Second, every quantitative transaction has to pay a price difference or commission. These costs are fixed, and the shorter the time period, the smaller the profit margin of the system.
Quantitative trading refers to the use of advanced mathematical models instead of artificial subjective judgments, and the use of computer technology to select a variety of "high probability" events that can bring excess returns to formulate strategies, which greatly reduces the impact of investors' emotional fluctuations and avoids making irrational investment decisions under extremely enthusiastic or pessimistic market conditions.
Quantitative investment technology includes many specific methods, which are widely used in investment variety selection, investment opportunity selection, stock index futures arbitrage, commodity futures arbitrage, statistical arbitrage, algorithmic trading and other fields.
Quantitative investment and traditional qualitative investment are essentially the same, both of which are based on the theory of inefficient or weakly efficient market. The difference between the two is that quantitative investment management is a "quantitative application of qualitative thinking", with more emphasis on data. Quantitative trading has the following characteristics:
First, discipline. Make decisions according to the running results of the model, not by feeling. Discipline can not only restrain human weaknesses such as greed, fear and luck, but also overcome cognitive bias and can be tracked.
Second, systematic. The specific performance is "three more". First, a multi-level model, including asset allocation, industry selection and specific asset selection; Second, from multiple perspectives, the core idea of quantitative investment includes macro-cycle, market structure, valuation, growth, profit quality, analyst's profit forecast, market sentiment and so on; The third is multi-data, that is, the processing of massive data.
Third, arbitrage thought. Quantitative investment captures the opportunities brought by mispricing and mispricing through comprehensive and systematic scanning, so as to find out the valuation depression and make profits by buying undervalued assets and selling overvalued assets.
Fourth, probability wins. First, quantitative investment constantly digs out the expected repetitive laws from historical data and uses them; The second is to win by combining assets, not by a single asset.