DeepEye：一个基于深度学习的程序化交易识别与分类方法

doi:10.11959/j.issn.2096-0271.2018053

摘要/Abstract

摘要：

基于沪市A股交易数据，对A股市场程序化交易行为进行系统分析，构建程序化交易识别及分类特征指标体系，结合深度学习技术提出A股市场程序化交易的智能识别与分类方法——DeepEye，该方法可对程序化交易进行识别并分类。在真实交易行为数据集上的实验表明，所提出的方法在识别和分类上取得了较高的准确率，验证了将深度学习用于证券市场行为监管的可行性和有效性。该方法已辅助用于资本市场投资者画像及市场一线行为监管。

关键词: 投资者行为, 程序化交易, 行为监管, 深度学习, 分类

Abstract:

Program trading behavior in A-share market has been systematically analyzed based on the Shanghai Stock Exchange’s latest trading data and a feature indictor system has thus been built up for characterizing and classifying the program trading in the market.Furthermore,based on the deep learning technology,the A-share program trading intelligentized recognition and classification method,DeepEye,has been proposed,which enables program trading behavior in the market to be recognized and classified.The accuracy of the pilot implementation got about 70% which verified the feasibility and effectiveness of the new method.The proposed method can serve as an auxiliary measure to existing investor portraits and behavior supervision analysis for market regulation and can be a reference for improving the existing program trading regulatory rules.

Key words: investor behavior, program trading, behavior supervision, deep learning, classification

中图分类号:

TP393

徐广斌, 张伟. DeepEye：一个基于深度学习的程序化交易识别与分类方法[J]. 大数据, 2018, 4(5): 94-102.

Guangbin XU, Wei ZHANG. DeepEye:a deep learning-based method of recognition and classification of program trading[J]. Big Data Research, 2018, 4(5): 94-102.

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序号	类型	主要行为特征
1	篮子交易	满足推荐规则，有密集多标的报单
2	大单分拆	满足推荐规则，有个股密集报单
3	交易所交易基金（exchange traded fund,ETF）套利	满足推荐规则，有相当头寸的ETF反向交易
4	融券T+0（日内回转交易）	满足推荐规则，个股有相当头寸的信用买卖且无持仓
5	库存T+0	满足推荐规则，个股买卖头寸相当且有持仓
6	特殊账户	满足推荐规则，有大量订单申报但无成交的无成交账户、ETF基金账户和ETF做市商账户
7	混合对冲/调仓	满足推荐规则，整体有头寸相当的买卖
8	其他程序化交易	满足推荐规则，不属于上述分类
9	低频自动化	未达推荐规则，但持续进行低频的自动化报单

序号	指标	特征说明
1	日内申报5笔/s的发生次数	对应推荐规则
2	日内1 s申报并撤销的发生次数	对应推荐规则
3	日内申报笔数	对应推荐规则
4	对冲类型	个股对冲（1）成交个股的买卖量对冲，即\|买量-卖量\|/(买量+卖量)<0.1
		信用交易对冲（2）不属于前一类，且\|股票净买额-融券净卖额\|/(股票净买额+融券净卖额)<0.1
		ETF对冲（3）不属于前两类，且\|股票净买额-ETF净卖额\|/(股票净买额+ETF净卖额)<0.1
		混合对冲（4）不属于前三类，且\|股票净买额-融券净卖额\|/(股票净买额+融券净卖额)<0.1
		非对冲（0）其他情况
5	成交申报比	成交量/申报量，无申报、显著低（<0.1）、低（0.1~0.5）、正常（>0.5）
6	持仓多标的	持仓标的数量达15
7	个股买卖不平衡显著性	成交个股的\|买量-卖量\|/(买量+卖量)，无成交、显著低（<0.1）、中（0.1~0.9）、显著高（>0.9）
8	低频自动化特征	个股申报有连续60个1 min步长滑动窗口（窗口大小为2 min）内均有申报
9	个股密集报单	有个股报单笔数/s达10 笔及以上
10	密集多标的	有申报标的/s达10 只及以上
11	交易多标的	成交标的数量达10 只及以上
12	无/低持仓	无成交、无持仓或持仓量/成交量<0.1、其他