zillionare
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This repository contains a collection of articles and tutorials on quantitative finance, including topics such as machine learning, statistical arbitrage, and risk management. The articles are written in a clear and concise style, and they are suitable for both beginners and experienced practitioners. The repository also includes a number of Jupyter notebooks that demonstrate how to use Python for quantitative finance.
README:
内容摘要:
节前迎来揪心一幕,主要指数均创出今年最低周收盘。很自然,我们也想知道,现在处于什么状态,存在着低估机会吗?这篇文章,我们从市盈利的角度来探讨是存在机会,还是要警惕陷阱。
我们通过akshare来获取沪指导市盈率。实际上,akshare中的这个数据又来自乐咕乐股网站。
```p...
发表于 2024-09-16 人气 934 点击阅读
内容摘要:
本周要闻
* 主要指数创今年最低周收盘,也是5年最低周收盘
* 8月有增有降,广义货币增长6.5%,狭义货币下降7.3%。
* 一意孤行!美提高部分对华301关税 中方:强烈不满 坚决反对
* 茅台业绩说明会之后,本周白酒指数再跌3.21%
下周看点
* 周三...
发表于 2024-09-15 人气 198 点击阅读
内容摘要:
Rolf W. Banz,瑞士人,70 年代在芝加哥大学获得博士学位,并在该校任教过。此后他在伦敦经营了一家专注于小盘股投资的投资精品店,1991 年出售给 Alliance Capital。职业生涯的最后阶段,他回到了瑞士,在一家瑞士私人银行的资产管理子公司担任了高级职位。
...
发表于 2024-09-12 人气 407 点击阅读
内容摘要:
本周要闻
* 央行:降准有空间 利率进一步下行面临一定约束
* 巴菲特再次减持美国银行,这次要做空自己的祖国?
* 存量房贷下调预期落空,沪指连续三日跌破2800点
下周看点
* 周一,8月CPI/PPI 数据发布
* 周一,茅台业绩说明会,对白酒行业的未来发...
发表于 2024-09-08 人气 780 点击阅读
内容摘要:
面对毕业论文的压力,选择一个既具有实际应用价值又能激发研究兴趣的主题至关重要。对金融/计量专业的学生来说,在众多研究领域中,量化交易是兼顾自己的专长、又有利于未来发展的一个选择。
今天是第一期,我们介绍如何确定研究课题。
如何确定研究课题?
毕业论文最难的地方,是确...
发表于 2024-09-04 人气 847 点击阅读
内容摘要:
> 这是 Nobre, Neves 发表于 2019 年的 [一篇论文](https://www.sciencedirect.com/science/article/abs/pii/S0957417419300995?via%3Dihub)。在论文一起,生成了一个机器学习交易策略...
发表于 2024-09-03 人气 363 点击阅读
内容摘要:
本周要闻
* 市场传闻存量房贷利率下调,房地产 ETF 大涨,但尾盘多股炸板
* 中国 8 月官方制造业 PMI 为 49.1% 比上月下降 0.3 个百分点
* 国家市监总局宣布阿里整改完成
* 半年报第一股!桐昆股份同比增长 911.35%,为已发布半年报公司中净利...
发表于 2024-09-01 人气 537 点击阅读
内容摘要:
一个不证自明的事实:经济活动是有周期的。但是,这个事实似乎长久以来被量化界所忽略。无论是在资产定价理论,还是在趋势交易理论中我们几乎都找不到周期研究的位置 -- 在后者语境中,大家宁可使用“摆动”这样的术语,也不愿说破“周期”这个概念。
这篇文章里,我们就来探索股市中的周期。我...
发表于 2024-08-26 人气 134 点击阅读
内容摘要:
在很多量化场景下,我们都需要统计某个事件连续发生了多少次,比如,连续涨跌停、N连阳、计算Connor's RSI中的streaks等等。
发表于 2024-08-25 人气 771 点击阅读
内容摘要:
题图: 普林斯顿大学。普林斯顿大学在量化金融领域有着非常强的研究实力,并且拥有一些著名的学者,比如马克·布伦纳迈尔,范剑青教授(华裔统计学家,普林斯顿大学金融教授,复旦大学大数据学院院长)等。
Pandas 的多级索引(也称为分层索引或 MultiIndex)是一种强大的特性。...
发表于 2024-08-25 人气 250 点击阅读
内容摘要:
本周要闻
* 美联储主席鲍威尔表示,美联储降息时机已经到来
* 摩根大通港股仓位近日大量转仓,涉及市值超1.1万亿港元
下周看点
* 广发明星基金经理刘格菘的首只“三年持有基”即将到期,亏损超58%
* 周四A50指数交割日、周五本月收官日
* 周六发布8月官...
发表于 2024-08-25 人气 767 点击阅读
内容摘要:
在知乎上看到一个搞笑的贴子,说是有人为了卖策略,让回测结果好看,会在代码中植入大量的if 语句,判断当前时间是特定的日期,就不进行交易。但奥妙全在这些日期里,因为在这些日期时,交易全是亏损的。
内容的真实性值得怀疑。不过,这却是一个典型的过拟合例子。
过拟合和检测方法
...
发表于 2024-08-19 人气 510 点击阅读
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