Directional Trading in Equity Derivatives Markets
讲座名称：
Directional Trading in Equity Derivatives Markets
讲座时间：
2017-03-11
讲座人：
John Bilson
形式：
校区：
兴庆校区
实践学分：
讲座内容：
讲座题目： Directional Trading in Equity Derivatives Markets
（股票衍生工具市场的方向性交易）
讲座时间： 2017年3月11日 早上9:00-10:30
讲座地点：交大财经校区教学楼八楼国际交流厅
讲座摘要：
Most of the early systems for High Frequency Trading (HFT) focused on replacing the physical market makers with computer algorithms. These systems have been successful in reducing transactions costs but their very success has reduced the profitability of the systems. In response, more recent HFT systems have focused on implementing strategic approaches based upon established factors like value, size and momentum. In this paper, I develop a momentum based model for trend following in equity markets. I compare two implementations of the model: the first is based upon trading in the underlying security itself while the second is based upon trading equity options on the security. I demonstrate that there are significant differences in the performance of the two systems. This is preliminary work and it is not designed to demonstrate the profitability of either strategy.
早期大部分关于高频交易的研究专注于用计算机算法代替做市商的人工操作。但这套系统在降低交易费用上取得成功的同时也降低了获利可能性。为了解决这一问题，当前有关高频交易的研究致力于根据建模因素如：价值，规模和动量来实现策略性交易。在本文中，作者建立了一个动量模型，用以追踪股票市场的变动趋势。通过对比两种不同的交易模型的实施，一种是建立在标的资产的交易，另一种是建立在股票期权上的交易，作者发现两套系统表现出明显的差距。
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