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中文题目You need to buy 6% of daily volume in a liquid index future by the close, and the PM is benchmarked strictly to day-long VWAP rather than arrival. Which schedule is the most natural starting point?
打开 →A utilization surcharge is c(q)=1/(2-q) on q<2. Schedule A is deterministic with Q=1. Schedule B uses Q=1/2 or 3/2 with probability 1/2 each. Compute E[c(Q)] for Schedule B and c(E[Q]) for the shared mean.
打开 →Two execution schedules have penalties phi(q_1) and phi(q_2) under a convex phi. What does Jensen say about a random 50-50 mix versus the penalty at the average size?
打开 →An execution schedule reaches total size 11 using slices of sizes 1, 2, and 5, but the large 5-lot slice may be used at most once. Order of slices does not matter. How many schedules are possible?
打开 →A learning rate decays from eta_max to eta_min over T steps using cosine annealing. What is eta_t at step t?
打开 →A learning rate warms up linearly from 0 to eta_max over T steps. Derive eta_t for step t in the warmup phase.
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 benchmarked portfolio must minimize tracking error to the official close, and the stock has deep closing-auction liquidity. Which venue or schedule component becomes especially attractive?
打开 →You need to liquidate a medium-size position over several days with no urgent alpha and strong concern about footprint. Which scheduling style is the better default: high-POV aggression or a lower-participation passive schedule?
打开 →In a thin name, why might a trader impose a strict maximum participation rate even when the order is behind schedule?
打开 →execution · benchmarks · vwap · twap · implementation-shortfall · tca · pov · schedule
打开 →周一早盘，一家上海私募的基金经理把一张买单交到你手上：沪深300 ETF（510300.SH）500,000 股。交易员只回了一句：「跑赢哪个基准——到达价、VWAP，还是收盘价？」选错一个，TCA 报告就会把同一批成交评成「优秀」或「灾难」。本课要回答的就是这个问题：在后三课挑选算法家族之前，先固定词汇与决策问题—— 你到底想最小化什么？ 三大算法家...
打开 →一家上海私募的交易员盯着一张母单：沪深300 ETF（510300.SH）800,000 股买入，VWAP 基准，窗口设到全天。基金经理只关心基点数字，对收盘集合竞价并不挑剔。交易员调出 20 日滚动中位的盘中成交量曲线，看到 A 股典型的「双峰带午休」形状——上午 9:30 开盘一峰，11:30 前再起一峰，13:00 复盘后又有一峰，14:55 收盘集合...
打开 →一家深圳私募的交易员收到基金经理的母单：贵州茅台（600519.SH）30,000 股买入，约占 600519.SH 5% ADV，目标窗口 30 分钟，到达价（arrival price）基准。基金经理备注「Alpha 驱动，半衰期小于一小时」。第 2 课的 VWAP 会追着成交量曲线走，把时间风险全部吞下；第 1 课已经告诉你：在到达价基准下，每一基点的...
打开 →一家深圳私募的执行主管周一拿到两份报告：上周五的母单台账——A 股 38 张票、Q/ADV 0.5%–6%——和上季度的 TCA 报告。任务很具体：把今天的单子分到券商–算法组合上，周五再用新一周 TCA 揭示的东西更新分配规则。本课把前三课的算法机器变成生产协议——决策网格、参数旋钮、TCA 闭环、broker algo 轮盘。 2×2 算法选型决策网格（...
打开 →A schedule pays a quadratic cost but also faces a blow-up term as it nears a hard capacity cap. Show that f(q) = 1 q^2 + 2/(1-q) is strictly convex on q<1.
打开 →Randomizing a schedule changes the expected nonlinear penalty, not just the mean utilization. Let phi(q)=q/(1-q) on 0<=q<1. If Q is random with E[Q]=m, is E[phi(Q)] at least phi(E[Q]) or at most phi(E[Q])?
打开 →Meetings occupy half-open time intervals [(9, 12), (10, 13), (11, 15), (14, 16)]. What is the minimum number of rooms needed so that all meetings can be scheduled without overlap?
打开 →Meetings occupy half-open time intervals [(8, 10), (9, 11), (10, 12), (10, 13), (13, 15)]. What is the minimum number of rooms needed so that all meetings can be scheduled without overlap?
打开 →A schedule trades size x over time t and pays x^2/t plus a linear time charge. Show that P(x,t)=x^2/t + 2 t is convex on the domain t>0.
打开 →Before pricing a cap, what should you inspect first about the reset schedule?
打开 →Successive halving starts with 64 configurations. Compare two keep ratios over three rounds total: keep one half each round versus keep one quarter each round. How many fewer fits does the one-quarter schedule use?
打开 →Buses arrive at a stop according to a Poisson process with rate $\lambda$ (so inter-arrival times are iid $\text{Exp}(\lambda)$ with mean $1/\lambda$). You arrive at the bus stop at a uniformly random time, independent of the bus schedule. Let $L$ be the length of the inter-arriv
打开 →Why does changing slippage curves, fee schedules, or borrow assumptions after seeing backtest performance count as extra model search?
打开 →Before a scheduled announcement, the maker believes that during its quote's lifetime the market stays in a calm regime with probability 0.6 (requiring half-spread 0.02) or switches to a stressed regime with probability 0.4 (requiring half-spread 0.10). It sets a single posted hal
打开 →你入职某 量化 私募 第一个周一早上,COO 把一份 80 页的 私募 基金 合同 PDF 甩到你桌上:「明天晨会给我五分钟说清楚——这只基金到底是个什么载体,谁能买,中基协那边看到的是什么,赎回条款长什么样。营销页跳过,直接看第 17 页的实体结构图。」这就是一名初级 量化 在 上证 路 私募 第一天会接到的任务。私募 基金 合同 是 中基协 与 LP 拿...
打开 →国内某头部 quant 的 510300.SH 做市组新入职 C++ 工程师，被安排与一位资深做一周入职配对。第一天：读 200 行 FIX 会话层代码。第二天：读 300 行 ITCH 5.0 解析器。第三天：把一笔 NEWORDERSINGLE 从策略层往下追，穿过桌内会话处理器、跨 TCP 套接字送到跨境清算柜台，再以 EXECUTIONREPORT ...
打开 →招商银行 私行 部 一位高级 FOF 经理 给你 转 来一份 私募 量化 中性 产品的 5 年期 业绩 路演 材料。基金报 Sharpe 2.1 净值口径,IR 1.5 相对 中证500 全收益,最大回撤 12%,AUM RMB 25亿,业绩报酬 1.5%+20%,容量估计 RMB 50亿,要 RMB 1亿 机构 配额。路演 PPT 的曲线平滑,在 私募 排...
打开 →周四 09:15。某上海私募 200 亿规模的多空基金，风控研究员发现：实盘 PnL 比昨晚研究端对当日的回测 投影 落后 47 bp。同样的标的池、同样的持仓、同样的执行切片。差距太干净，不像噪声。数据团队的第一动作不是去翻策略代码、不是去看执行层、不是去查券商成交回报——而是查 数据血缘 图 ：回测看到的每个输入是哪个版本？实盘看到的每个输入是哪个...
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