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开泰-王飞 · 2023年01月12日

b和c描述的指令有啥区别?

NO.PZ2019012201000057

问题如下:

Next, Leeter describes theinvestment approach of the Kopernicus Fund. Kopernicus makes extensive use ofmarket data to support its primary focus—pairs trading between industry peers.Statistical techniques identify two securities that have been highly correlatedwith each other in the past. If the price relationship between a pair diverges,Kopernicus expects mean reversion over a few days or weeks and placeslong–short positions accordingly to take advantage of the divergence.

Which riskmanagement method is the Kopernicus Fund most likely to use to offsetthe primary risk of its strategy?

选项:

A.

Proper identification of the pairs

B.

Frequent use of stop-loss order rules

C.

Extensive analysis of the limit order book

解释:

The biggest risk in pairs trading is thatthe observed price divergence is not temporary and could be due to structuralreasons. Frequent use of stop-loss rules, which are set to exit trades when aloss limit is reached, addresses this risk.

A is incorrect. Although properidentification of the pairs to be used is critical to the success of thisstatistical arbitrage strategy, the selection process alone does nothing toaddress the risk that changes in fundamentals between the companies in the pairmay occur, thereby extending (or eliminating) price convergence.

C is incorrect. Using the limit order bookto identify pairs pricing anomalies implies a very short time frameas brief as afew millisecondsand focuses onhigh-frequency trading. Kopernicus lets trades play out for days or weeks;therefore, using the limit order book will not help it.

如题    

2 个答案

笛子_品职助教 · 2023年01月14日

嗨,从没放弃的小努力你好:


意思一个是卖出指令,一个是买入指令的意思?

在以上例子里,一个是卖出指令,一个是买入指令。在以上例子里,同学理解正确。

因为在以上例子里,我们设置了10元的停损卖出指令,所以会在股价触及10元或低于10元的时候,自动触发市价卖出。

同样在以上的例子里,我们在一个现价为11元的股票上,设置了10元的限价买入指令,所以一个市场价11元的股票如果跌到10元,我们的限价买单就可以成交。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Yiyun · 2023年04月14日

B用来止损 C用来建仓

笛子_品职助教 · 2023年01月12日

嗨,爱思考的PZer你好:


b和c描述的指令有啥区别?

B 是停损单。距离来说。

我们11元买了1只股票,设置10元作为停损单。

当股价从11元跌破10元,就触发停损单,账户会自动以市价发出卖出指令。

比如11元买入,次日开盘大幅低开,开盘价9.8元,因为9.8元低于10元,我们就会立即自动发出市价卖出指令,最终会以市价9.8元成交。


C是限价单。比如目前股价11元,限价10元买入,当股价跌到10元或10元以下,我们的买单成交。

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加油吧,让我们一起遇见更好的自己!

开泰-王飞 · 2023年01月13日

意思一个是卖出指令,一个是买入指令的意思?

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