论文标题
量子胸围2020
Quant Bust 2020
论文作者
论文摘要
我们以非技术方式解释为什么美元中立的量化交易策略（例如股票统计套利）在COVID-19市场抛售期间遭受了巨大的损失（下降）。我们讨论：（i）为什么这些策略在“正常”时期起作用； （ii）市场制度何时运作良好； （iii）它们的局限性以及为什么在极端市场事件中“破坏”的原因。随附的附录（带有可自由访问源代码的链接）包括用于各种策略的反测试，这些策略将肉体放在主文本中并说明了讨论。
We explain in a nontechnical fashion why dollar-neutral quant trading strategies, such as equities Statistical Arbitrage, suffered substantial losses (drawdowns) during the COVID-19 market selloff. We discuss: (i) why these strategies work during "normal" times; (ii) the market regimes when they work best; and (iii) their limitations and the reasons for why they "break" during extreme market events. An accompanying appendix (with a link to freely accessible source code) includes backtests for various strategies, which put flesh on and illustrate the discussion in the main text.
