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这倒是一篇不错的论文。 我很早就看过，只是没有讨论的环境，也没有怎么搞懂。
事实上Irene Aldridge 的书"High-Frequency Trading: A Practical Guide
to Algorithmic Strategies and Trading Systems" 中也有介绍，还给出示例程序。
人大经济论坛中有数量功底的人应该有很多，有机会确实应该找一些高端的论文做做seminar之类的。
这也是这个板块区别于市场上其他板块的特色之一吧。 市场上挂着“量化”的各种论坛、群实在是太多了，但感觉都没干货。 希望这里借助人大经济论坛在学术上的深厚积累办出特色。 祝贺！
/*
PLEASE READ THIS IMPORTANT DISCLAIMER
This code is distributed AS IS, and is
not subject to any warranty, performance
guarantees, etc.
It is intended strictly for educational
purposes to illustrate the concepts
presented in Irene Aldridge's book:
"High-Frequency Trading: A Practical Guide
to Algorithmic Strategies and Trading Systems".
Any commercial distribution of the code is
strictly prohibited.
*/
void HFT_AvellanedaStoikov()
{
FILE* fin, *fout;
double lambda_a, lambda_b, d_lambda_a, d_lambda_b;
int hh = 0, mm = 0, ss, nb = 0, na = 0, prevnb = 0, prevna = 0, prevm = 0;
double bid, ask, prevbid = 0, prevask = 0;
char * p1, *p2, buffer[1024], fname[512];
double gamma = 0.01;
double optbid = 0;
double optask = 0;
char action;
double portfolio = 0;
int position = 0;
double bids[100] = {0}, asks[100] = {0};
sprintf(fname, "C:/AvellanedaStoikov2008_WFC_InputData.txt"); //download this file from hftradingbook.com
fin = fopen(fname, "r");
if(fin)
{
sprintf(fname, "C:/AvellanedaStoikov2008_output.txt");
fout = fopen(fname, "w");
if(fout)
{
//for each event, find the before and after window
while(fgets(buffer, 1024, fin))
{
bid = 0;
ask = 0;
sscanf(buffer, "%d\t%d\t%lf\t%lf\n", &hh, &mm, &bid, &ask);
if(prevm != mm)
{
if((nb-prevnb != 0) & (nb != 0) & (prevnb != 0))
optbid = bid- (1/gamma)*log(1-gamma*(((double)nb)/(double)(nb-prevnb)/prevnb));
if((na-prevna != 0) & (na != 0) & (prevna != 0))
optask = ask- (1/gamma)*log(1-gamma*(((double)na)/(double)(na-prevna)/prevna));
if((optbid > 0) & (optask > 0) & (bid > 0) & (ask > 0))
{
if(hh > 15)
{
if(position != 0)
{
action = 'L';
//liquidate
if(position > 0)
{
portfolio += position*bid;
position = 0;
}
else if(position < 0)
{
portfolio -= position*ask;
position = 0;
}
}
}
else
{
if(optbid > ask)
{
//if(position <= 3)
{
action = 'B';
portfolio -= ask;
position++;
}
//else action = 'N';
}
else if(optask < bid)
{
//if(position >= -3)
{
action = 'A';
portfolio += bid;
position--;
}
//else action = 'N';
}
else
{
//between bid and ask
//if closer to bid, buy
//else sell
if(fabs(bid-optbid) < fabs(ask-optask))
{
action = 'B';
portfolio -= ask;
position++;
}
else if(fabs(bid-optbid) > fabs(ask-optask))
{
action = 'A';
portfolio += bid;
position--;
}
}
}
//output
if((na != 0) & (nb != 0) & (prevna != 0) & (prevnb != 0))
fprintf(fout, "%02d\t%02d\t%lf\t%lf\t%lf\t%lf\t%lf\t%lf\t%lf\t%lf\t%lf\t%c\t%lf\t%d\n",
hh, mm, bid, ask, (bid+ask)/2, (1/(double)nb), (1/(double)na),
(double)(nb-prevnb)/prevnb, (double)(na-prevna)/prevna, round(optbid, 2), round(optask, 2),
action, portfolio, position);
}
prevm = mm;
prevna = na;
prevnb = nb;
na = 0;
nb = 0;
}
if((prevbid > 0) & (prevask > 0))
{
if(bid != prevbid)
{
nb++;
}
if(ask != prevask)
{
na++;
}
}
prevbid = bid;
prevask = ask;
}
fclose(fout);
}
fclose(fin);
}
}
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High-frequency_trading_in_a_limit_order_book.pdf.zip
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