• 均值回归策略

    策略思路: 由于残差不平稳,就无法满足均值和方差在时间过程上都是常数,但残差会以它的均线为中心进行波动。也就是说,当残差由于波动而偏离移动均线时,它将调整并重新归于均线。那么如果我们如果能捕捉偏离均线价格的回归,就可以从此获利。 策略指标: 我们可以构造一种利用标准差来测量当日残差波动幅度的方法。取过去 N天收盘价,并取其标准差 σ(N),设今日残差为E并且 N日均线值为 MA(N),计算:...
    Strategies Fang 8 years ago
  • The 13rd China International Future Forum

    Fang Xinghai (Vice chairman of the CSRC): At present, Crude Oil futures has entered into the final sprint stage&...
    Financial Futures Fang 8 years ago
  • 2017年四季度私募投资策略报告

    摘要 展望四季度,我们认为上半年超跌的中小盘股估值有继续向上修复的动能,很多优质成长股自半年报披露以来得到了分析师的认可并调高了成长预期,在今年内的股指期货贴水率的低波动性大概率会延续甚至可能转为升水,因此,在四季度相对价值策略依然是稳健的低风险投资的首选策略,并有望获得更好的收益。 目录 一、 概述:三季度私募市场回顾 1.1 各主要策略基金的表...
    Financial Futures Fang 8 years ago
  • Summary on the 19th Party Congress

    19th Party Congress: Pay attention on new area and new trend: victory in building an overall well-off society. Find certainty investment opportunities: more structural opportunities than I...
    Financial Futures Fang 8 years ago
  • Policy News--Sep 15,2017

    CFFEX announced that will loosen the limit on index futures since Sep 18: 1). Intraday closeout fee down to 6.9bp from current 9.2bp; 2). Lower margin down from current 20% to 15% for CSI300 and ...
    Rules Fang 8 years ago
  • Speech of Fangxinghai : further open China futures market on Sep 8th

    1.China futures market has achieved some wonderful process already: Since 18th CPC National Congress, the opening-up of China's futures market has made new achievements. Firstly, the bonded del...
    Rules Fang 8 years ago
  • Product Offerings Available to QFII in SSE

    I. Bond Collateral Repo Bond collateral repo is a kind of repo that securities company provide bonds as collateral, offer different fixed income products to their customers, when customers accept t...
    Rules Fang 8 years ago
  • Factor Performance in A-share

    Remove ST stocks and stocks with daily turnover lower than 10 million, hold 28 stocks based on the factor selection, and the rebalance period is 20 trading days. The data show that the...
    Strategies Fang 8 years ago
  • Market review: July 17, 2017

    Market review: China stocks declined with SHA fell about -1.43%, the largest slide of the year with investors reacted to the weekend financial regulatory conference which emphasized to ti...
    Financial Futures Fang 8 years ago
  • UBS Asset Management Secures Mainland China Fund License

    UBS unit first qualified partner to obtain license in China Allows bank to work closely with global firms’ Chinese units UBS Asset Management has secured a private-funds license in C...
    Policy Fang 8 years ago
  • Min RSS-A50&CSI300&SSE50 arb report--2017.2.20

    For there’s obvious collinearity between CSI300 and SSE50, the coefficients are in a two dimensional united distribution, which formed a curved surface with the residual sum of squares. In the ...
    Strategies Fang 8 years ago
  • Quant Investment in China A-share market

    1. China Equity Markets—Overview Stocks Listed& Market Cap since 1990 2. Two Stock Exchanges—Shanghai and Shenzhen 1) Date Established: Shanghai Stock Exchange: 1990.12 Shenzhen Stock Ex...
    Strategies Fang 8 years ago