GLOBAL SEARCH
搜索在服务端完成，题目解析与答案不会进入搜索结果。登录后可搜索自己的收藏题单。
找到 30 个结果
中文题目A hedged option book expects to earn 60 of frictionless gamma/theta edge over the month. It will rebalance 40 times, with average absolute share turnover 120 shares per rebalance. What is the maximum per-share transaction cost that still leaves nonnegative expected net hedging P&
打开 →A hedged option book expects to earn 37.5 of frictionless gamma/theta edge over the month. It will rebalance 25 times, with average absolute share turnover 200 shares per rebalance. What is the maximum per-share transaction cost that still leaves nonnegative expected net hedging
打开 →Why is it wrong to treat trading costs as a fixed deduction after the predictive model has already been validated?
打开 →If you hedge more frequently, what usually happens to diffusion-style replication error and what usually happens to transaction costs?
打开 →Before concluding that transaction costs dominate the hedge result, what unit check should you do first?
打开 →If transaction costs rise materially, what usually happens to the appeal of slower-moving signals in the blend?
打开 →cn-regulation · csrc · amac · sac · nfra · regulator-stack · exchanges · ssec
打开 →transaction-cost · explicit-cost · bid-ask-spread · commission · stamp-duty · sec-fee · finra-taf · maker-taker
打开 →中信 CITIC 算法交易部一位资深执行交易员，正在与一家中型量化私募的投资经理通电话。私募需要在收盘前 30 分钟清掉 100 万股 600519 贵州茅台。到达价 RMB 1800.00；距离收盘 30 分钟。投资经理要求订单完成。交易员冷静地解释：「直接打盘口市价单，意味着接下来 30 秒 100% 参与率， 250 bp 冲击。30 分钟内做 TWA...
打开 →周一早上九点，你作为新任合规负责人坐进上海某量化私募的办公室。墙上挂着四张框装证书：一张是中国证监会对该公司私募投资基金管理人身份的承认函，一张是中基协颁发的私募基金管理人登记证(编号 S 加八位数字)，一张是上海证券交易所颁发的程序化交易报告备案与交易参与人编号，最后一张是中国证券登记结算公司的结算参与人证明，附带最新一次风险准备金缴存凭证。这四张「墙上的...
打开 →把 2014 年到 2026 年的 CN 量化私募行业摆在一张时间轴上。最左端是 2014 年二月 AMAC 私募基金管理人登记系统正式上线，再加同年八月 CSRC 颁布的《私募投资基金监督管理暂行办法》——这两件事把 CN 私募从「信托通道+投顾」的阳光私募时代推进了「AMAC 备案直营管理」的新时代。接下来是 2013 2017 的创始浪、2017 20...
打开 →某沪深300指增私募的中级量化研究员,用 L1 的「无成本」约束 MV 优化器跑 30 只 CSI 300 行业龙头基础上的 12 1 截面动量信号,样本内纸面 Sharpe(paper Sharpe)= 1.4。她把同样的换仓单丢进自家交易台的事后成本归因系统,扣掉佣金、印花税、半价差(half spread)和 Almgren Chriss 市场冲击之后...
打开 →周三下午,你在上海的一家 量化 私募。L1 走通了 12 1 动量 的 IC 与 IR 报告,头条 数字 是 月度 rank IC ≈ 0.03、 IR ≈ 0.5。 在 投决会 上 提交 前,合规 与 交易 部门 同时 提了 三 个 问题:这个 IC 在 多 长 视界 上 仍然 有效? 月度 跑 一遍 会 产生 多大 换手率? 等到 私募 规模 上到 5 ...
打开 →周一上午，上海陆家嘴一家头部量化私募的策略评审会。一位研究员把回测包递给基金经理：沪深300 成份股大盘股动量策略，年化换手 200%，2014 2023 期间纸面 Sharpe 1.5。撮合模拟器沿用 4.5.1 留下的占位成本「 10 bp 双边」——一个没有拆解的总数。基金经理问：「把成本栈讲给我听。买卖价差、佣金、印花税、过户费、经手费、融资融券利率...
打开 →一块白板、四列、44 年。格林威治某多策略平台的资深 PM 用「带访客逛博物馆」的方式给一位刚入职的暑期实习生讲美国与全球量化行业。第一列贴着 1982 2000，起点是一个点：1982 年 Jim Simons 在纽约长岛东塞托基特创立 Renaissance Technologies，他招的是密码学家与数学家而不是华尔街老兵。六年后 Medallion ...
打开 →上海陆家嘴一家头部量化私募的执行部门，资深交易员主持晨会。策略：中证500 + 中证1000 小盘股统计套利，纸面 Sharpe 2.2，毛 AUM RMB 20 亿，年化换手 1000%。L1 显性成本建模规范：ETF 端 8 bp round trip，单只小盘股端 12 bp。投资经理推动上线。交易员调出昨日 TCA 报告。中证1000 单只股票 fi...
打开 →Why is a convex acceptance set operationally useful when two desks ask whether they can partially blend books without blowing up capital?
打开 →A call with strike 80 trades at 25. Ignoring discounting and using only no-arbitrage monotonicity and slope bounds across strikes, what admissible price interval does that imply for the call with higher strike 90?
打开 →A call with strike 100 trades at 10.5. Ignoring discounting and using only no-arbitrage monotonicity and slope bounds across strikes, what admissible price interval does that imply for the call with higher strike 110?
打开 →The stock is 100 today and ends at 120, 100, or 80 next period. Consider a claim paying 20, 10, and 0 in those three states. Can it be replicated exactly using only the stock and cash? If yes, give the hedge. If not, identify the replication obstruction.
打开 →Why is a single firm-wide VaR or ES number not enough for desk incentives unless it is broken into component contributions?
打开 →A trading sleeve has realized return 12% and market beta 1.4. The risk committee wants the reported beta reduced to exactly 1.0 by parking the rest of the capital in T-bills earning 2%. If the market returned 8%, what alpha will the combined position report relative to CAPM?
打开 →A signal is expected to decay within the next 20 minutes, and waiting is more expensive than crossing a bit more spread now. Should the schedule become more or less front-loaded?
打开 →A stock returns 1.8% while the benchmark returns 0.9%. If the stock beta is 1.1 and the risk-free rate is negligible over the horizon, what single-period alpha do you attribute to the stock?
打开 →Price an American put with strike 100 on a two-step tree: spot=100, u=1.2, d=0.8, r=0.03, Δt=1. Give the time-0 value and state whether early exercise occurs at the first down node.
打开 →An annually compounded rate of 0.06 is given. What continuously compounded rate produces the same one-year discount factor?
打开 →Current variance is v0 = 0.04, long-run mean is theta = 0.09, mean-reversion speed is kappa = 2, and horizon is T = 0.5. What expected forward variance E[v_T] and annualized volatility sqrt(E[v_T]) does the model imply?
打开 →A trader observes that the options market is pricing a 1.2% one-day one-sigma move. Using 252 trading days and sigma_ann = daily_move·sqrt(252), what annualized implied volatility does this imply, to four decimals?
打开 →A portfolio manager plans two trades and uses a local Euler approximation for total VaR. She sells 0.30 of a crowded factor sleeve whose marginal VaR is 0.26 per unit weight, and buys 0.20 of a hedge sleeve whose marginal VaR is -0.10 per unit weight. What is the approximate chan
打开 →Spot is 100, maturity is 1 years, and the funding rate is 0.03. The quoted forward price is 104. Assuming no income and no frictions, which arbitrage direction is indicated, and what is the mispricing per unit relative to fair value?
打开 →