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Quantitative system development and quantitative trading system app construction

2022-04-22 11:59:00 【InfoQ】

Quantitative trading system app Two major ways of trading
1、 Statistical arbitrage
Statistical arbitrage is the arbitrage by using the historical statistical law of asset prices , It's a risk arbitrage , The risk is whether this historical statistical law will continue to exist in the future .
The main idea of statistical arbitrage is to find out the best correlation of several investment varieties , Then find out the long-term equilibrium relationship between each pair of investment varieties ( Co integration ), When the price difference of a pair of varieties ( The residual of the cointegration equation ) When the deviation reaches a certain degree, the warehouse will be built , Buying relatively undervalued varieties 、 Short selling of relatively overvalued varieties , After the equivalent difference returns to equilibrium, take profit .
2、 Algorithmic Trading .
Algorithm transaction is also called automatic transaction 、 Black box or machine trading , It means designing algorithms , The use of computer programs to issue trading instructions . In the transaction , The scope that the program can determine includes the choice of trading time 、 The price of the deal , Even the number of assets that need to be traded in the end .
The main types of algorithmic transactions are :
⑴) Passive algorithm transaction , Also known as structural algorithm transaction . In addition to using historical data to estimate the key parameters of the trading model , We will not choose the trading time and quantity according to the market conditions , It's trading according to a set trading policy .
(⑵) Active algorithm transaction , Also known as opportunity algorithm transaction . Such trading algorithms make real-time decisions based on market conditions , Judge whether the transaction is 、 The number of transactions 、 The price of the transaction, etc .
(3 Comprehensive algorithm transaction , The deal is a combination of the first two . The common way of this kind of algorithm is to split the transaction order first , Spread over several periods of time , How to trade in each time period is judged by the active trading algorithm . The combination of the two can achieve simple — An effect that cannot be achieved by this algorithm .
There are three strategies for algorithmic trading :— Is to reduce transaction costs : The second is arbitrage : Third, make a market .
This paper is written by 1382-311-6307 To write .
 

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