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Reading - Finance Papers
Daily reading lists: Stock return prediction, Stacking a variety of models EPU spillovers and stock return predictability: A cross-country study Stock return prediction, Stacking a variety of models 将机器学习中的 stacking 算法用于股权溢价交易， ...…
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Reading - Some Methods, Theories, and New Findings
MethodsPCA 主成分分析和因子分析. 因子载荷旋转: 载荷矩阵进行旋转，可得到相应的特征向量。 Kaiser-Meyer-Olkin抽样充分性测度: 也是用于测量变量之间相关关系的强弱的重要指标，是通过比较两个变量的相关系数与偏相关系数得到的。 Kaiser-Meyer-Olkin抽样充分性测度: KMO越高，表明变量的共性越强和SMC比较高表明变量的线性关系越强，共性越强，主成分分析就越合适。 SMC: 即一个变量与其他所有变量的复相关系数的平方...…
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Notes for reading paper, A Structured Survey of Quantum Computing for the Financial Industry.
A Structured Survey of Quantum Computing for the Financial Industry Quantum computers can solve specific problems that are not feasible on “classical” hardware. Harvesting the speed-up provided by quantum computers therefore has the potential...…
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Some connections between financial thought and physical thought .
乱说 Fama 的有效市场理论对金融市场的描述类似于物理中的对称性概念，完全有效的市场对应于完全对称的物理体系，完全有效的市场里面找不出异象，所有的收益都能被市场风险很好的解释，然而市场并不完全有效，因此市场里面有很多的异象。对于对称性无法破缺的体系，如自旋液体，很难在传统的观测量上观测出有用的信息，保持高度的对称。现实中普通的物理体系就好比现实中的市场一样，普通的物理体系存在对称破缺，对应于序参量上会有 novel 特性，这就好比市场的异象存在带了了额外的收益。对称性无法破缺的...…
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Notes for reading papers related to Anomalies in Chinese Market.
Abstract Notes for reading papers Finding Anomalies in China,KeWen Hou, Fang Qiao, Xiaoyuan Zhang (2021) Replicating Anomalies in China,Fang Qiao (2021). Anomalies in the China A-share market (2021) Hus, Viswanathan, Wang, Wool (201...…
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因子和收益异象
收益异象概述 收益异象：不能被资产定价模型所能解释的超额收益表现。 一般来说对收益异象的理解有2个角度：(1) 从风险补偿的角度 (2) 从行为金融的角度, 即使是从同一个角度出发，比如 风险补偿的角度， 那么不同的文章分析具体的风险补偿也并不相同。 行为金融：投资者非理性行为可能会导致股票外在价格偏离实际内在的价值，造成股票被错误定价，带来股票价格的异常波动，导致未来资产预期收益率具有可预测性。 规模收益异象：从 风险补偿的角度 规模收益异象理论上可...…
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Recent Progress in Quantum Finance.
Abstract New development in Quantum Finance Quantum computational quantitative trading: high-frequency statistical arbitrage algorithm . Future of Quantum Finance . How quantum computing could change financial services . Future Tren...…
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Notes for reading papers related to Hou Xue and Zhang.
Abstract Notes for reading papers Replicating Anomalies (2020) by Hou Xue Zhang. Which Factors? (2019) by Hou Xue Zhang. An Augmented q-Factor Model with Expected Growth (2021) by Hou Xue Zhang. Replicating Anomalies概述 Lecture No...…
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Notes for reading papers that are related to "Cross-Sectional Asset Pricing"
Abstract Notes for reading papers Empirical Cross-Sectional Asset Pricing Choosing Factors A five-factor asset pricing model Empircal Cross-Sectional Asset Pricing概述 It is a fundamental question of financial economics whether...…
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Notes for reading paper "Open Source Cross-Sectional Asset Pricing"
Abstract Notes for reading paper Open Source Cross-Sectional Asset PricingMain results (1) 提供了数据和代码，能够成功的复现出几乎所有的截面股票收益预测因子 (provide data and code that successfully reproduces nearly all cross-sectional stock return predictors) (2) 我们采用的 391 ch...…
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Some tips for observing and studying stock market
Chinese stock market There are two types of shares in the mainland China stock market, A-shares and B-shares. A-shares are quotedonly in renminbi, while B-shares are quoted in foreign currencies, such as the U.S. dollar, and are available to fore...…
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Chinese Stock Market v.s. U.S. Stock Market
predictors Contrasting previous studies for the U.S. market, liquidity emerges as themost important predictor, leading us to examine the impact of transaction costs closely. This finding is in contrast to previous studies in the U.S. market (Gu ...…
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Notes for reading paper "Machine Learning in Chinese Stock Market"
Abstract Notes for reading paper Machine Learning in Chinese Stock MarketMain results (1) Neutral networks robustly outperform other methods in terms of out-of-sample R^2 (2) The out-of-sample R^2 are particularly large for the subsamples of sm...…
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Open Source Asset Pricing in Chinese Stocks' Market
DataWe use CSMAR data set, more details see the github project: https://github.com/open-assetpricing-china/stock-predictorsCode $ git clone https://github.com/open-assetpricing-china/stock-predictors.gitDocument: see the documentation on ReadTh...…
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Visualization of Quantum States!
DataThe quantum many-body states are calculated by DMRG.Code QTSNE.Paper: PHYSICAL REVIEW B 103, 075106 (2021)…
