-quently, it should be operated with the help of the program trading. The following is based on professional quantitative trading software“TradeBlazer”, from the empirical view of the point, uses the high-frequency data to construct the arbitrage strategy of the mean rever-sion. It provides the institutional investors with a feasible framework of the calendar spread arbitrage.
