算法交易、价差交易与风险控制算法交易2.pptVIP

* ILWV (X/ADV=20%, λ=0.001)： T*=0.4864 (交易时间), E(IS)=0.0762 bps, SD(IS)=5。6934 bps * CLOSE (X/ADV=20%,λ=0.1)： T*=0.0086 (交易时间), E(IS)=0.2434 bps, SD(IS)=0.7568 bps * VWAP 策略： λ Aggresiveness T* (Volume Time) Risk(bps) Impact (bps) 0.001 Most Passive 0.2464 4。0520 0.0468 0.005 Passive 0.0818 2。3341 0.0513 0.01 Nornal 0.0362 1。5529 0.0569 0.1 Aggressive 0.0013 0.2932 0.0940 1 Most Aggressive 0.0001 0.0664 0.1497 * IS策略： λ Aggresiveness T* (Volume Time) Risk(bps) Impact (bps) 0.001 Most Passive 0.1092 2。6976 0.0543 0.005 Passive 0.0543 1。9014 0.0565 0.01 Nornal 0.0290 1。3896 0.0602 0.1 Aggress