基于金融危机指标的投资制胜策略
Winning Investment Strategies Based on Financial Crisis Indicators
摘要：
这项工作的目的是创建系统的交易策略，建立在几个金融危机指标的基础上的频谱特性的市场动态。在我们的框架和数据的限制内，我们将证明我们的系统交易策略能够赚钱，不是纯粹的运气，而是以可重复的方式，同时避免过度拟合的陷阱，这是操作者的技能和他们对金融市场的理解和知识的结果。利用奇异值分解（SVD）技术，以一种有效的方式计算所有的频谱，我们已经建立了两种金融危机指标具有明显的预测能力。第一种方法是在每个日期将协方差或相关矩阵的特征值分布与代表平静或动荡市场参考的参考分布进行比较。其次，我们有那些只是计算在每个日期的协方差或相关矩阵的选定的频谱特性（迹，频谱半径或Frobenius范数）。为了最大限度地减少误报错误，我们将所有指标提供的信号汇总在一起，然后根据管理投资者投资决策的离散规则集构建系统的交易策略。最后，我们比较我们的主动策略，被动参考以及随机策略，以证明我们的方法的有用性和附加值提供的样本外预测能力的金融危机指标，我们的系统交易策略建立。
英文摘要：
The aim of this work is to create systematic trading strategies built upon several financial crisis indicators based on the spectral properties of market dynamics. Within the limitations of our framework and data, we will demonstrate that our systematic trading strategies are able to make money, not as a result of pure luck but, in a reproducible way and while avoiding the pitfall of over fitting, as a result of the skill of the operators and their understanding and knowledge of the financial market. Using singular value decomposition (SVD) techniques in order to compute all spectra in an efficient way, we have built two kinds of financial crisis indicators with a demonstrable power of prediction. Firstly, there are those that compare at every date the distribution of the eigenvalues of a covariance or correlation matrix to a distribution of reference representing either a calm or agitated market reference. Secondly, we have those that merely compute at every date a chosen spectral property (trace, spectral radius or Frobenius norm) of a covariance or correlation matrix. Aggregating the signals provided by all the indicators in order to minimize false positive errors, we then build systematic trading strategies based on a discrete set of rules governing the investment decisions of the investor. Finally, we compare our active strategies to a passive reference as well as to random strategies in order to prove the usefulness of our approach and the added value provided by the out-of-sample predictive power of the financial crisis indicators upon which our systematic trading strategies are built.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
