AI 中文总结
该研究提出了公理交易者框架，将系统化交易建模为潜在状态驱动的时不变机制，确定了构建量化投资系统所需的五个关键常数，为该系统的架构提供了近乎确定的标准形式。
AI 中文摘要
系统化交易基于一个核心信念：过去发现的规律性会持续存在。我们将其表述为由未观测潜在状态驱动的时不变机制，并表明研究者需确定五个常数：块长度为b时的复发界Λ、所声明表示的不变缺陷ε₀、状态坐标的相干时间ℓᵢ、信号上限ρ以及依赖于 regime 的信号占比κ，在此之后，正确量化投资系统的架构几乎被确定。
英文摘要
Systematic trading rests on one article of faith: that regularities found in the past persist. This paper does three things. First, it states that faith as five axioms, each a commonplace practitioners already accept: (A1) a decision may use only what was known when it was made; (A2) what looks like the market changing its rules is the market changing its unobserved state, the machinery being the same in every era; (A3) the future may replay stretches of the past, though not in history's proportions; (A4) states persist for a while; (A5) whatever predictability exists is slight, even for a rule that knows the state. What turns these into axioms is quantification, and the quantities are declared rather than estimated: an invariance defect $\varepsilon_0$, a recurrence bound $Λ$ at a block scale $b$ (one declaration in two parts), coherence times $\ell_i$, a signal ceiling $ρ$ and an invariance ratio $κ$. These five declarations are the whole of the premises' empirical content. Second, it proves that the axioms force a five-stage canonical form for a quantitative investment system -- a declared representation, a predictor within a capacity ceiling, contiguous purged block evaluation aggregated by $\mathrm{CVaR}_{1/Λ}$, a budgeted and deflated search, robust sizing at a fraction of the estimate that the budget bounds -- each stage necessary: a procedure omitting it does strictly worse under a law the axioms admit. Third, it tests the axioms where they are falsifiable, each only at its declared constants, on real market series: no axiom is so far overturned.
Comments84 pages, 1 figure
