- Micro:优秀的高频公允价指标
摘要 本报告聚焦于期货市场中高频公允价的确定机制,旨在探讨和评估传统公允价指标与新兴高频公允价指标Micro 的性能表现。首先,我们概述了做市商在期货市场中的关键作用,强调了公允价对于做市商重要性。随后,我们分析了传统公允价指标Mid和Vwap 在实际应用中的局限性。 最后,我们引入了Micro这
- 高频交易对
引言 科技的进步深刻地改变了金融市场。具体到证券市场而言,高频交易(High FrequencyTrading,HFT)是近期最受关注的“技术冲击”产物之一。根据美国商品期货交易委员会(The US Commodity Futures Trading Commission,CFTC)的定义:高频交易是指一种高速度、高频次的交易方式,通过预设的计算机算法实现,指令间隔通常
- 高频交易的监管透视 - docs. static. szse. cn
一、问题的提出 随着科技进步和数字化的不断深入,全球资本市场经历了深刻变革,尤其是在交易技术领域,高频交易作为一种先进的交易手段,日益成为了主导市场动态的重要工具。美国国会研究处(Congressional Research Service)近期的一份报告显示,高频交易在美国与欧洲资本市场
- hux@pbcsf. tsinghua. edu
Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (II), SIAM ASA Journal on Uncertainty Quantification, volume 6, pages 61-86, 2018 (with Yong Zeng and David Kuipers)
- High-Frequency Trading: A Practical Guide to Algorithmic . . .
So what is high-frequency trading, and what is its allure? innovation that separates high-frequency from low-frequency high turnover of capital in rapid computer-driven responses to market conditions High-frequency trading strategies are characterized a higher number of trades and a lower average gain per trade ditional money managers hold their trading positions for weeks
- 直接市场接入（DMA） - shfe. com. cn
直接市场接入(Direct Market Access,DMA)是指客户的交易指令在不经过中间商的情况下,毫不滞留地传送至交易场所的一种接入技术。DMA最早起源于二十世纪九十年代的证券市场,随着全球金融市场从原来的公开喊价交易变为集中电子化交易,以及高频交易和电子交流网络(ECNs)的发展而得到越来越多的应用
- CSRC Programme Trading Regulations Consultation FIA . . .
FIA3 appreciates the China Securities Regulatory Commission’s (CSRC) publication of the “Administrative Regulations on Programme Trading in the Futures Markets (Trial Implementation)(Consultation Draft)” (the “Draft Regulations”) and welcomes the opportunity to provide comments for CSRC’s consideration This transparent approach demonstrates a commendable commitment to engaging
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