-Why did the army that rescued the city lose many battles? Wei Yahua

From the end of June to today's China stock market, the rescue army has been defeated repeatedly, and the problem still lies in stock index futures. Stock index futures have subversive damage to the stock market. After two o'clock in the afternoon every day, stock index futures poured out like a tiger, and the stock market lost like a mountain.

Why are the residual stock index futures still so lethal?

At present, in addition to high-frequency trading strategies, there are various quantitative investment models such as CTA, market neutrality, spot arbitrage and alpha strategy, some of which have been banned in European and American countries.

Let's look at a case. On June 1 65438+1October1day, the public security organs investigated and dealt with Easton International Trading Co., Ltd. for placing orders in batches and quickly through high-frequency programmed trading software, with a principal of less than 7 million yuan and illegal profits of more than 2 billion yuan. 30,000% of the profits.

Easton automatically placed orders in batches through high-frequency programmed trading software, and the declared price obviously deviated from the latest market price. Its average order speed reaches 0.03 seconds, and it can reach 3 1 order in one second.

The buyer tracks the change of index benchmark through the program to make orders and conduct high-frequency transactions with low buying and high selling; Due to the implementation of T+0 in the futures market, buyers can use this strategy to repeat orders, increase the number of transactions, and achieve high returns in a short time.

You can calculate the principal of 654.38+0 million. If the yield of two transactions is 654.38+0 ‰, then the yield of 2000 transactions is 654.38+0.000%. Transactions are calculated in milliseconds, assuming that 1 sec has 1 transaction, then you can trade 14400 times in four hours a day, with a yield of 720%.

The high-frequency trading of stock index futures makes the rescue army a feast for sheep entering the wolf's mouth.

To solve this problem, it is very simple to levy stamp duty on stock index futures to see if they dare to trade at high frequency. Why can't stock index futures levy stamp duty on securities transactions?