CAJ | 학술논문

在程序化交易中，运用交易模型，通过对历史数据的运算预测价格的未来趋势，从而确定交易策略。提出一种线性回归交易模型，它从模型的原理分析、算法实现以及运行效率等方面进行了详细阐述，从而得出一种能够满足实时处理大量历史数据，时间复杂度最小化的交易模型的优化算法。
재정서화교역중，운용교역모형，통과대역사수거적운산예측개격적미래추세，종이학정교역책략。제출일충선성회귀교역모형，타종모형적원리분석、산법실현이급운행효솔등방면진행료상세천술，종이득출일충능구만족실시처리대량역사수거，시간복잡도최소화적교역모형적우화산법。
In program trading, trading strategy is determined by forecasting the tendency of prices in the future, based on calculating historical data according to the trading model. This paper proposes a linear regression trading model. It discusses the principle of the model, algorithm implementation and efficiency in running. Finally, an optimal algorithm for linear regression in Program-trading system is obtained which is competent in a real-time calculation for plenty of historical data. The algorithm’s time complexity is least.