发布于: Android转发:0回复:0喜欢:1
刚才只是转,没顾上仔细看。 仔细看后,我觉得如果对图2图3增加一些解释,就完美了。 另外,阈值的不同选择,对收益率及sharpe ratio的影响,也有一张图就更好。//@oldwain:回复@Troyspencer:收藏转发。
引用:
2017-02-19 10:40
#华宝ETP征文#
Pairs trading aims at discovering two kinds of objects. It can earn profits by longing undervalued objects and shorting overvalued objects, based on calculating hedging ratio via Mean-reversion strategies. This article introduces a method of inter-market pa...