| 一种改进的动态IS算法交易策略 |
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| 引用本文： | 罗启轩,李汉东.一种改进的动态IS算法交易策略[J].北京师范大学学报(自然科学版),2017,53(3). |
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| 作者姓名： | 罗启轩 李汉东 |
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| 作者单位： | 北京师范大学系统科学学院,100875,北京;北京师范大学系统科学学院,100875,北京 |
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| 基金项目： | 国家自然科学基金面上资助项目，中央高校基本科研业务费专项资金资助项目 |
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| 摘 要： | 在IS算法交易策略基础上,提出了一种考虑股票市场实时变化的改进动态IS算法交易策略.同时,针对中国股票市场的实际情况,设计了模拟市场交易平台,将改进动态IS算法交易策略、传统IS算法交易策略及随机交易策略分别引入到模拟平台当中进行比较.模拟结果显示,改进动态IS算法可有效降低交易成本,并明显优于传统IS算法和随机交易策略.
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| 关 键 词： | 改进动态IS算法 模拟交易 交易策略 已实现波动 |
Improved dynamic trading strategy IS algorithm |
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| LUO Qixuan,LI Handong.Improved dynamic trading strategy IS algorithm[J].Journal of Beijing Normal University(Natural Science),2017,53(3). |
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| Authors: | LUO Qixuan LI Handong |
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| Abstract: | An improved dynamic IS algorithmic trading strategy is presented,taking into account of real time changes in the stock market.Actual situation in the Chinese stock market was used to design a simulated trading platform,then the improved dynamic IS algorithmic trading strategy was introduced.Traditional IS algorithmic trading strategy and random trading strategy were compared.Simulations confirmed that the improved dynamic IS algorithm was able to reduce effectively transaction costs,and was superior to both traditional IS algorithms and random trading strategy. |
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| Keywords: | improved dynamic IS algorithmic simulated trading trading strategy realized volatility |
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