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Buy Low Sell High: A High Frequency Trading Perspective 低买高卖:高频交易视角
Pub Date : 2014-04-15 DOI: 10.2139/ssrn.1964781
Á. Cartea, S. Jaimungal, Jason Ricci
We develop a high frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to post limit sell and buy orders. By introducing a multifactor mutually exc...
我们开发了高频(HF)交易策略,高频交易者利用其优越的速度处理信息并发布限价卖出和限价买入订单。通过引入多因素相互执行…
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引用次数: 192
The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach 战略批准决策:一种夏普比率无差异曲线方法
Pub Date : 2013-01-01 DOI: 10.2139/ssrn.2003638
D. Bailey, M. L. Prado, Eva del Pozo
The problem of capital allocation to a set of strategies could be partially avoided or at least greatly simplified with an appropriate strategy approval decision process. This paper proposes such a procedure. We begin by splitting the capital allocation problem into two sequential stages: strategy approval and portfolio optimization. Then we argue that the goal of the second stage is to beat a naive benchmark, and the goal of the first stage is to identify which strategies improve the performance of such a naive benchmark. We believe that this is a sensible approach, as it does not leave all the work to the optimizer, thus adding robustness to the final outcome. We introduce the concept of the Sharpe ratio indifference curve, which represents the space of pairs (candidate strategy's Sharpe ratio, candidate strategy's correlation to the approved set) for which the Sharpe ratio of the expanded approved set remains constant. We show that selecting strategies (or portfolio managers) solely based on past Sharpe ratio will lead to suboptimal outcomes, particularly when we ignore the impact that these decisions will have on the average correlation of the portfolio. Our strategy approval theorem proves that, under certain circumstances, it is entirely possible for firms to improve their overall Sharpe ratio by hiring portfolio managers with negative expected performance. Finally, we show that these results have important practical business implications with respect to the way investment firms hire, layoff and structure payouts.
通过适当的战略批准决策过程,可以部分避免或至少大大简化一组战略的资本配置问题。本文提出了这样一个程序。我们首先将资本配置问题分为两个连续的阶段:策略批准和投资组合优化。然后,我们认为第二阶段的目标是击败朴素基准,而第一阶段的目标是确定哪些策略可以提高这种朴素基准的性能。我们认为这是一种明智的方法,因为它不会把所有的工作都留给优化器,从而为最终结果增加了鲁棒性。我们引入了Sharpe ratio无差异曲线的概念,该无差异曲线表示扩展的批准集的Sharpe比率保持不变的对空间(候选策略的Sharpe比率,候选策略与批准集的相关性)。我们表明,仅根据过去的夏普比率选择策略(或投资组合经理)将导致次优结果,特别是当我们忽略这些决策对投资组合的平均相关性的影响时。我们的策略批准定理证明,在某些情况下,公司完全有可能通过雇用负预期绩效的投资组合经理来提高其整体夏普比率。最后,我们表明,这些结果对投资公司招聘、裁员和结构支出的方式具有重要的实际商业意义。
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引用次数: 5
Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model 基于ARMA-GARCH非高斯多元模型的风险管理与投资组合预算
Pub Date : 2012-03-15 DOI: 10.2139/ssrn.2022513
N. Nooshi, Y. S. Kim, S. Rachev, F. Fabozzi
In this work, we propose an ARMA(1,1)-GARCH(1,1) model with standard classical tempered stable (CTS) innovations for historical daily returns of 29 selected stocks. The non-Gaussian nature of the innovations captures the fat-tail property observed in data. The dependency between different assets is modeled by a student’s t copula. We fit the data and estimate the parameters of the model and perform statistical goodness-of-fit tests for fitted parameters. Based on the multivariate model consisting of standard CTS marginals and student’s t copula, we construct ARMA-GARCH Monte-Carlo paths for daily returns of each single stock. Daily VaR is computed for an equally weighted portfolio, and for a time span of 250 trading days, the model is being backtested. It is shown that in comparison with the Gaussian model, the proposed CTS-t copula offers more realistic estimation for the portfolio risk. Moreover we study the portfolio selection problem. We compute the marginal VaR and Component VaR of single stocks for the VaR optimized portfolio. We consider an active portfolio budgeting method, where we change the portfolio composition according to marginal VaR measurements. We show that the resulting portfolio converges to the VaR minimized portfolio in the 29 dimensional space of portfolio weight vectors. We perform a return to VaR ratio, performance test, to realize the ”costs” of this risk reduction action in terms of potential return suppression. Little transaction costs due to limited and relatively small position modification in portfolio, presents an efficient management scenario for pension funds and other investment organization, where relative changes in investment positions are restricted.
在这项工作中,我们提出了一个具有标准经典调和稳定(CTS)创新的ARMA(1,1)-GARCH(1,1)模型,用于29只选定股票的历史日收益。创新的非高斯性质捕获了在数据中观察到的肥尾特性。不同资产之间的依赖关系由学生的t - copula建模。我们拟合数据并估计模型的参数,并对拟合参数进行统计拟合优度检验。基于由标准CTS边际和学生t公式组成的多元模型,我们构建了每只个股日收益的ARMA-GARCH蒙特卡洛路径。日风险价值是对一个同等权重的投资组合进行计算的,在250个交易日的时间跨度内,该模型正在进行回测。结果表明,与高斯模型相比,本文提出的CTS-t组合模型能更真实地估计投资组合的风险。此外,我们还研究了投资组合选择问题。对VaR优化后的投资组合,计算了个股的边际VaR和成分VaR。我们考虑一种主动投资组合预算方法,根据边际VaR测量值来改变投资组合的组成。我们证明了所得的投资组合在29维的投资组合权向量空间收敛于VaR最小化的投资组合。我们进行了回报与VaR比率的绩效测试,以实现这种风险降低行动在潜在回报抑制方面的“成本”。由于投资组合中的头寸变动有限且相对较小,交易成本低,为养老基金和其他投资机构提供了一种有效的管理场景,在这种情况下,投资头寸的相对变化受到限制。
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引用次数: 0
Constant Proportion Portfolio Insurance Under Regime Switching Exponential L evy Process 制度切换指数L -每过程下的常比例投资组合保险
Pub Date : 2012-03-03 DOI: 10.2139/ssrn.2015852
Chengguo Weng
The constant proportion portfolio insurance is analyzed by assuming that the risky asset price follows a regime switching exponential Levy process. Analytical forms of the shortfall probability, expected shortfall and expected gain are derived. The characteristic function of the gap risk is also obtained for further exploration on its distribution. The specific implementation is discussed under some popular Levy models including the Merton’s jump–diffusion, Kou’s jump–diffusion, variance gamma and normal inverse Gaussian models. Finally, a numerical example is presented to demonstrate the implication of the established results.
假设风险资产价格遵循制度转换指数列维过程,分析了固定比例投资组合保险。导出了缺货概率、预期缺货和预期收益的解析形式。得到了缺口风险的特征函数,进一步探讨了缺口风险的分布。在一些流行的Levy模型下,包括Merton跳跃扩散、Kou跳跃扩散、方差伽玛和正态反高斯模型下,讨论了具体实现。最后,通过数值算例验证了所建立结果的意义。
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引用次数: 15
Ensemble Properties of High Frequency Data and Intraday Trading Rules 高频数据和日内交易规则的集成特性
Pub Date : 2012-02-09 DOI: 10.2139/ssrn.2001981
F. Baldovin, F. Camana, M. Caporin, M. Caraglio, A. Stella
Regarding the intraday sequence of high frequency returns of the S&P index as daily realizations of a given stochastic process, we first demonstrate that the scaling properties of the aggregated return distribution can be employed to define a martingale stochastic model which consistently replicates conditioned expectations of the S&P 500 high frequency data in the morning of each trading day. Then, a more general formulation of the above scaling properties allows to extend the model to the afternoon trading session. We finally outline an application in which conditioned forecasting is used to implement a trend-following trading strategy capable of exploiting linear correlations present in the S&P dataset and absent in the model. Trading signals are model-based and not derived from chartist criteria. In-sample and out-of-sample tests indicate that the model-based trading strategy performs better than a benchmark one established on an asymmetric GARCH process, and show the existence of small arbitrage opportunities. We remark that in the absence of linear correlations the trading profit would vanish and discuss why the trading strategy is potentially interesting to hedge volatility risk for S&P index-based products.
关于标准普尔指数高频收益的日内序列作为给定随机过程的日常实现,我们首先证明了总收益分布的标度特性可以用来定义一个鞅随机模型,该模型在每个交易日早上一致地复制标准普尔500指数高频数据的条件预期。然后,上述缩放属性的更一般的公式允许将模型扩展到下午交易时段。我们最后概述了一种应用,在这种应用中,条件预测用于实现一种趋势跟踪交易策略,这种策略能够利用标准普尔数据集中存在的线性相关性,而模型中不存在线性相关性。交易信号是基于模型的,而不是来自图表标准。样本内和样本外测试表明,基于模型的交易策略优于基于非对称GARCH过程建立的基准交易策略,并且存在较小的套利机会。我们注意到,在没有线性相关性的情况下,交易利润将消失,并讨论了为什么交易策略对对冲基于标准普尔指数的产品的波动风险可能很有趣。
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引用次数: 9
The Two-Block Covariance Matrix and the CAPM 二块协方差矩阵与CAPM
Pub Date : 2012-01-24 DOI: 10.2139/ssrn.1963124
David J. Disatnik, S. Benninga
The classical assumptions of the Capital Asset Pricing Model do not ensure obtaining a tangency (market) portfolio in which all the risky assets appear with positive proportions. This paper gives an additional set of assumptions that ensure obtaining such a portfolio. Our new set of assumptions mainly deals with the structure of the covariance matrix of the risky assets returns. The structure we suggest for the covariance matrix is of a two-block type. We derive analytically sufficient conditions for a matrix of this type to produce a long-onlytangency portfolio (as well as a long-only global minimum variance portfolio).
资本资产定价模型的经典假设并不能保证得到所有风险资产都以正比例出现的切线(市场)投资组合。本文给出了一组额外的假设,以确保获得这样的投资组合。我们的新假设集主要处理风险资产收益协方差矩阵的结构。我们建议的协方差矩阵的结构是双块型的。我们导出了这种类型的矩阵产生只做多的切线投资组合(以及只做多的全局最小方差投资组合)的解析充分条件。
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引用次数: 2
Indonesian Stock Market Crisis Observation with Spectral and Composite Index 用光谱和综合指数观察印尼股市危机
Pub Date : 2012-01-14 DOI: 10.2139/ssrn.1985714
Hokky Situngkir
The paper discusses the employment of the index composed from the dynamical tree of correlations among stock prices both with the popularly used standard (conventional) composite one. The spectral index focus on the dynamics of the correlation coefficients among stock prices while composite index is the dynamical aggregate of the whole stocks traded in the market. Some advantages is conjectured by incorporating both indexes to the historical data of Indonesian Stock Market data. Both are shown potentially useful for detecting the crisis as well as the general stock-prices relations on fundamental issues, generally social, economic, and political situations on which the Indonesian stock market is influenced.
本文讨论了由股票价格动态相关性树构成的指数与常用的标准(常规)综合指数的应用。光谱指数关注的是股票价格之间相关系数的动态变化,而综合指数是市场上交易的全部股票的动态总和。通过将这两个指数与印尼股市的历史数据相结合,推测出一些优势。这两种方法都被证明对发现危机以及在基本问题上的一般股票价格关系有潜在的用处,这些问题一般是影响印度尼西亚股票市场的社会、经济和政治局势。
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引用次数: 0
Forecasting the Size Premium Over Different Time Horizons 预测不同时间范围内的规模溢价
Pub Date : 2011-10-31 DOI: 10.2139/ssrn.1951931
Valeriy Zakamulin
In this paper, we provide evidence that the small stock premium is predictable both in-sample and out-of-sample through the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time horizons that range from one month to one year. We demonstrate that the predictability of the size premium allows a portfolio manager to generate an economically and statistically significant active alpha.
在本文中,我们提供的证据表明,通过使用一组滞后的宏观经济变量,小股票溢价是可预测的样本内和样本外。我们发现,在一个月到一年的时间范围内预测规模溢价是可能的。我们证明了规模溢价的可预测性允许投资组合经理产生经济上和统计上显著的活跃alpha。
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引用次数: 18
P-Rise (Probability of Rise) Calculated From Moving Averages P-Rise(上升概率)由移动平均线计算
Pub Date : 2011-10-10 DOI: 10.2139/ssrn.1922456
M. Iqbal
A technical indicator that translates other technical indicators into a simple probability of rise and fall is described and its effectiveness is tested. A buying strategy based on the probability of rise (p-rise) and the probability of fall (p-fall) is tested on Gold and a stock listed on the Karachi Stock Exchange.
描述了一种将其他技术指标转化为简单的涨跌概率的技术指标,并对其有效性进行了测试。基于上涨概率(p-rise)和下跌概率(p-fall)的买入策略在黄金和卡拉奇证券交易所上市的股票上进行了测试。
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引用次数: 1
Determination of Optimal Contribution Rate and Optimal Investment Portfolio of Defined Benefit Pension Plan Under the Expected Shortfall Constraint 期望缺口约束下固定收益养老金计划最优缴费率和最优投资组合的确定
Pub Date : 2011-10-09 DOI: 10.2139/ssrn.1941458
Krzysztof Ostaszewski
We establish stochastic models considering stochastic growth rate of salary, stochastic return rate of investment portfolio and stochastic mortality to evaluate pension surplus. We also establish the stochastic objective function of minimizing the contribution rate satisfying the constraint of expected shortfall less than a constant. We consider the time varying of means and variance of return rate of investment and deduct the calculation formula of time varying covariance of it. We apply the Monte Carlo simulation, and stochastic optimization techniques with the help of Matlab to find the optimal solutions of contribution rate and investment portfolio. Finally, we discuss the effect of the changes of the age of participating pension plan, the retirement age and mortality improvement on the optimal contribution rate and the effect of changing retirement age on the replacement rate.
建立了考虑工资随机增长率、投资组合随机收益率和随机死亡率的随机模型来评估养老金盈余。建立了满足期望缺口小于一个常数约束的贡献率最小的随机目标函数。考虑投资收益率均值和方差的时变,推导出其时变协方差的计算公式。运用蒙特卡罗模拟和随机优化技术,在Matlab的帮助下,找到了贡献率和投资组合的最优解。最后,讨论了参加养老金计划年龄、退休年龄和死亡率提高对最优缴费率的影响,以及退休年龄变化对替代率的影响。
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引用次数: 7
期刊
ERN: Portfolio Optimization (Topic)
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