算法交易、價差交易與風(fēng)險控制算法交易-資料下載頁
2025-05-14 03:42本頁面
【正文】 fxxfxxfxxfxxfA)()()()()()()(2)(1)()(12)(11)(1?????????????????)()()()(1)(kmkkxfxff ?42 附錄 ：公式詳單 ?加權(quán)最小二乘法 – 此處根據(jù)誤差大小加權(quán)的異方差 – 通常設(shè)原始回歸方程式為： – 若已知異方差形式 ,如： – 該已知異方差可以得到提前糾正，轉(zhuǎn)化得出以下方程式。 – 此新模照常由 最小二乘法估算 ikj ijjiuxy ??? ?? 10??)(*), .. .,|( 21 XhXXuV a r iki ??)()()()( 10XhuXhxXhXhyiikj iijjiii ??? ????43 參考文獻 ? Almgren, Robert F, Chee Thum, Emmanuel Hauptmann and Hong Li (2021), “Direct Estimation of Equity Market Impact”. ? Almgren, Robert F (2021), “Optimal Execution with Nonlinear Impact Functions and TradingEnhanced Risk”. ? Almgren, Robert F and Neil A. Chriss (2021), “Optimal Execution of Portfolio Transactions”. ? Chriss, Neil A. (1999), “Optimal Execution of Portfolio Transactions”. ? Hora, Merrell (2021), “The Practice of Optimal Execution”, in Algorithmic Trading II, Institutional Investor, pp. 5263. ? Institutional Investor (2021), Algorithmic Trading II. ? Kissell, Robert and Morton Glantz (2021), Optimal Trading Strategies. ? Kissell, Robert and Roberto Malamut (2021), “Algorithmic DecisionMaking Framework”, in Algorithmic Trading II, Institutional Investor, pp. 8291 ? Levy, H. and H. M. Markowitz. “Approximating Expected Utility By A Function Of Mean And Variance, American Economic Review, 1979, v69(3), 308317. 44 參考文獻 ? Manganelli, Simone (2021), “Duration, Volume and Volatility Impact of Trades”, Europe Central Bank Working Paper Series No. 125. ? Pindyck, Robert S. and Daniel L. Rubinfeld (1998), Econometric Models and Economic Forecasts (4th Edition), Irwin McGrawHill. ? Rakhlin, Dmitry and Gee Sofianos (2021), “Choosing Benchmarks vs. Choosing Strategies： Part 2 – Execution Strategies： VWAP or Shortfall”, in Algorithmic Trading II, Institutional Investor, pp. 7581. ? Sofianos, Gee (2021), “Choosing Benchmarks vs. Choosing Strategies： Part 1 – Execution Benchmarks： VWAP or Pretrade Prices”, in Algorithmic Trading II, Institutional Investor, pp. 7174. ? Spierdijk, Laura, Theo E. Nijman, Arthur H. O. van Soest (2021), “Temporary and Permanent Price Effects of Trades in Infrequently Traded Stockes”. ? Sussman, Adam (2021), “Outlook on Algorithms： New Developments in Electronic Trading”, TABB Group. ? Torre, Nicole G. and Mark Ferrari, “The Market Impact Model, Part 4： Testing the Market Impact Model”, BARRA Transaction Costs. GTA SIFAS中的算法交易 GTA SIFAS中的算法交易 ?SIFAS根據(jù)內(nèi)部計算最優(yōu)交易時間范圍 ,自動確定最優(yōu)交易策略 – 即時執(zhí)行以下策略 – TWAP – VWAP ?算法交易能力 – 股票組合 – 個股 ?對母單及子單進行實時監(jiān)控 ?交易執(zhí)行后可生成算法交易報告 ?為完善未來模型及開發(fā)新策略 ,數(shù)據(jù)庫中儲存詳細(xì)交易數(shù)據(jù) ?未來將添加新策略 46
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