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3,481 dokumentų
This Chinese Q&A discusses basic factor research and strategy refinement. It recommends using a correlation calculation to compare factors and gives rough absolute-correlation bands for weak and strong relationships. It also suggests tracking factor…
This research note develops an equity factor from intraday changes in volatility, which it treats as uncertainty about volatility. Using rolling five-minute windows of returns and volatility, it identifies periods when this uncertainty is elevated. It then…
This Chinese-language discussion asks why a five-day moving average is missing on a date when the closing price appears to be available and the security was not halted. The response offers a possible explanation: a missing close elsewhere in the five-day…
This short quantitative research answer describes a volume-based factor built from two choices: the number of days used to average volume and the number of observations used to measure volatility. Its notation indicates applying a standard deviation to…
This Chinese brokerage research summary examines Fuling Zhacai, a single Chinese listed company, and proposes adjusting exposure according to how much future earnings its share price appears to anticipate. The analysis describes relatively stable analyst…
This BigQuant workflow builds a Chinese stock portfolio from a broad exchange and sector universe. Its factor query computes lagged price measures, ranks stocks using longer- and shorter-window returns, filters out special-treatment stocks, and removes rows…
This study examines six smart beta factors in Chinese equities: size, value, low volatility, momentum, quality, and dividends. Its reported sample runs from July 2006 through November 2018. The summary finds differing absolute and risk-adjusted performance…
This research summary explores technical factors built from turnover, illiquidity, and combined price-volume information in the CSI 500 universe. It considers turnover stability, turnover variation, abnormal turnover, several illiquidity measures, On-Balance…
The document surveys a quantitative research platform’s components and workflow. It describes tools for strategy development, financial data access, factor research, model training, backtesting, simulated trading, and live execution. Its examples span stock,…
The document summarizes research on applying conditional generative adversarial networks to calibrate individual systematic trading strategies and combine them into ensembles. The proposed workflow covers training and selecting a cGAN on time-series data,…
This Chinese equities screen combines cross-sectional ranks for total market capitalization, free-float market capitalization, and closing price into a weighted score. It filters out special-treatment and suspended stocks, requires more than a year since…
This Chinese equity screen combines technical conditions with a historical revenue comparison. It selects stocks with RSI below 65, a shortening MACD histogram on a 15-minute chart, and revenue in 2021 more than 1.1 times revenue in 2018. The accompanying…
The document presents a cross-sectional stock factor built from daily Chinese stock data. It calculates a rolling correlation over 20 observations between the close-to-close price ratio and the logarithm of the volume ratio plus one, then reverses the…
This research summary examines why Chinese A-share returns show short-term reversal even though medium- and long-term raw returns do not show the momentum commonly reported in overseas markets. It decomposes stock returns into overnight returns and intraday…
This report examines whether stocks expected to enter or leave the CSI 300 earn abnormal returns around index reconstitutions. It attributes potential price effects to index-tracking funds adjusting holdings. For the 20 trading days before an adjustment…
The article reviews research comparing factor momentum with industry and stock momentum using historical U.S. equity data and a broad set of return factors. The central finding is that industry-neutral factor momentum contains the predictive information…
The document summarizes Barra CNE6 as a risk and factor model with an estimation universe filtered for size and liquidity. It describes three versions: two long-term variants using slower style factors and a trading version combining slower and faster…
This index-timing method combines relative price strength (RPS) with the difference between upward and downward volatility. It computes the two directional volatility measures for each index, subtracts one from the other, and smooths the result with a moving…
This research summary examines stock-selection factors within China’s healthcare sector. It reports that size-related factors can deliver higher average returns but have been unstable, while several technical measures—including prior price change, turnover,…
This article explains attention and Transformer components, then adapts them to predict stock returns from factor time series. Its proposed model adds Time2Vec features to factor inputs, applies self-attention and multi-head attention, and stacks encoder…
This note outlines a top-down approach to investing in fixed-income funds. It recommends first forming views on short- and long-term interest rates and credit spreads, then using those views to guide bond-fund selection. When rates are expected to rise, it…
The article surveys common sources of investment loss, including broad market movements, issuer default, illiquidity, interest-rate changes, inflation, geopolitical events, concentration, business problems, and legal or regulatory changes. It explains these…
This research summary outlines an enhanced portfolio for the ChiNext, or Growth Enterprise Market, index. The authors test single-factor enhanced portfolios, then select factors using information ratios, maximum drawdowns, and relationships among factors.…
The report summary introduces the ZCBI listed index, designed to track publicly traded companies associated with Beijing’s Zhongguancun Life Science Park and the broader bioeconomy. It describes a total-return index, free-float market-cap weighting, and…