华东师范大学学报（自然科学版）Issue(5)：152-160,9.DOI:10.3969/j.issn.1000-5641.2013.05.019
基于MACD的平稳技术指标在高频交易中的应用
Application of stationary technical indicator in high-frequency trading based on MACD
包思 1郑伟安 1周瑜1
作者信息
- 1. 华东师范大学金融与统计学院,上海 200241
- 折叠
摘要
Abstract
In recent years,the rapid development of the high-frequency trading in the global financial market causes the extensive concern of the financial world.Because of the “high frequency” character,the high-frequency trading cannot be implemented by manual operation,but only with the help of computer programming trading system.Therefore,building a reasonable model of high-frequency trading strategy is necessary.MACD is a very important and commonly used technical analysis indicator in the stocks,futures,foreign currency exchange market,it is commonly used to judge the buying or selling time,and track the running trend of price of assets.In this paper,we define a new stationary technical indicator (⌒)MACDt based on MACD indicator,which is suitable for high-frequency trading strategy modeling.We also prove the stationarity of (⌒)MACDt under the hypothesis of stationarity of the increments of logarithm price process.Finally,we construct a high-frequency trading strategy based on MACDt and test its effectiveness and profitability by using real market high-frequency data.All those put forward a new kind of thought in high-frequency trading.关键词
高频交易/MACD指标/对数增量平稳过程/平稳过程Key words
high-frequency trading/ MACD/ logarithmic increment process/stationary process分类
数理科学引用本文复制引用
包思,郑伟安,周瑜..基于MACD的平稳技术指标在高频交易中的应用[J].华东师范大学学报（自然科学版）,2013,(5):152-160,9.
