题目3021 · 概率
Merged Count in 15 Minutes
Two independent Poisson streams with rates 6 and 10 per hour are merged. What is the probability that the merged stream records exactly 3 arrivals in the next 15 minutes?
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中文题目题目3036 · 概率
First Two Merged Arrivals Are Both Buys
Two independent Poisson streams with rates 8 and 4 per hour are merged. Using the fact that source labels in the merged stream are i.i.d., compute the requested probability about the first 2 merged arrivals.
打开 →题目3031 · 概率
How Many of Eight Merged Orders Came from Venue A?
Two independent Poisson streams A and B with hourly rates 7 and 3 are merged. Conditional on observing exactly 8 merged arrivals in the hour, what is the probability that exactly 5 came from stream A?
打开 →题目2461 · 机器学习
Learning Rare-Category Merges From Future Features
No labels are used, but the preprocessing step decides which rare sectors to merge by looking at category frequencies on the full dataset. Why can that still make the evaluation optimistic?
打开 →题目2452 · 机器学习
Future Restatements Merged Into Historical Features
A researcher joins fundamentals after they were restated months later, then backtests on the original trade dates. Why is this a split-discipline failure even if no test labels were touched?
打开 →题目6012 · 概率
A Three-Arrival Head Start
Aggressive and passive child orders fill as independent Poisson processes with rates $\lambda_A=10$ and $\lambda_B=5$ per minute. What is the probability that the first three fills in the merged stream are all aggressive (stream A)?
打开 →模块3.6.2 · 编程 · 量化开发的软件工程
Git 与代码质量
git · version-control · working-tree · staging-area · head · commit · branch · merge
打开 →课程信号构建 · Alpha 研究
事件驱动与另类数据信号
某 私募 事件驱动组的盘后会议。Q3 季报披露季刚开始,组里负责 沪深300 的研究员准备做一条 PEAD 信号:盈利惊喜后 60 个交易日的漂移。负责数据的同事翻出来一份 Wind 的盈利数据库,里面 actual eps、consensus eps、announcement date 三列齐全;研究员说,把 SUE 算出来,按 announcement ...
打开 →课程Pandas · Python 数据与量化分析
分组、合并与重塑
周二下午两点，私募研究台。你手里堆着三张表：一张是 20 个交易日 × 3 只票（ 600519.SH 、 000001.SZ 、 600036.SH ）的长格式日收益，共 60 行 (date, ticker, return) ；一张是申万一级行业查找表（ 600519.SH → 食品饮料 、 000001.SZ → 银行 、 600036.SH → 银行...
打开 →课程Git 与代码质量 · 量化开发的软件工程
协作、拉取请求与历史卫生
周二上午十一点。你的分支 feature/risk factor z 在本地终于跑通——沪深300 因子归因回测 Sharpe 三位小数都对上了审查者期望。你 git push ，在内网 GitLab 开了 MR，一小时内审查者要求改两处，并指出你的分支已落后 main 四个提交，因为同事刚合了另一个修同模块的 MR。第 1 课教你在一台机器上操作 git；...
打开 →课程量化策略目录 · 策略类型与业绩
期权、波动率与事件驱动策略
走完前三课的 L1 L/S 股票、L2 stat arb、L3 CTA 之后,任何一本真实的多策略量化基金都还剩下一桶—— 不归这三个模子 但又确实贡献分散 PnL 的策略家族。在 Citadel、Millennium、Two Sigma、Point72、AQR、Mingshi 明汯、High Flyer 幻方、Lingjun 灵均、ZhongCheng 中...
打开 →课程Git 与代码质量 · 量化开发的软件工程
面向研究与交易代码的 Git 核心
周五下午四点。一家 A 股 私募 的基金经理走过来问：「昨天你跑的 沪深300 动量回测，能不能重现？早上 Sharpe 看起来不太对。」你打开 notebook，已经被改过两次——因子回看从 60 个交易日改成了 90 个，滑点假设也不知何时动过。没有 git 时你在靠记忆复原数字；有了 git， git log oneline 、 git checkou...
打开 →课程因子表现与中国 A 股 · 因子投资
中国 A 股的特殊性:LSY 模型、壳价值与散户主导
周三早上 9:25,上海某 私募基金 的 A 股因子组讨论是否把全球因子框架直接移植到 A 股。组合工程师拿出一份 Wind 拉数据跑的 FF3 回测,显示 A 股 SMB 年化约 10%、 夏普比率 0.50、 最大回撤 约 40%——比美股 SMB 表头数字高三倍。基金经理表示怀疑,问出公开 CN 因子文献当年正是为回答而写的那个问...
打开 →课程Git 与代码质量 · 量化开发的软件工程
代码质量自动化：格式化、静态检查、测试与 pre-commit
周三下午两点。一家 A 股 私募 的资深同事打开你的 MR，标题是 feat(risk): 添加 沪深300 因子 z 列至业绩归因 。改了 12 个文件。二十秒之内审查线上铺满了「文件末尾多一个空行」「这个 import 没用到」「第 47 行行尾有空白」「import 没排序」之类的评论。你能感到审查时间正在漏走——这些评论没一条是关于你因子逻辑对不对的...
打开 →题目3020 · 概率
API Error Before Database Error
Api errors and database errors arrive as independent Poisson processes with rates $\lambda_A=5$ and $\lambda_B=5$ per hour. What is the probability that the next arrival in the merged stream comes from stream A?
打开 →题目4285 · 机器学习
Average Linkage Distance 5
Cluster A has size 3 and mean 0, cluster B has size 1 and mean 2, cluster C has size 1 and mean 5. Under Ward linkage, which pair merges first: A-B or B-C?
打开 →题目3016 · 概率
Buy Orders Beat Sell Orders
Buy orders and sell orders arrive as independent Poisson processes with rates $\lambda_A=7$ and $\lambda_B=5$ per hour. What is the probability that the next arrival in the merged stream comes from stream A?
打开 →题目4891 · 数理金融
Capital Aggregation Diagnostic 1
A CRO wants one firm-wide capital number for two desks whose books can offset each other. Which coherence property should you check first if you do not want the merged capital to exceed the sum of standalone capitals?
打开 →题目3424 · 数学
Entropy Loss From Merging a 20% State and a 30% State
Two states of probabilities 0.2 and 0.3 are merged into a single 0.5-mass state. By how many bits does the entropy fall?
打开 →题目3423 · 数学
Entropy Loss From Merging Two Equal 1/8 States
If two symbols each of probability 1/8 are merged into a single symbol while everything else stays unchanged, by how many bits does the entropy decrease?
打开 →题目3017 · 概率
Exchange A Sends the Next Tick First
Exchange a ticks and Exchange B ticks arrive as independent Poisson processes with rates $\lambda_A=9$ and $\lambda_B=3$ per hour. What is the probability that the next arrival in the merged stream comes from stream A?
打开 →题目3018 · 概率
Institutional RFQ Before Retail RFQ
Institutional rfqs and retail RFQs arrive as independent Poisson processes with rates $\lambda_A=4$ and $\lambda_B=6$ per hour. What is the probability that the next arrival in the merged stream comes from stream A?
打开 →题目4274 · 机器学习
k-Means Centroid Update 4
Under Ward linkage, what merge cost increase do two singleton clusters at positions 1 and 4 have in 1D?
打开 →题目3019 · 概率
Options Alarm Before Cash Alarm
Options alarms and cash alarms arrive as independent Poisson processes with rates $\lambda_A=8$ and $\lambda_B=2$ per hour. What is the probability that the next arrival in the merged stream comes from stream A?
打开 →课程Python 打包与测试 · Python 基础
pytest 基础
周一开盘前一刻钟，你在私募的研究服务器上 merge 了一段对 mean price 的「无害重构」——只是把 sum(...) / len(...) 拆成两步，方便在中间加日志。脚本照常跑完，回测照常出图。下午两点你才发现 PnL 报表上 XYZ001.SH 的当日均价对不上：你在重构时把 sum 与 len 的参数搞反了，函数对所有非空输入都返回 1 。...
打开 →题目4281 · 机器学习
Single Linkage Distance 1
For single-linkage hierarchical clustering on 1D points {0,1,4}, which pair merges first?
打开 →课程可观测性与系统设计 · 量化开发的软件工程
分布式追踪、OpenTelemetry 与日志聚合
国内私募的 50ETF 期权做市，盘中 13:47 SSE 一条 IF 主力 tick 的入库延迟从平均 80 毫秒跳到 1.8 秒。L1 的结构化日志能告诉你这一笔 tick 落在 feed handler consumer 7c4f9d8b6 x2k4l 这个 pod 的某条 offset；L2 的 dashboard 能告诉你 p99 延迟在过去 5 ...
打开 →课程加密资产 · 另类资产
加密资产类别与链上结算
周二上午，你在香港一家持牌资管的配置组，团队评估通过 HKEX 上市的现货比特币 ETF（华夏比特币 ETF，3042.HK）建立 BTC 核心仓位。基金经理同时打开三个页面：3042.HK 报价、链上区块浏览器里一笔 BTC 转账的六确认进度条、Circle 公司公布的 USDC 月度储备审计。三层完全不同的结算逻辑，包裹的却是同一类资产——港股 ETF ...
打开 →课程基本面、另类数据与数据基础设施 · 量化数据
数据供应商接口与数据采集
周二早上 8:47。某上海私募的股票策略组组长在数据团队飞书里点了 @：「我们 fundamentals pit 表里 600519 以后的股票全部缺失。今早策略对沪深300 后 30% 的标的完全没头寸。」值班数据工程师调出昨晚的入库日志。Wind 数据 服务 SFTP 文件 02:14 完成下载——SFTP close() 返回成功、cron 日志写「入...
打开 →课程Pandas · Python 数据与量化分析
数据读写与清洗
周一早晨九点，你在一家私募的研究台上收到上游数据团队推过来的 510300 2024.csv ——沪深300 ETF 在 2024 年 1 月的日线行情。你打算直接 df = pd.read csv(path) 然后开始写信号，结果跑出来的 DataFrame 漏洞密布： close 列的 dtype 是 object 而不是 float64 （因为有三行写...
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