An Empirical Study of High-frequency Trading Risk Regulation —Based on the CSI 300 Index Data
- 10.2991/icsste-15.2015.32How to use a DOI?
- High-Frequency Trading; Risk Regulation; Everbright Oolong Index
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.
- © 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/).
Cite this article
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 -