套息交易择时

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学术论文

货币套息交易的可预测性及其资产定价含义

作者Gurdip Bakshi; George Panayotov

机构
  • Fox College
  • Temple University
  • Fox School of Business
  • Temple University - Fox School of Business and Management
  • Hong Kong University of Science and Technology
  • Hong Kong University of Science & Technology (HKUST)

本篇策略设有付费墙

付费套餐可解锁完整推导、交易规则、Python 与成交记录。策略库约 20% 保持免费。

投资标的:DBC、BIL。再平衡:每月。Universe: DBC, BIL. Parameters: rebalance=monthly.