基于在线理论的股票算法交易策略研究

doi:10.12005/orms.2015.0031

运筹与管理 ›› 2015, Vol. 24 ›› Issue (1): 222-230.DOI: 10.12005/orms.2015.0031

基于在线理论的股票算法交易策略研究

朱莹, 茹少峰, 张文明

西北大学经济管理学院,陕西西安 710127

收稿日期:2013-06-17 出版日期:2015-02-12
作者简介:朱莹(1988-),女,陕西宝鸡人,硕士研究生,研究方向:金融投资,资本运营;茹少峰(1962-),男,陕西咸阳人,博士,教授,研究方向:运筹管理,数理经济等。
基金资助:
国家自然科学基金青年项目(71201123);陕西省自然科学基础研究计划项目(2014jq8367);西北大学科学研究基金项目(11NW04)

Study on the Stock Algorithmic Trading Strategy Based on Online Theory

ZHU Ying, RU Shao-feng, ZHANG Wen-ming

School of Economics and Management, Northwest University, Xi’an 710127, China

Received:2013-06-17 Online:2015-02-12

摘要/Abstract

摘要： 运用在线理论研究多支股票算法交易策略。在El-Yaniv等人研究基础上,构造了单支股票买入问题的在线策略,证明该策略为最优在线策略;将构造的单支股票交易策略应用到多支股票交易策略问题中,设计了多支股票交易策略算法,并以每支股票收益加权进行投资组合;最后选择上证A股二十支股票从2009年到2012年的交易时间价格数据验证本文所提策略有效性。将20支股票随机抽取10支组成一组,选4组分别进行验证,结果表明本文所给策略对于任意选择的多支股票有较好收益。对交易周期分别选取10个偶数长度进行验证,发现交易周期为18天时平均收益最大,平均收益率为5.2%。

关键词: 算法交易, 交易策略, 在线理论, 竞争比

Abstract: The online theory is used to study multi-stock algorithmic trading strategy. On the basis of El-Yaniv’s research, online buying strategy is established and proved to be the optimal online strategy; multi-stock algorithmic trading strategy is designed and the investment portfolio is determined by weighting every stock yield with applying single stock trading strategy into multi-stock trading strategy. Transaction time data of twenty stocks, which are picked out of the A Stock of Shanghai Stock Exchange, is selected to test and verify the validity of the strategy mentioned in this paper. Ten stocks are randomly picked out of these twenty stocks to compose a group, and four groups are selected to be tested respectively, and the result indicates that the strategy proposed in this paper has better yield to any multi-stock. As for transaction cycle, ten even length is selected for test and the result implies the average yield will reach its maximum when the transaction cycle is eighteen and the average yield is 5.2%.

Key words: algorithmic trading, trading strategy, online theory, competitive ratio

中图分类号:

F830.91

朱莹, 茹少峰, 张文明. 基于在线理论的股票算法交易策略研究[J]. 运筹与管理, 2015, 24(1): 222-230.

ZHU Ying, RU Shao-feng, ZHANG Wen-ming. Study on the Stock Algorithmic Trading Strategy Based on Online Theory[J]. Operations Research and Management Science, 2015, 24(1): 222-230.

参考文献

[1] 罗文辉,胡政.客观看待曾被视为洪水猛兽的程序交易[J/OL].http://finance.sina.com.cn/roll/20120716/011112571809.shtml.2012.
[2] Bauer R J, Liepins G E. Genetic algorithms and computerized trading strategies[M]. New York:Elsevier Science Publishers, 1992.
[3] Olivier V, Dacorogna M, Chopard B. Using genetic algorithms for robust optimization in financial applications[J]. Neural Network World, 1995, 5(4): 573-587.
[4] Papadamou S, Stephanides G. Improving technical trading systems by using a new MATLAB-based genetic algorithm procedur[J]. Mathematical and Computer Modelling, 2007, 46: 189-197.
[5] Nicholls J F, Malan K M, Engelbrecht A P. Comparision of trade decision strategies in an equity market GA trader[C]. Computational Intelligence for Financial Engineering and Economics(CIFEr), 2011 IEEE Symposium, 2011. 51-58.
[6] Strabburg J, Gonzalez M C, Alexandrov V. Parallel genetic algorithms for stock market trading rules[J]. Procedia Computer Science, 2012, 9: 1306-1313.
[7] Chavarnakul T, Enke D. Intelligent technical analysis based equivolume charting for stock trading using neural networks[J]. Expert Systems and Applications, 2008, 34(2): 1004-1017.
[8] 方兆本,镇磊.基于非对称效应ACD模型和分时VWAP算法对A股市场算法交易的量化分析研究[J].中国科学技术大学学报,2011,41(9):753-759.
[9] 张戈,程棵,陆凤彬,汪寿阳.基于Copula函数的程序化交易策略[J].系统工程理论与实践,2011,31(4):599-605.
[10] El-Yaniv R, Fiat A, Karp R M, Turpin G. Optimal search and one-way trading online algorithms[J]. Algorithmica, 2001, 30(1): 101-139.
[11] Lorenz J, Panagiotou K, Steger A. Optimal algorithms for k-search with application in option pricing[J]. Algorithmica, 2009, 55(2): 311-328.
[12] Damaschke P, Ha P H, Tsigas P. Online search with time-varying price bounds[J]. Algorithmica, 2009, 55(4): 619-642.
[13] Zhang W M, Xu Y F, Zheng F F, Liu M. Online algorithms for the general k-search problem[J]. Information Processing Letters, 2011, 111(3): 678-682.
[14] Xu Y F, Zhang W M, Zheng F F. Optimal algorithms for the online time series search problem[J]. Theoretical Computer Science, 2011, 412: 192-197.
[15] Zhang W M, Xu Y F, Zheng F F, Dong Y C. Optimal algorithms for online time series search and one-way trading with interrelated prices[J]. Journal of Combinatorial Optimization, 2012, 23: 159-166.
[16] 朱志军,徐寅峰,姜锦虎.存在利率和交易费用的单方向局内外汇兑换问题的竞争分析[J].预测,2003,22(4):51-55.
[17] 徐寅峰,朱志军.在线单方向外汇兑换问题研究[J].系统工程,2004,22(4):39-43.
[18] Mohr E, Schmidt G. Empirical analysis of an online algorithm for multiple trading problems[C]. Communications in Computer and Information Science(CCIS), 2008: 293-302.
[19] Schmidt G, Mohr E, Kersch M. Experimental analysis of an online trading algorithm[J]. Electronic Notes in Discrete Mathematics, 2010, 36(1): 519-526.
[20] Hiroshi F, Kazuo I, Yoshiyuki S. Average-case competitive analyses for one-way trading[J]. Lecture Notes in Computer Science, 2008, 21(1): 41-51.
[21] 徐维军,胡茂林,张卫国,肖炜麟.具有美式看跌期权的单方向在线外汇兑换竞争策略设计[J].系统工程理论与实践,2011,31(9):1635-1644.

基于在线理论的股票算法交易策略研究

Study on the Stock Algorithmic Trading Strategy Based on Online Theory

PDF

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 15

编辑推荐

Metrics

[1]	李娟, 夏登峰, 费为银. 随机通胀风险下基于半鞅理论的最优投资策略[J]. 运筹与管理, 2021, 30(5): 188-192.
[2]	徐金红, 徐维军, 秦旭. 基于高斯分布的在线采购机制设计及竞争分析[J]. 运筹与管理, 2021, 30(3): 98-103.
[3]	樊相宇, 林小果, 武小平. 环形路网上带有服务时长的在线TSP问题[J]. 运筹与管理, 2020, 29(6): 139-144.
[4]	马军平, 徐寅峰, 吴腾宇. 有服务时长和服务可选择性的快递车辆调度在线策略研究[J]. 运筹与管理, 2020, 29(1): 38-46.
[5]	徐维军, 董鹏翠, 彭子衿. 基于优惠合同的在线租赁策略设计[J]. 运筹与管理, 2019, 28(3): 183-190.
[6]	马卫民, 张颖, 李刚. 带有交易费用和持有成本的局内采购管理模型竞争分析[J]. 运筹与管理, 2018, 27(1): 171-177.
[7]	夏晖, 杨岑. 基于成交量分解模型的改进VWAP策略[J]. 运筹与管理, 2017, 26(2): 146-152.
[8]	胡茂林,徐维军. 购买价格递减的在线租赁问题策略设计[J]. 运筹与管理, 2015, 24(5): 281-287.
[9]	姚海博, 茹少峰, 张文明. 基于动态交易量预测的VWAP算法交易卖出策略[J]. 运筹与管理, 2015, 24(2): 215-220.
[10]	胡丹, 农庆琴, 方奇志. 单位工件的平行机并行分批在线排序问题的算法[J]. 运筹与管理, 2015, 24(1): 137-141.
[11]	徐金红, 马银戌, 蒋微青. 统计信息下在线反向拍卖的竞争分析[J]. 运筹与管理, 2014, 23(4): 213-218.
[12]	马卫民, 徐博, 黄卉, 陈香堂. 双人合作的在线雪橇租赁问题[J]. 运筹与管理, 2013, 22(4): 12-19.
[13]	徐寅峰, 曹永峰, 郑斐峰. 单水库在线发电调度策略设计与分析[J]. 运筹与管理, 2011, 20(6): 82-87.
[14]	杨名, 鲁习文, 汪磊扬. 在线可中断二台机器流水作业问题[J]. 运筹与管理, 2011, 20(5): 27-30.
[15]	张文明, 徐寅峰, 苏兵. 顾客需求量不确定时生产商的在线数量折扣策略[J]. 运筹与管理, 2011, 20(2): 170-175.