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量化投资与对冲基金入门

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畅销书《量化投资:策略与技术(修订版)》作者丁鹏的新书,是量化投资与对冲基金丛书中的一本,介绍了量化投资与对冲基金的基础知识,包括量化投资的概念和主要策略类型,希望能为新入行的读者提供一些初步的介绍,特别是从事市场、营销方面的人员,了解一些基础的知识在业务工作中是非常必要的。

推荐购买:

《量化投资——策略与技术(典藏版)》

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《中国对冲基金经理风云录》

《一个革命的范式——对冲基金与另类投资组合策略与理论》

《期权策略》



Content Description

《量化投资与对冲基金入门》介绍了量化投资与对冲基金的基础知识,包括量化投资的概念、主要策略类型:相对价值策略、宏观因素策略、高频交易与算法交易等,对冲基金的原理、组织形式、法律障碍、运作模式,以及十大对冲基金案例等。通过这些基础知识的介绍,力图让读者对量化投资与对冲基金这种新的资产配置工具有一个通俗性的了解。
《量化投资与对冲基金入门》读者对象为对量化投资与对冲基金感兴趣的入门级人士,包括机构投资者、资产管理公司总监以上人员、市场营销人员、渠道经理等。

Author Description

丁鹏,博士 中国量化投资学会理事长著述的《量化投资――策略与技术》是国内有关量化投资策略方面的重量级专著,已经成为国内宽客的必读教材,同时还是《量化投资与对冲基金》副主编,《第一财经•解码财商》解码人。2001年毕业于上海交通大学计算机系,获得工学博士学位并留校任教,是国际知名的人工智能专家,IEEE(国际电子电气工程师协会)会员,AFA(美国金融学会)会员,国际金融工程师协会会员。2008年加入东方证券金融衍生品总部,从事量化投资研究与交易,开发的D-Alpha交易系统在实战中获得了持续稳健的盈利。2012年加入方正富邦基金,从事量化对冲产品的设计与投资管理。2014年3月加盟东航金控,从事对冲基金资产管理。

Catalogue

第1章 量化投资介绍
1.1 量化投资基本概念
1.2 量化投资与有效市场假说
1.3 量化投资的优势
1.4 量化投资与传统投资
1.5 量化投资的价值
1.6 量化投资的内容
1.7 量化投资的历史
1.8 量化投资的理论基础
1.9 量化投资的趋势
第2章 对冲基金介绍
2.1 对冲基金定义
2.2 对冲基金的特征
2.3 业绩持续性
2.4 对冲基金运作
2.5 规模及收益
2.6 世界前十大对冲基金
2.7 对冲基金投资者
2.8 对冲基金简史
第3章 对冲基金主要分类
3.1 美国证监会的分类
3.2 对冲基金主要策略
3.3 股票对冲策略
3.4 事件驱动策略
3.5 宏观因素策略
3.6 相对价值策略
3.7 区域投资策略
第4章 全球十大对冲基金策略
4.1 十大对冲基金
4.2 桥水基金
4.3 摩根大通资产管理
4.4 齐夫资本
4.5 贝莱德
4.6 鲍波斯特集团
4.7 保尔森公司
4.8 安祖高顿公司
4.9 文艺复兴科技
4.10 埃利奥特
4.11 法拉龙资本
第5章 相对价值策略
5.1 阿尔法策略类型
5.2 多因子
5.3 风格轮动
5.4 行业轮动
5.5 资金流
5.6 动量反转
5.7 一致预期
5.8 筹码选股
第6章 宏观因素策略
6.1 宏观因素策略类型
6.2 趋势择时策略
6.3 市场情绪择时
6.4 时变夏普率
6.5 Hurst指数择时
6.6 SVM分类择时
第7章 高频交易
7.1 高频交易概念
7.2 流动性回扣交易
7.3 猎物算法交易
7.4 自动做市商策略
7.5 高频交易的新发展
7.6 交易速度
7.7 短期预测交易

第8章 期指套利与商品套利
8.1 期指套利概念
8.2 期指套利策略
8.3 现货指数复制
8.4 结算日套利
8.5 跨期套利原理
8.6 冲击成本
8.7 保证金管理
8.8 商品套利概念
8.9 常见套利组合
8.10 非常状态处理
第9章 算法交易
9.1 算法交易概念
9.2 被动型算法交易类型
9.3 标准VWAP算法
第10章 量化投资理论
10.1 主要基础理论
10.2 人工智能
10.3 数据挖掘
10.4 小波分析
10.5 支持向量机
10.6 分形理论
10.7 随机过程
第11章 主要IT系统
11.1 量化投资IT架构
11.2 IT系统的作用
11.3 MATLAB语言
11.4 R语言
11.5 大智慧DTS系统
11.6 天软量化平台
11.7 国泰安宽平台
11.8 名策多因子分析系统
11.9 开拓者分析系统
11.10 恒生策略交易系统(ITP)
11.11 MC分析系统
11.12 MT5外汇交易系统
第12章 对冲基金组织架构
12.1 主要架构
12.2 财务杠杆
12.3 外部监管
12.4 内部控制
12.5 对冲基金的新发展
第13章 国内对冲基金发展
13.1 中国基金对冲时代
13.2 对冲基金投资应用
13.3 国内对冲基金面临的挑战
附录A 策略组合模型
附录B 访谈录
后记
参考文献
Introduction

随着2010年股指期货的开闸,中国资本市场迎来对冲时代,但是量化投资与对冲基金的大发展还是从2012年才真正开始的,所以业内基本上认为2012年是中国对冲基金元年。笔者的《量化投资——策略与技术》一书自2012年初发售以来,得到了众多读者的好评,多次加印也供不应求。但是该书的内容较为偏重策略,所以很多非专业人士读起来稍有难度。在这种情况下,笔者将原书中的精华部分撷取出来,又增加了一些最新的业内资料,完成了这本《量化投资与对冲基金入门》,希望能对非专业人士有所帮助。
本书主要内容
第1~3章是有关量化投资与对冲基金的简要介绍,包括量化投资的优势、量化投资的特点、对冲基金的定义、对冲基金的策略、对冲基金的简史等。
第4章阐述了全球十大对冲基金的主要策略和业绩分析,通过对业内顶尖对冲基金的案例分析,读者可以了解他们的成功经验。
第5~第8章则分别介绍了4种主要的量化投资策略,分别为:相对价值策略、宏观因素策略、高频交易和期指套利。其中介绍了这些策略的大致原理和主要特点。
第9章介绍了算法交易的原理和主要方法,算法交易针对大资金是一种有效降低交易成本和减少对市场冲击的方式。
第10章则阐述了支持量化投资的一些基础理论,包括人工智能、数据挖掘、小波分析、支持向量机、随机过程等。这些非线性理论则是对现代复杂金融市场的一个有效数学描述工具。
第11章主要阐述了量化投资对IT系统的要求,目前比较流行的量化投资系统、主要策略建模语言等,包括MATLAB、R语言、DTS、ITP等。
第12章和第13章主要是对冲基金的主要架构、国内对冲基金的发展,国内对冲基金面临的挑战等。附录A是笔者开创性的‘策略组合模型’理论,本理论从传统的资产资本定价模型的缺陷说起,引进了资金容量这个重要的参数,并且证明市场上存在一种低风险高收益的策略,但是容量是极为有限的,这对传统的CAPM模型是一个重要的补充。本章提出了策略的定义、策略的分类;然后讨论了策略的杠杆、策略的资金容量问题,最后阐述了策略的筛选、策略的组合,以及策略的资金分配问题。
附录B是笔者接受《宽客网》的一个访谈内容,这也是笔者认为媒体访谈中最深入、最有价值的一次,供读者参考。
随着国内各种金融衍生品的大力发展,量化投资与对冲基金必然迎来一个爆发式增长的新时代。在这种情况下,国内的各种量化投资研究组织也应运而生,其中中国量化投资学会(https://chinaqi.org)于2012年3月成立,一年不到,已经从最初几个人的兴趣小组,发展成拥有十几个分会的国内最大的学术组织,并且策划了《量化投资与对冲基金丛书》的编撰工作,在国内具有重要的影响力,已经成为推动量化投资与对冲基金在国内发展的重要力量。
本书作为该丛书中的一本,希望能为新入行的读者提供一些初步的介绍,特别是从事市场、营销方面的人员,了解一些基础的知识在业务工作中是非常必要的。
中国经过30多年的发展,各行各业已经基本定型,能够让年轻人成长的空间越来越小了,但是量化投资与对冲基金则是未来能够让年轻人广阔发展的一个行业,这个行业不需要背景、不需要资源、不需要人脉,一切靠自己的努力和天赋,只要全力以赴,完全可以创造自己的财富神话,实现财务自由。
让我们一起拥抱量化投资与对冲基金的新时代!
丁鹏
2013年

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