量化专题报告：Micro：优秀的高频公允价指标

研究院量化组 摘要 研究员 本报告聚焦于期货市场中高频公允价的确定机制，旨在探讨和评估传统公允价指标与新兴高频公允价指标Micro的性能表现。首先，我们概述了做市商在期货市场中的关键作用，强调了公允价对于做市商重要性。随后，我们分析了传统公允价指标Mid和Vwap在实际应用中的局限性。最后，我们引入了Micro这一高频公允价指标，并从公式推导、案例分析、国内实证及情景模拟等方面，展示了Micro price的原理及其相较于传统价格的优势。 高天越0755-23887993gaotianyue@htfc.com从业资格号：F3055799投资咨询号：Z0016156 联系人 李光庭0755-23887993liguangting@htfc.com从业资格号：F03108562 核心观点 传统的公允价指标如Mid和Vwap存在一定缺陷，如Mid的自相关性和未考虑挂单量，Vwap的高频噪音和反直觉。 李逸资0755-23887993liyizi@htfc.com从业资格号：F03105861 Sasha Stoikov用严谨的数学推导公式构造了Micro，并证明了Micro是优于Mid和Vwap的价格指标。 国内实证结果表明，Micro能够更好地反映当前盘口的量价信息，并在一定程度上预测未来盘口的变动。 投资咨询业务资格：证监许可【2011】1289号 在不同市场情景下，Micro展现出了较强的抗打击性和对市场真实需求的敏感性。 目录 摘要..............................................................................................................................................................................................................1核心观点......................................................................................................................................................................................................1前言..............................................................................................................................................................................................................4研究背景......................................................................................................................................................................................................4研究目标.......................................................................................................................................................4传统方法及缺陷............................................................................................................................................5研究方法......................................................................................................................................................................................................7文献介绍.......................................................................................................................................................7Micro price推导.........................................................................................................................................8文献案例分析................................................................................................................................................9国内实证....................................................................................................................................................................................................11数据选取.....................................................................................................................................................11验证框架.....................................................................................................................................................11实证结果.....................................................................................................................................................12情景模拟.....................................................................................................................................................13总结............................................................................................................................................................................................................15参考文献....................................................................................................................................................................................................15 图表 图1:LU2204某一TICK盘口|单位：手...............................................................................................................................................5图2:LU2204未来盘口变动|单位：元/吨...........................................................................................................................................5图3:MID示例丨单位：元/吨..................................................................................................................................................................5图4:VWAP示例丨单位：元/吨...............................................................................................................................................................6图5:文献封面丨单位：无........................................................................................................................................................................8图6:BAC以及CVX的SPREAD分布丨单位：无................................................................................................................................9图7:MICRO PRICE计算结果丨单位：无.................................................................................................................................................9图8:BAC各价格指标准确性对比丨单位：无........................................................................................................................