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2013年光大证券“8·16事件”之所以成为我国证券市场的首例黑天鹅事件,其中高频交易的嫌疑最大。本文通过基本概念的界定和交易策略的简要介绍,认为此次事件为高频交易在事件研究、市场微结构、外汇储备保值、热钱监控、内幕交易和市场操纵等问题中有广阔的应用机遇。本文认为,重视和深入高频交易的相关研究将大大降低市场的传染和崩盘风险,对正在研究的T+0交易制度具有重要参考价值。
In 2013, Everbright Securities “8. 16 Incident” became the first Black Swan incident in China’s securities market, of which high-frequency trading was the most suspect. Based on the definition of basic concepts and the brief introduction of trading strategy, this article considers that this event has broad application opportunities for high-frequency trading in such issues as incident research, market microstructure, foreign exchange reserve hedging, hot money monitoring, insider trading and market manipulation. This paper argues that focusing on and deepening high-frequency trading related research will greatly reduce the risk of contagion and crashes in the market, and is of great reference value to the T + 0 trading system being studied.