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005 · 2023年04月26日

关于S2应该如何理解

NO.PZ2019012201000072

问题如下:

Leeter makes the following statements about quantitative strategies:

1 Manager experience and discretion in identifying new trends in the market are important components of any quantitative strategy.

2 Loss aversion bias is more prominent with quantitative strategies than with fundamental strategies.

3 Generally, quantitative methods rely on information coefficients between firm returns and model factors.

Which of Leeter’s statements concerning the quantitative approach to active management is most accurate?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

Leeter’s third statement is most accurate. Generally, quantitative methods use past data to identify systematic factors that can be overweighted or underweighted in a portfolio based on an information coefficient.

A is incorrect. Leeter’s first statement is not accurate. Manager discretion has a minimal role in quantitative approaches.

B is incorrect. Leeter’s second statement is not accurate. Loss aversion is more symptomatic of fundamental approaches rather than quantitative approaches.

请问关于S2应该如何理解?各种Bias在fundamental approache 和quantitative approache间如何区分

1 个答案
已采纳答案

笛子_品职助教 · 2023年04月27日

嗨,爱思考的PZer你好:


损失厌恶是一种人的心理情绪,是指赚了钱就赶紧落袋为安,亏了钱就一直持有直到最终赚钱才愿意卖出的行为。

损失厌恶只在主观交易中存在。

在量化交易中,如果量化策略构建正确并且在市场上自动运行,则量化交易根据事先设定好的规则来进行买卖,机器是没有感情的,因此机器的交易不会存在损失厌恶这样的心理情绪。


当然在量化里确实也会出现一些偏差,这种偏差往往是由于,在设计量化模型的时候,发生了一些数据处理上的错误。

比如,一个策略应该回测当时市场上所有的股票,但有一些股票现在已经退市了,回测的时候使用了现在的股票数据,没有把退市的股票加进去。如果出现这种情况,就是幸存者偏差。

又比如,在使用数据做回测的时候,用到了当时还未公布的未来数据。

如果量化策略是构建正确的,也就是设计模型的时候没有犯下这些错误。那么在这个模型运行的时候,由于模型是没有感情的,也自然不存在类似损失厌恶这样的心理偏差了。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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