[书籍分享]高频交易及其概率理论

    In recent years, high-frequency trading(HFT) became an extremely hot topic in capital markets around the world.Normally, HFT has the following attributes:

    It is a kind of automatic trading strategy,which means that the trading is done by computer and there is no instance ofhuman decision making during the buying or selling of any instrument. Some HFTsystems allow traders to have some influence on it, but they can only change afew parameters of the strategy, and must allow the system to apply these parametersto the strategy making the trades.

    The traders keep positions for a very shorttime. In most cases, only several seconds or minutes. Some people believe thattraders should not take any position over night, while others think it isallowed. But most agree that, HFT should not keep the main parts of theposition to the second day.High-frequency traders only trade viaelectronic trading systems, not over-the-counter (OTC) markets, or any marketstill using outcries.

    It uses a high-speed connection to connectto the market, so as to retrieve high-frequency market data and place orders.In most cases, HFT requires the fastest access methods for a specified market,for example, the securities exchange place.

    Low latency is always very important forHFT. Various technologies are used for this target, including softwareoptimization, hardware accelerators and dedicated network equipments. The timedifference between an input message and corresponding order insert action has beendefined as the internal response time , which is a key benchmark of latency forHFT. Recent competition has reduced it to several microseconds.

Unlike other low latency tradingstrategies, high-frequency traders normally calculate profit and Sharpe ratioon a daily basis, not just annually.

    Automatic trading is a result of wideacceptance of electronic trading platforms. Compared with doing thesestrategies manually, automatic trading has a lot of advantages: accuracy,objectiveness, no emotion, and low cost. Therefore, it is becoming more andmore popular. Any strategies that are without the feelings of traders can beconverted to an automatic trading strategy. As the market grows, the tradingcosts become lower and lower, allowing for more high-frequency strategy to apply to the market. A trader cannot guarantee that his trades are all with positive return.     

    However, if the strategy is correct and can be applied repeatedly in astatistically stationary way, then according to the strong ergodic theorem, theaccumulated profit will be increasing at a stable rate. Therefore, allautomatic traders may try to find some HFT algorithm for a large accumulatedvolume. So we can say that, HFT is the result of market and technologicalimprovements.44_High－Frequency_Trading_and_Probability_Theory.pdf
交易技术, 交易策略

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