期货隔夜—日内反转

登录后收藏

学术论文

无处不在的隔夜—日内反转

作者Robert Kosowski; Chun Liu; Yang Liu; Tianyu Wang

机构
  • University of Oxford
  • Quantitative BioSciences
  • Centre for Economic Policy Research
  • CEPR (Centre for Economic Policy Research)
  • Imperial College Business School
  • University of Oxford, Oxford-Man Institute of Quantitative Finance
  • University of Toronto
  • Tsinghua University
  • Tsinghua University - School of Economics and Management
  • Hunan University of Finance and Economics
  • Hunan University - College of Finance and Statistics
  • Tsinghua University, School of Economics and Management

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:SPY、EFA、EWJ、GLD、TLT。再平衡:每日。Universe: SPY, EFA, EWJ, GLD, TLT. Parameters: rebalance=daily.