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3,481 dokumentů
This report introduces environmental, social, and governance investing and outlines six approaches, including exclusions, positive screening, ESG integration, thematic investing, and shareholder engagement. It compares MSCI and Thomson Reuters rating methods…
This report overview describes how artificial intelligence may be applied across investment management, including portfolio research, investment decisions, trading, risk control, product development, and client marketing. It highlights information…
This weekly report surveys Chinese equity-selection factors built from intraday trading behavior. Examples include return skewness, downside-volatility share, buying interest and large-order net buying after the open, late-session trading share, average…
This document describes an Expert Advisor built around the Adaptive Cyber Cycle indicator. It generates a signal when the indicator crosses its signal line at a bar close. The inputs also allow use of related Adaptive CG Oscillator, CyberCycle, or Adaptive…
This article explains how to simplify factor research by converting many distinct raw values into a smaller number of bins. Its example is a daily return factor across thousands of stocks, where nearby values may be treated as equivalent for exploratory…
This research summary reviews the 2021 commodity futures market and examines whether exchange increases in trading fees affect commodity prices and CTA strategies. It describes a year of broad price gains followed by sharp reversals amid market…
The article explains how a backtest can look convincing while relying on conditions that may not hold in live markets. It examines three assumptions: orders fill immediately at the signal price, market data forms a continuous sequence, and prices from a…
The document outlines a financial forum presentation on the use of artificial intelligence in quantitative investing. Its listed examples include a random forest approach to market timing and hedging, a pattern matching method for industry rotation, and a…
This introductory tutorial explains machine learning concepts before focusing on linear regression. It defines features and labels, distinguishes supervised from unsupervised learning, and outlines classification, regression, clustering, and parameterized…
This research summary examines whether analyst earnings forecast errors can help select stocks. It reports that realized forecast errors are strongly negatively associated with subsequent returns: stocks with smaller errors performed better in the described…
This document summarizes a documentary series on the development of money and financial systems. Its topics include the origins and social role of credit and debt, the rise of securities markets and sovereign borrowing, insurance and the welfare state,…
This weekly report presents diagnostics for the ten highest-ranked anonymous factors in a Chinese quantitative research competition. It describes average style exposures estimated with daily multivariate regressions and average industry-level Rank ICs, the…
StockRanker is a tree-based learning-to-rank tool for ordering stocks from supplied features. Its listwise approach optimizes the quality of a stock list’s ranking, and the guide connects the method to the RankNet, LambdaRank, and LambdaMART line of work.…
The document addresses a backtest or trading-log puzzle: a buy order is calculated by rounding available cash down to a whole multiple of 100 shares, yet the recorded final purchase quantity is not a multiple of 100. The explanation given is that the system…
The document explains two differences between backtests and simulated or live trading in a notebook-based platform. In the described live modes, the initialization function runs during each trading period, whereas a backtest runs it once. It also says…
This update log describes changes to a Chinese equity screening expression. The initial filters included a trailing price-to-earnings ceiling and a minimum listing age. The author then replaces a fixed floating-market-capitalization threshold with a…
This literature digest covers two topics. The first evaluates asset-pricing factor models using the maximum squared Sharpe ratio. It describes comparisons among nested models, from CAPM through three-, five-, and six-factor specifications, and non-nested…
This report summarizes tests of equity factors across industries, covering cash flow, valuation, company size, momentum, liquidity, volatility, beta, and alpha. It compares factor performance using portfolio net value and ranking differences, and discusses…
This review describes a model in which equity factors move through normal conditions, periods of value weakness, and subsequent reversals. The value drawdown may reflect a rally in growth stocks or a collapse in value stocks; reversals then differ according…
The document discusses the rapid growth of China’s quantitative private fund industry since 2019. It attributes that expansion to growing volumes of data, better data processing, and market inefficiencies that may offer more alpha opportunities than mature…
This research summary explains a model in which product-market competition and expected asset returns influence one another. Competition can reduce profit margins, increasing firms’ operating leverage and exposure to systematic shocks. Threats from new…
This Chinese-language research summary describes a top-down framework for institutional fund allocation that connects macro asset views with strategy and product selection. It argues that asset allocation recommendations need to flow through to specific…
The document introduces the Alligator technical indicator as three moving-average lines calculated from the midpoint of each bar's high and low. It names the lines Lips, Teeth, and Jaw, and describes each as a moving exponential average with a separate fast,…
This summary of a May 2020 China A-share market-timing report combines sector performance, valuation, market breadth, fund positioning, and an intermediate-term model. It lists the strongest and weakest sectors, notes that valuations fell across several…