zillionare
请访问 😄www.jieyu.ai和公众号🫶量化风云
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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:
配对交易是一种交易策略,由摩根士丹利的量化分析师农齐奥.塔尔塔里亚在 20 世纪 80 年代首创。他现在是意大利雅典娜资产管理公司的创始人。该策略涉及监控两只历史上相关性较强的证券,并监控两者之间的价格差。一旦价格差超出一个阈值(比如 n 倍的标准差),价格回归就是大概率事件,于是交易者就做空价格高的一支,做多价格低的一支,从而获利。
发表于 2025-01-07 人气 934 点击阅读
内容摘要:
在你看到这篇文章时,2024年已经余额不足,而新的一年,正在等待我们冲刺。新的一年,作为量化人,你将在新年里收到哪些礼物呢?
先来晒一下我个人收到的礼物吧。昨天一早,收到了孙乐总赠送的《山河独憔悴》,并且很贴心地为我题了字。孙乐总是民主党派人士,江苏省收藏家协会理事和勋奖章收...
发表于 2024-12-31 人气 292 点击阅读
内容摘要:
在第13课中,拿决策树介绍了机器学习的原理之后,有的学员已经积极开始思考,之前学习了那么多因子,但都是单因子模型,可否使用决策树模型把这些因子整合到一个策略里呢?
在与学员交流之后,我已经把思路进行了分享。这也是我们第13课的习题,我把参考答案跟大家分享一下。
预告一下,我们...
发表于 2024-12-06 人气 407 点击阅读
内容摘要:
如果你去商场逛,你会发现,销量最好的店和最好的商品总是占据人气中心。对股票来说也是一样,被新闻和社交媒体频频提起的个股,往往更容易获得更大的成交量。
如果一支个股获得了人气,那它的成交量一定很大,两者之间有强相关关系。但是,成交量落后于人气指标。当一支个股成交量开始放量时,有可...
发表于 2024-12-04 人气 780 点击阅读
内容摘要:
在第12课我们讲了如何从量、价、时、空四个维度来拓展因子(或者策略)。在时间维度上,我们指出从周一到周五,不同的时间点买入,收益是不一样的。这篇文章我们就来揭示下,究竟哪一天买入收益更高。
问题定义如下:
假设我们分别在周一、周二,...,周五以收盘价买入,持有1, 2, 3...
发表于 2024-11-24 人气 847 点击阅读
内容摘要:
机器学习是人工智能的一个子集。人工智能是指使计算机系统能够执行通常需要人类智能才能完成的任务的技术和方法。人工智能涵盖了多种技术和子领域,如机器学习、深度学习、自然语言处理、计算机视觉、专家系统等。
人工智能的概念正式提出是在1956年达特矛斯的夏季人工智能研究会上。达特矛斯学...
发表于 2024-11-23 人气 992 点击阅读
内容摘要:
在4月8日,我们发表了一篇名为《1赔10,3月27日我抄底了》的文章,基于坚实的统计数据,说明了为什么当天应该抄底。时间过去了半年,中证1000又为我们提供了两个新的例证。这篇文章我们就来回顾一下。
原理和定义
我们先介绍一下原理。你可能观察到,当发生一段连续下跌时,那...
发表于 2024-11-20 人气 363 点击阅读
内容摘要:
内容摘要:
这篇文章的部分思想来自于 John Ehlers。他曾是雷神的工程师,当年是为NASA造火箭的。他有深厚的数字信号处理(DSP)技术背景,为石油钻探发明了最大...
发表于 2024-11-05 人气 537 点击阅读
内容摘要:
本周要闻
* 英伟达和宣伟公司纳入道指
* 制造业PMI时隔5个月重返景气区间
* 三季报收官,8成上市公司实现盈利
下周看点
* 周二:美国大选投票日(美东时间)
* 周二:财新发布10月服务业PMI
* 4日-8日,人常会:增量政策工具或将揭晓
* 周六:...
发表于 2024-11-03 人气 134 点击阅读
内容摘要:
本周要闻
* 财政部:中国还将加大财政政策逆周期调节力度
* 统计局:1-9月全国规上工业利润下降3.5%
* 纽交所计划延长美股交易时间。
下周看点
* 周一:医保目录现场谈判开始
* 周四:统计局发布10月PMI
* 美股Q3财报季下周将迎来最繁忙的一周
...
发表于 2024-10-27 人气 250 点击阅读
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