科技股大跌是因为“量化砸盘”?中基协私募专业委员会详解A股量化交易

智通财经
Jul 25
【科技股大跌是因为“量化砸盘”?中基协私募专业委员会详解A股量化交易】近日,中国证券投资基金业协会私募证券投资基金专业委员会表示,“经向头部券商和量化私募机构了解,在上周市场下跌幅度较大的交易日,很多量化机构不仅没有净卖出,还是净买入,而且有的机构净买入金额还较大,没有‘集中砸盘’。”从指数增强、量化多头、量化中性等主流量化产品的运行模式看,一般都是满仓或接近满仓操作,买卖交易是在不同股票间调整。短时间内“集中砸盘”不仅不会增加其收益,反而会导致损失,所以量化机构本身也没有主动“集中砸盘”的意愿。中国证券投资基金业协会私募证券投资基金专业委员会称,对于一些极端情况,监管部门也进行严密监控。目前沪深北交易所已针对性设置了“短时间大额成交”的监控指标,明确短时间内大量交易引发指数大幅波动等行为属于异常交易。一旦触发,交易所会及时采取自律监管措施,减少量化交易对市场平稳运行的不利影响。

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