{"version":"1.0","provider_name":"Fortune Insight","provider_url":"https:\/\/prime.fortuneinsight.com\/web","author_name":"\u9322\u741b","author_url":"https:\/\/prime.fortuneinsight.com\/web\/posts\/author\/chinshun","title":"\u300a\u8a08\u91cf\u7b56\u7565\u300b\u505aPairs Trading\u524d\u8981\u61c2\u7684\u7b56\u7565\u601d\u7dad - Fortune Insight","type":"rich","width":600,"height":338,"html":"<blockquote class=\"wp-embedded-content\"><a href=\"https:\/\/prime.fortuneinsight.com\/web\/posts\/690307\">\u300a\u8a08\u91cf\u7b56\u7565\u300b\u505aPairs Trading\u524d\u8981\u61c2\u7684\u7b56\u7565\u601d\u7dad<\/a><\/blockquote>\n<script type='text\/javascript'>\n<!--\/\/--><![CDATA[\/\/><!--\n\t\t!function(c,d){\"use strict\";var e=!1,n=!1;if(d.querySelector)if(c.addEventListener)e=!0;if(c.wp=c.wp||{},!c.wp.receiveEmbedMessage)if(c.wp.receiveEmbedMessage=function(e){var t=e.data;if(t)if(t.secret||t.message||t.value)if(!\/[^a-zA-Z0-9]\/.test(t.secret)){for(var 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class=\"wp-embedded-content\"><\/iframe>","thumbnail_url":"https:\/\/prime-fortuneinsight-cloud.s3.ap-southeast-1.amazonaws.com\/web\/wp-content\/uploads\/2022\/08\/22131833\/relative-value-illustration.png","thumbnail_width":927,"thumbnail_height":460,"description":"\u914d\u5c0d\u4ea4\u6613\uff08pairs trading\uff09\u4e43long short\u7b56\u7565\uff0c\u672c\u8cea\u70ba\u5e02\u5834\u4e2d\u6027\uff08market neutral\uff09\u3002\u5f88\u591a\u6563\u6236\u5e0c\u671b\u9664\u4e86\u65b9\u5411\u6027\u4ea4\u6613\u5916\uff0c\u4e5f\u80fd\u9032\u4e00\u6b65\u5206\u6563\u7b56\u7565\uff0c\u6240\u4ee5\u5f88\u60f3\u57f7\u884cpairs trading\u3002\u4e0d\u904e\uff0c\u4e0d\u5c11\u4eba\u5c0d\u7b56\u7565\u672c\u8cea\u4e0d\u592a\u719f\u6089\uff0c\u4ee5\u4e0b\u6709\u591a\u9ede\u60f3\u5206\u4eab\u3002 Pairs trading\u4e26\u975e\u535a\u8cc7\u7522\u50f9\u683c\u5347\u8dcc\uff0c\u53cd\u800c\u535a\u8a72\u7d44\u5408\u7684\u76f8\u5c0d\u50f9\u503c\uff08relative value\uff09\u56de\u6b78\u9577\u671f\u5747\u503c \u8981\u535a\u914d\u5c0d\u7684\u76f8\u5c0d\u50f9\u503c\u56de\u6b78\u9577\u671f\u5747\u503c\uff0c\u9664\u4e86\u914d\u5c0d\u56de\u5831\u8981\u6709\u9ad8\u76f8\u95dc\u6027\u5916\uff0c\u300c\u8ddd\u96e2\u300d\u4e5f\u8981\u5920\u8fd1 \u6240\u4ee5\uff0c\u958b\u5009\u6642\u6a5f\u662f\u76f8\u5c0d\u50f9\u503c\u904e\u5206\u504f\u96e2\u9577\u671f\u5747\u503c\uff0c\u96e2\u5834\u6642\u6a5f\u5247\u70ba\u76f8\u5c0d\u50f9\u503c\u56de\u6b78\u9577\u671f\u5747\u503c\u3001\u6216\u76f8\u5c0d\u50f9\u503c\u8207\u9577\u671f\u5747\u503c\u8ddd\u96e2\u300c\u6e1b\u5c11\u300d \u56e0\u6b64\uff0c\u7b56\u7565\u91cd\u9ede\u5728\u65bc\u5982\u4f55\u91cf\u5ea6\u300c\u8ddd\u96e2\u300d\uff0c\u91d0\u5b9a\u8ddd\u96e2\u51fd\u6578\uff08distance function\uff09\u76f8\u7576\u91cd\u8981 \u7b56\u7565\u6703\u67d0\u7a0b\u5ea6\u4e0a\u5c0d\u6c96\u5e02\u5834\u98a8\u96aa\uff08beta\uff09\uff0c\u9054\u81f3\u67d0\u7a0b\u5ea6\u4e0a\u7684beta neutral \u7531\u65bc\u6709long\u53cashort leg\uff0c\u4e00\u822c\u800c\u8a00pairs trading\u90fd\u9700\u8981\u66f4\u9ad8\u983b\u7387\u7684rebalancing\uff0c\u7b56\u7565\u4ea4\u6613\u6210\u672c\u6bd4buy and hold\u8981\u9ad8\u3002\u4e0d\u505arebalancing\u7684\u8a71\uff0c\u9577\u7dda\u800c\u8a00\uff0clong leg\u8ca8\u503c\u96a8\u725b\u5e02\u4e0a\u5347\uff0cshort leg\u8ca8\u503c\u96a8\u725b\u5e02\u4e0b\u8dcc\uff0c\u4ee4\u5009\u4f4d\u51fa\u73fenet long bias \u5e02\u5834\u4e2d\u6027\u7b56\u7565\u7279\u6027\u662f\u5927\u725b\u5e02\u6216\u5927\u718a\u5e02\u4e5f\u8207\u7b56\u7565\u56de\u5831\u7121\u95dc\uff0c\u6240\u4ee5\u5728\u5927\u725b\u5e02\u6642\uff0c\u7b56\u7565\u56de\u5831\u5f88\u53ef\u80fd\u6bd4\u7d14long only\u4f4e \u7b56\u7565\u535a\u5747\u503c\u56de\u6b78\u3002\u914d\u5c0d\u76f8\u5c0d\u50f9\u503c\u904e\u65bc\u504f\u96e2\u5747\u503c\uff0c\u7686\u56e0\u5e02\u5834\u51fa\u73fe\u566a\u97f3\uff08noise\uff09\u3002\u566a\u97f3\u539f\u56e0\u6975\u591a\uff0c\u4ee5\u4e0b\u5217\u8209\u4f8b\u5b50 \u4f8b\u5b50\u4e00\uff0c\u5927\u6236\u56e0\u76e3\u7ba1\u539f\u56e0\u8981\u9032\u884c\u6295\u8cc7\u7d44\u5408\u518d\u5e73\u8861\uff08portfolio rebalancing\uff09\uff0c\u5927\u624b\u8cb7\u5165\/\u653e\u552e\u67d0\u8cc7\u7522\uff0c\u4ee4\u50f9\u683c\u8b8a\u5f97\u6ce2\u52d5\uff0c\u4f7f\u8cc7\u7522\u914d\u5c0d\u7684\u76f8\u5c0d\u50f9\u503c\u504f\u96e2\u5747\u503c \u4f8b\u5b50\u4e8c\uff0c\u566a\u97f3\u53ef\u4ee5\u662f\u6d41\u52d5\u6027\u566a\u97f3\uff08liquidity noise\uff09\u3002\u5e02\u5834\u6ce2\u52d5\u592a\u9ad8\u7684\u8a71\uff0c\u6709\u6a5f\u6703\u89f8\u767c\u7206\u5009\u3002\u7206\u5009\u5f8c\u88dc\u4e0d\u4e86\u5009\uff0c\u6703\u51fa\u73fe\u6b7b\u4ea1\u87ba\u65cb\uff0c\u4ee4\u50f9\u683c\u66b4\u8dcc\uff0c\u504f\u96e2\u5408\u7406\u503c\u3002\u9019\u6703\u89f8\u767c\u76f8\u5c0d\u50f9\u503c\u504f\u96e2\u5747\u503c\u3002 \u4f8b\u5b50\u4e09\uff0c\u5e02\u5834\u6548\u7387\u4e0d\u8db3\u4e5f\u6703\u5c0e\u81f4\u566a\u97f3\u51fa\u73fe\uff0c\u56e0\u70ba\u50f9\u683c\u672a\u80fd\u5145\u5206\u53cd\u6620\u6240\u6709\u8cc7\u8a0a \u4e0d\u904e\u76f8\u5c0d\u50f9\u503c\u504f\u96e2\u5747\u503c\u7684\u539f\u56e0\u4e5f\u53ef\u4ee5\u662f\u5e02\u5834\u672c\u8cea\u6539\u8b8a\u3002\u5047\u5982\u8cc7\u7522\u914d\u5c0d\u7684\u57fa\u672c\u9762\u51fa\u73fe\u91cd\u5927\u6539\u8b8a\uff0c\u76f8\u5c0d\u50f9\u503c\u6709\u53ef\u80fd\u9577\u671f\u504f\u96e2\u5747\u503c\uff0c\u6216\u8005\u76f8\u5c0d\u50f9\u503c\u7684\u5747\u503c\u5df2\u6709\u91cd\u5927\u6539\u8b8a\u3002 \u4e0a\u9762\u63d0\u904e\u8ddd\u96e2\u51fd\u6578\u7684\u91cd\u8981\u6027\uff0c\u4ee5\u4e0b\u63d0\u4f9b\u4e00\u4f8b\u6559\u6388\u5927\u5bb6\u69cb\u601d\u7b56\u7565\u3002\u8ddd\u96e2\u51fd\u6578\u53ef\u4ee5\u65b9\u5dee\u548c\uff08sun of square\uff0cSSD\uff09\u4f86\u91cf\u5ea6\u3002\u628a\u8cc7\u7522\u50f9\u683c\u653e\u5230\u540c\u4e00\u5ea6\u91cf\uff08scale\uff09\u5f8c\uff08\u5982\u628a\u50f9\u683c\u8f49\u63db\u6210\u767e\u5206\u6bd4\u7d2f\u8a08\u56de\u5831\u9032\u884c\u6b63\u5e38\u5316\uff09\uff0c\u53ef\u4ee5\u5148\u8a08\u7b97\u6b63\u5e38\u5316\u50f9\u683c\u6bcf\u5929\u7684\u5dee\uff08normalised price difference\uff09\uff0c\u518d\u8a08\u7b97\u5dee\u8ddd\u76842\u6b21\u65b9\uff0c\u7136\u5f8c\u518d\u8a08\u7b97\u6240\u6709\uff08\u6bcf\u5929\uff09\u5dee\u8ddd2\u6b21\u65b9\u7684\u7e3d\u548c\u3002\u6bcf\u4e00\u7d44\u8cc7\u7522\u914d\u5c0d\u90fd\u6703\u6709\u4e00\u500bSSD\uff0c\u5728\u4e00\u7c43\u5b50\u8cc7\u7522\u914d\u5c0d\u4e2d\u627e\u5230\u64c1\u6709\u6700\u4f4eSSD\u914d\u5c0d\u5f8c\uff0c\u5c31\u53ef\u4ee5\u8003\u616e\u5c0d\u8a72\u914d\u5c0d\u9032\u884c\u4ea4\u6613 \u4ee5\u4e0a\u7d71\u8a08\u65b9\u6cd5\u5b78\u540d\u70ba\u65b9\u5dee\u548c\u6700\u5c0f\u5316\uff08SSD minimisation\uff09 \u4e4b\u5f8c\u518d\u63a2\u8a0e\u66f4\u591a\u9032\u968e\u914d\u5c0d\u4ea4\u6613\u601d\u7dad\u53ca\u4f8b\u5b50\u3002"}