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杠杆ETF再平衡与双重拍卖中的市场波动

文章 arXiv papers · 作者: Isao Yagi et al.
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总结

本文通过基于智能体的连续双重拍卖模拟，研究杠杆ETF再平衡交易如何影响标的市场，例如日经225期货市场。研究关注不同交易方式能否限制再平衡导致的波动率上升。该研究在所提出的交易模型中比较不同策略，并考察由此形成的价格。

报告的发现是，提高再平衡交易所使用的最小订单数量可以减少其对标的市场价格的影响。这表明，将再平衡活动拆分或分散执行可能会缓和其市场影响，但摘录没有说明具体执行规则。证据来自模拟，而非观察到的实盘交易；研究没有提供量化波动率结果、校准细节或更广泛的市场状况。因此，应将这一发现视为基于模型的证据，而非关于ETF再平衡的一般性保证。

核心观点

  • 基于智能体的连续双重拍卖模拟研究杠杆ETF再平衡的影响。
  • 研究比较了旨在限制再平衡相关波动率上升的交易策略。
  • 据报告，增加最小订单数量可以减轻对标的价格形成的影响。
  • 摘录提供了模拟结果，但没有校准细节或实盘市场证据。

标签

期货波动率市场微观结构交易执行风险管理
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# Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation


# Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation









A leveraged ETF is a fund aimed at achieving a rate of return several times greater than that of the underlying asset such as Nikkei 225 futures. Recently, it has been suggested that rebalancing trades of a leveraged ETF may destabilize the financial markets. An empirical study using an agent-based simulation indicated that a rebalancing trade strategy could affect the price formation of an underlying asset market. However, no leveraged ETF trading method for suppressing the increase in volatility as much as possible has yet been proposed. In this paper, we compare different strategies of trading for a proposed trading model and report the results of our investigation regarding how best to suppress an increase in market volatility. As a result, it was found that as the minimum number of orders in a rebalancing trade increases, the impact on the market price formation decreases.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。