睿智理财之旅
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如何开启金融市场交易之旅
如何开启量化投资的进阶之旅？
随着人工智能与量化策略的深入结合，量化投资逐渐成为资本市场激烈竞争中制胜的必要前提之一。近年来，众多欧美对冲基金以及投行的自营盘都热衷于开发基于“大数据技术”的量化套利策略，其中最具代表性的包括温顿资本（Winton Capital）在牛津设立数据研究中心，以及瑞信信贷对HOLT选股系统进行技术革新等。而众多欧美顶尖投行，也在不计血本培养IT为主导的产品模型研发团队。许多人都笑称，如今金融行业的核心人才得像程序员一样编码建模，伦敦金融中心也开始变成 IT 人才的聚集地。
基于阿尔法产品，聂军先生指出，不少基金以这种策略实现“市场中性”，就常见的 “错位对冲”现象。在选择子基金之前，需要理解各对冲基金的特点。由于没有在任何市场情况下都稳赚不赔的对冲基金策略，所以需要分析在不同市场环境下对冲策略的平均收益率、波动性、最大回撤、夏普比率以及相关性等特点，根据宏观环境分析风险因子，再根据风险因子进行资产的动态配置。值得关注的是，CTA策略现已遍地开花，但总容量还不是很大，行业追求的夏普比率普遍太高。对此，聂军先生分别以Barclay CTA指数、Barclay农业、外汇、系统性、自由量裁式、多元化、金融/金属CTA指数为例，指出策略的持久性和有效性同样起着至关重要的作用。此外，结合卖空新东方看跌期权捕捉高蕴含波动率的投资实战经验，他还介绍了期权策略作为一种非线性产品的特征，以及如何设计量化投资策略将期权与股票等线性产品组合，降低投资的风险以及增强投资回报。