论文标题
同型加密数据上的趋势关注交易指标
A Trend-following Trading Indicator on Homomorphically Encrypted Data
论文作者
论文摘要
十年来，算法交易已经扩大了定量融资领域。这些决定是在没有人工干预的情况下使用经纪公司和交易所提供的数据做出的。有一个新兴的中间财务参与者介于经纪人和算法交易者之间。这些参与者的作用是从算法交易者汇总市场决策，并向经纪人发送最终的市场订单。作为回报，定量分析师获得的激励措施与其预测的正确性成正比。在这样的设置中，中级播放器 - 聚合器 - 不以明文提供市场数据，而是对其进行加密。加密市场数据可防止定量分析师自己进行交易，并保留有价值的财务数据。本文提出了通过两个不同的同构加密库-SEAL和HEAAN实施流行的趋势遵循指标，并将其与针对明文实施的交易指标进行了比较。然后，提出和分析了实施交易策略的尝试。用密封和Heaan实施的交易指标几乎与在明文上实施的交易指标相同，百分比误差分别为0.14916％和0.00020％。尽管同态加密对该算法的实施施加了许多局限性，但定量融资具有从同态加密方法中受益的很高潜力。
Algorithmic trading has proliferated the area of quantitative finance for already over a decade. The decisions are made without human intervention using the data provided by brokerage firms and exchanges. There is an emerging intermediate layer of financial players that are placed in between a broker and algorithmic traders. The role of these players is to aggregate market decisions from the algorithmic traders and send a final market order to a broker. In return, the quantitative analysts receive incentives proportional to the correctness of their predictions. In such a setup, the intermediate player - an aggregator - does not provide the market data in plaintext but encrypts it. Encrypting market data prevents quantitative analysts from trading on their own, as well as keeps valuable financial data private. This paper proposes an implementation of a popular trend-following indicator with two different homomorphic encryption libraries - SEAL and HEAAN - and compares it to the trading indicator implemented for plaintext. Then an attempt to implement a trading strategy is presented and analysed. The trading indicator implemented with SEAL and HEAAN is almost identical to that implemented on the plaintext, the percentage error is of 0.14916% and 0.00020% respectively. Despite many limitations that homomorphic encryption imposes on this algorithm's implementation, quantitative finance has a high potential of benefiting from the methods of homomorphic encryption.
