看Cousera的Computer Investing 的随笔

where does info come from

price/volume: from the markets 价格/成交量:从市场来 true value
fundamentals: sec filings 基本面:财务报表
news: exogenous sources 新闻: 外部生成.

3 versions of efficient markets hypothesis

3种 有效市场假设

• weak: 新闻不影响以后的价值, 只影响当前和以前的. 技术可分析的
• semi-strong 消息会连续的影响价值
• strong 1+2 还可能会对没有披露的信息产生响应.

认知偏差:
过度自信
过度应激
信息偏差

QSTK 处理事件

1 认为和大盘背离5% 都有事件发生.
2

module objectives

• understand ‘risk’
• understand correlation and covariance 相关,和协方差
• understand mean variance optimization 均值方差优化
• understand the efficient frontier 有效边界

portfolio optimization 投资策略优化

入:

• 一组股票
• 目标收益

找出:
分配方式,使最小risk.

input and output of portfolio optmizer

input:

• expected return for each equity
• volatility(rist) of each equity
• target return
• covariance matrix

output:

• portfolio weights that minimize risk for target return

The Efficient Frontier(边界)

看evernote

How Optimizers Work

qstk t8

• define variable: equity weights
• define constraints: min or max weight
• define optimization criteria: function of weights
• optimizer algorithm:
  • Tweak weights
  • check constraints
  • ok?
  • call function
  • repeat

里面有一个很重点的东西 cvxopt convex optimization.
凸线优化 SIN函数可以找到高峰, 低谷能排除. 重点!!