用机器学习预测知情交易

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学术论文

知情交易强度

作者Vincent Bogousslavsky; Vyacheslav Fos; Dmitriy Muravyev

机构
  • Boston College
  • Boston College - Department of Finance
  • European Corporate Governance Institute
  • Centre for Economic Policy Research
  • Centre for Economic Policy Research (CEPR)
  • European Corporate Governance Institute (ECGI)
  • Michigan State University
  • Canadian Derivatives Institute
  • Michigan State University - Department of Finance

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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、BIL。再平衡:每月。Universe: SPY, BIL. Parameters: rebalance=monthly.