程序化交易策略及其在中国金融市场中的应用

摘  要
金融技术创新大大的推动了金融业的发展。计算机程序化交易正是属于金融技术创新的范畴，因此研究计算机程序化交易对于金融业的发展具有非常重要的意义。基于中国关于程序化交易的研究起步较晚，而且应用尚不成熟，本论文的研究为中国关于程序化交易的研究提供了参考。
本论文首先介绍了程序化交易的发展及国内外发展状况，之后对程序化交易的策略进行分析。首先介绍了程序化交易的基本原理，概述了程序化交易的各种策略及方法，并对几大公司的程序化交易案例的进行了分析。
其次,对程序化交易在中国的发展进行分析，这一部分首先介绍了程序化交易在中国的发展情况及特点，对程序化交易在中国的发展进行了分析，阐述了程序化交易在中国发展的可行性及特殊性，针对中国特殊情况说明了中国引进程序化交易时可能遇到的困难，并针对其困难总结出了中国要引进程序化交易需要在制度方面应做的工作。
最后,对程序化交易在中国金融市场中应用模式进行了探讨。这一部分首先介绍了程序化交易给中国金融市场带来的好处。提出了程序化交易在金融市场中的几种应用模式。最后基于程序化交易的原理及策略，建立了程序化交易在股指期货市场中的应用模型。模拟了程序化交易在股指期货市场中的应用。

关键词: 程序化交易；金融市场；股票组合；证券市场  

Abstract
   The innovation of financial technology has greatly promoted the development of the financial industry. The computer program trading is the part of this field about the innovation of financial technology. Therefore, it has very important significance for the development of the financial industry to study computer program trading. But the beginning of study program trading is later in China, and the application has not yet become mature, therefore, this thesis provides a reference for program trading in China.
    First, this thesis introduces the development of program trading and development at home and abroad, giving a preliminary understanding of the development of program trading. Then analyzes the strategy of the program trading, this part introduces the basic principles of program trading and summarizes strategies and methods of program trading. Based on this, some cases about program trading of large companies was analyzed.
   Second, the development and he development trend of program trading in China was analyzed. First, this part introduces the development and characteristics of program trading in China, it analyzes the development of program trading, and describes the feasibility and specificity in the development of program trading in China. For the special situation in China, it explains some difficulties probably happen when China introduce program trading, and summarizes the work should be done in the introduction of program trading in the system for their difficulties. And forecast the development trend of program trading in China.
   At last, application mode of program trading in the Chinese financial market was explored. This section describes the benefits of the program trading to the Chinese financial market first. And it describes several application modes of program trading in the financial markets. Finally, it establishes the application model of program trading in stock index futures market based on the principles and strategies, and simulating the application of program trading in stock index futures market.
Key words: program trading, financial market, stoke portfolio, securities market

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