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作为量化投资的前沿和热点问题,市场微观结构和高频交易近年来在国内备受关注,但是由于我国的股指期货推出比较晚,学术界对此关注的并不多。本文正是在此背景下研究了我国股指期货市场的指令流毒性,当指令流逆向的选择做市商时,指令流则被认为是有毒性的。本文采用最新的测量指令流毒性的方法——等交易量信息交易的概率(VPIN),来度量我国股指期货市场上的指令流毒性。实证结果表明,VPIN不仅可以监测到沪深300指数期货大跌时候的指令流毒性,在指数大涨的时候,也能很好的监测到股指期货市场的指令流毒性。跟踪VPIN值可以使流动性提供者控制他们的头寸风险;监管者可以监控市场的流动性质量,提前限制交易或者加强市场控制。
As the forefront of the quantitative investment and hot issues, the market microstructure and high-frequency trading in recent years, much attention in China, but due to the late launch of our stock index futures, the academic community is not much concern about this. In this context, this paper studies the instruction flow toxicity of the stock index futures market in our country. When the instruction flow selects the market maker in reverse, the instruction flow is regarded as toxic. In this paper, we use the latest method of measuring drug flow-VPIN, to measure the toxicity of instruction flow in China’s stock index futures market. The empirical results show that VPIN can not only monitor the instruction flow toxicity of the Shanghai and Shenzhen 300 Index futures, but also monitor the instructional toxicity of the stock index futures market well when the index rises sharply. Tracking VPIN values gives liquidity providers control over the risk of their positions; regulators can monitor the liquidity of the market, limit transactions ahead of time, or strengthen market controls.