关键词：高频交易（HFT）；交易模型；算法
摘 要：One of the most significant market structure developments in recent years is high frequency trading ("HFT"). By utilizing modern high-speed computers and computation technologies, HFT firms are able to execute electronic transactions within milliseconds even microseconds and therefore taking advantage of small discrepancies in prices, and regulator are weighing new rules for high-speed trading. Although the equity market is drastically competitive, the potential opportunities are to develop advanced technologies including trading models and algorithms. The technical part mainly discussed mathematical models to process the Limit Order Book (LOB) Information, especially for the discrete model, which is quite popular in research on high frequency trading. This article mainly focus on the market making strategies, we developed two major strategies and tested them using real market data. Details of implementations of these strategies and their pros and cons are also provided.
目 录：

1 Introduction

2 Literature Review

3 Methodology

3.1 Markovian Queuing Model

3.1.1 Model Setup

3.2 Model Application

3.2.1 Market Making Strategy

3.2.2 Smoking Strategy

3.2.3 Balancing Strategy

4 Discussion

4.1 Market Making Strategy Simulation Result

4.2 Smoking Strategy Simulation Result

4.3 Balancing Strategy Simulation Result

5 Conclusion

6 Summary

7 Reference