国外量化投资课件Lecture6Quant.pdfVIP

Lecture 6: Back-testing statistical-arbitrage strategies Marco Avellaneda G63.2936.001 Spring Semester 2009 Simulation of trading Profit/Loss Qi,n = investmentin stock i at the start of period n R = dividend - adjusted return of stock over period n i ,n r = Fed Funds rate or reference rate for cash r + δr = interest paid for cash on long stock r − δr = interest received for cash on short stock ε =