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July77 · 2021年03月07日

high rate of alpha怎么理解,高速回归价值吗?

* 问题详情,请 查看题干

NO.PZ201909300100000101

问题如下:

1 Which of Yellow’s statements regarding the factors affecting the selection of a trading strategy is correct?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

A is correct.

Greater trade urgency results in lower execution risk because the order is executed over a shorter period of time, which decreases the time the trade is exposed to price volatility and changing market conditions. In contrast, lower trade urgency results in higher execution risk because the order is executed over a longer period of time, which increases the time the trade is exposed to price volatility and changing market conditions.

Statement 3 Securities with high rates of alpha decay require less aggressive trading to realize alpha.

这个为什么错?

high rate of alpha怎么理解,高速回归价值吗?

因为高速回归价值,所以要尽快买入,否则回归价值就没有差价可赚的意思?


1 个答案
已采纳答案

吴昊_品职助教 · 2021年03月07日

嗨,爱思考的PZer你好:


同学你好:

statement3,high rate of alpha decay,说明alpha衰减的速度很快,那么要抓住转瞬即逝的alpha,就需要更快速地进行交易,交易得更为激进,而不是less aggressive。所以statement 3正好说反了,不正确。

你的两个理解都没有什么问题。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!