【摘要】 金融市场上资产价格的跳跃往往带来极端风险，有效应对跳跃是有价值的。乖离率(bias)作为一种技术指标，被用于构建高频交易中的bias策略。利用Slutsky定理，证明了跳扩散模型下乖离率的平稳性，并结合Lee和Mykland方法进行跳跃检验的结果，构建了考虑跳跃的bias-J策略。研究通过实证分析验证了该策略的有效性和收益的平稳性，提出了利用跳跃提高收益的新思想。更多还原

【Abstract】 In the financial market, asset prices often jump resulting in extreme risk. Thus it makes sense to deal with jumps. Bias is a commonly used technical analysis tool, which is often applied to constructing bias strategy in high-frequency trading. It is proved that bias process is stationary under the jump-diffusion model by using the Slutsky theory, and combined with the result of the Lee & Mykland jump test, a new high-frequency trading strategy that takes jumps into consideration is constructed, which is named bias-J strategy. The effectiveness of bias-J strategy and the stability of return are verified through empirical analysis, and a new idea of using jumps to increase return is proposed.更多还原