An Empirical Study of High-frequency Trading Risk Regulation —Based on the CSI 300 Index Data

DOI

10.2991/icsste-15.2015.32How to use a DOI?

Keywords

High-Frequency Trading; Risk Regulation; Everbright Oolong Index

Abstract

In recent years, high-frequency trading as a frontier and hot issues of modern finance, has attended much attention in china. At 11:05, August 16, 2013, Shanghai index moved up sharply, with the grail increasing more than 5% in one minute. The highest index was reported 2198.85. Media call this event as “Everbright oolong index event”. Oolong index is a consequence of high-frequency trading playing an important role in the market. In the study, based on CSI 300 index high frequency trading data from May to December, we employ VPIN model and optimize calculation. We use MATLAB software to scroll calculate daily VPIN value and aggregate it, to measure the risk of stock index futures market. Through empirical research, we concluded that VPIN index has a role in early warning, and it can be used as risk control indicators.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Ge Song
AU  - Guo JianFeng
PY  - 2015/04
DA  - 2015/04
TI  - An Empirical Study of High-frequency Trading Risk Regulation —Based on the CSI 300 Index Data
BT  - Proceedings of the 2015 International Conference on Social Science and Technology Education
PB  - Atlantis Press
SP  - 105
EP  - 108
SN  - 2352-5398
UR  - https://doi.org/10.2991/icsste-15.2015.32
DO  - 10.2991/icsste-15.2015.32
ID  - Song2015/04
ER  -