金工团队的探索与实践：解码量化投资-240617-国泰君安-59页

解码量化投资——国君金工团队的探索与实践请参阅附注免责声明1请参阅附注免责声明2请参阅附注免责声明3请参阅附注免责声明4𝔼(𝑿𝒊,𝒒)𝑆𝑈𝐸𝑖,𝑞=𝑋𝑖,𝑞−𝔼𝑋𝑖,𝑞𝑿𝒊,𝒒𝜎𝑖,𝑞请参阅附注免责声明5500全市场内复合因子主要绩效指标与单因子对比请参阅附注免责声明6KDB+DolphinDB请参阅附注免责声明7节选自张雪杰报告《沪深3003001分钟ILLIQ5分钟收益率成交量领先相关性y2010y2011y2012y2013y2014y2015y2016y2017y2018y2019y2020y2021y2022y2023平均1分钟收益率峰度3.10%0.88%-0.95%12.14%1.40%26.17%8.29%-15.66%0.73%-7.43%-17.56%23.74%15.29%18.41%4.90%1分钟路径动量13.78%-4.29%-2.06%19.77%-13.66%26.29%10.21%-6.69%6.56%0.95%1.72%3.73%2.51%11.28%5.01%5分钟收益率偏度11.07%4.22%4.56%7.19%28.43%40.02%4.72%-12.89%-1.14%-3.24%-16.26%19.66%11.63%25.68%8.83%5分钟极端大收益率均值22.77%-8.21%1.25%12.67%-5.34%36.72%8.44%-14.70%0.44%10.75%-5.73%16.08%6.01%0.71%5.85%除去早盘30分钟后的涨跌幅22.58%-6.57%0.49%11.58%4.16%42.33%5.04%-7.91%8.56%4.00%-3.95%4.36%7.91%7.93%7.18%1分钟下行波动率占比10.64%-0.05%6.59%12.90%12.40%41.60%2.77%-9.46%-0.24%-3.35%-11.48%10.73%8.11%15.81%6.93%5分钟成交量偏度13.81%-3.17%12.08%16.92%-6.52%37.30%7.50%-9.30%-1.17%13.82%-4.95%21.94%1.66%-3.02%6.92%尾盘成交量波动率23.25%-7.15%-0.98%16.64%-1.30%34.82%5.30%-10.31%3.19%3.91%0.28%3.26%6.15%11.22%6.31%半小时成交量占比47.28%-5.18%-4.20%23.32%-4.96%36.07%9.15%-17.80%-1.96%-...