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Search, Evaluate, and Read Evidence","\u002Fen\u002Facademic-writing\u002F02-reading-and-literature-matrix","en\u002Facademic-writing\u002F02-reading-and-literature-matrix",{"title":27,"path":28,"stem":29},"3. From Sources to Synthesis and Argument","\u002Fen\u002Facademic-writing\u002F03-arguments-outlines-and-paragraphs","en\u002Facademic-writing\u002F03-arguments-outlines-and-paragraphs",{"title":31,"path":32,"stem":33},"4. Literature Review and a Defensible Gap","\u002Fen\u002Facademic-writing\u002F04-writing-the-literature-review","en\u002Facademic-writing\u002F04-writing-the-literature-review",{"title":35,"path":36,"stem":37},"5. Research Design, Evidence, and Core Sections","\u002Fen\u002Facademic-writing\u002F05-core-sections-and-evidence","en\u002Facademic-writing\u002F05-core-sections-and-evidence",{"title":39,"path":40,"stem":41},"6. Citation, Paraphrasing, Integrity, and AI","\u002Fen\u002Facademic-writing\u002F06-citation-paraphrasing-and-integrity","en\u002Facademic-writing\u002F06-citation-paraphrasing-and-integrity",{"title":43,"path":44,"stem":45},"7. Revision, Review, and Submission","\u002Fen\u002Facademic-writing\u002F07-revision-style-and-submission","en\u002Facademic-writing\u002F07-revision-style-and-submission",{"title":47,"path":48,"stem":49},"8. Research Workbook","\u002Fen\u002Facademic-writing\u002F08-literature-review-checklist-and-template","en\u002Facademic-writing\u002F08-literature-review-checklist-and-template",{"title":51,"path":52,"stem":53},"9. Research Workflow and Tools","\u002Fen\u002Facademic-writing\u002F09-tools-for-academic-writing-and-literature-management","en\u002Facademic-writing\u002F09-tools-for-academic-writing-and-literature-management",{"title":55,"path":56,"stem":57},"10. Worked Project — From Question to Defensible Conclusion","\u002Fen\u002Facademic-writing\u002F10-worked-example-from-block-structure-to-question-chain","en\u002Facademic-writing\u002F10-worked-example-from-block-structure-to-question-chain",{"title":59,"path":60,"stem":61,"children":62,"page":249},"Accounting","\u002Fen\u002Faccounting","en\u002Faccounting",[63,69,87,93,193],{"title":64,"path":65,"stem":66,"children":67},"Accounting — From Evidence to Decisions","\u002Fen\u002Faccounting\u002F00-index","en\u002Faccounting\u002F00-index",[68],{"title":64,"path":65,"stem":66},{"title":70,"path":71,"stem":72,"children":73},"Accounting Appendix","\u002Fen\u002Faccounting\u002Fappendix","en\u002Faccounting\u002Fappendix\u002Findex",[74,75,79,83],{"title":70,"path":71,"stem":72},{"title":76,"path":77,"stem":78},"Worked Examples and Error Diagnosis","\u002Fen\u002Faccounting\u002Fappendix\u002F24-examples-pitfalls","en\u002Faccounting\u002Fappendix\u002F24-examples-pitfalls",{"title":80,"path":81,"stem":82},"Accounting Glossary","\u002Fen\u002Faccounting\u002Fappendix\u002F26-glossary","en\u002Faccounting\u002Fappendix\u002F26-glossary",{"title":84,"path":85,"stem":86},"Reading and Evidence Map","\u002Fen\u002Faccounting\u002Fappendix\u002F27-reading-map","en\u002Faccounting\u002Fappendix\u002F27-reading-map",{"title":88,"path":89,"stem":90,"children":91},"Northstar Record-to-Decision Capstone","\u002Fen\u002Faccounting\u002Fcapstone","en\u002Faccounting\u002Fcapstone\u002Findex",[92],{"title":88,"path":89,"stem":90},{"title":94,"path":95,"stem":96,"children":97},"Financial Accounting","\u002Fen\u002Faccounting\u002Ffinancial-accounting","en\u002Faccounting\u002Ffinancial-accounting\u002Findex",[98,99,117,131,165,179],{"title":94,"path":95,"stem":96},{"title":100,"path":101,"stem":102,"children":103},"1. Foundations","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F01-foundations","en\u002Faccounting\u002Ffinancial-accounting\u002F01-foundations\u002Findex",[104,105,109,113],{"title":100,"path":101,"stem":102},{"title":106,"path":107,"stem":108},"Objectives and Qualitative Characteristics","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F01-foundations\u002F01-objectives-qualitative-characteristics","en\u002Faccounting\u002Ffinancial-accounting\u002F01-foundations\u002F01-objectives-qualitative-characteristics",{"title":110,"path":111,"stem":112},"Equation and Elements","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F01-foundations\u002F02-equation-elements","en\u002Faccounting\u002Ffinancial-accounting\u002F01-foundations\u002F02-equation-elements",{"title":114,"path":115,"stem":116},"Accrual Basis, Estimates and Periods","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F01-foundations\u002F03-accounting-bases-principles","en\u002Faccounting\u002Ffinancial-accounting\u002F01-foundations\u002F03-accounting-bases-principles",{"title":118,"path":119,"stem":120,"children":121},"2. Recording Transactions","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F02-recording-transactions","en\u002Faccounting\u002Ffinancial-accounting\u002F02-recording-transactions\u002Findex",[122,123,127],{"title":118,"path":119,"stem":120},{"title":124,"path":125,"stem":126},"Double-Entry and Debit\u002FCredit","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F02-recording-transactions\u002F04-double-entry-dr-cr","en\u002Faccounting\u002Ffinancial-accounting\u002F02-recording-transactions\u002F04-double-entry-dr-cr",{"title":128,"path":129,"stem":130},"Accounting Cycle","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F02-recording-transactions\u002F05-accounting-cycle","en\u002Faccounting\u002Ffinancial-accounting\u002F02-recording-transactions\u002F05-accounting-cycle",{"title":132,"path":133,"stem":134,"children":135},"3. Measurement and Adjustments","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments","en\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002Findex",[136,137,141,145,149,153,157,161],{"title":132,"path":133,"stem":134},{"title":138,"path":139,"stem":140},"Revenue Recognition","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F07-revenue-recognition","en\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F07-revenue-recognition",{"title":142,"path":143,"stem":144},"Inventory","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F08-inventory","en\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F08-inventory",{"title":146,"path":147,"stem":148},"Receivables and Expected Credit Losses","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F09-receivables","en\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F09-receivables",{"title":150,"path":151,"stem":152},"Property, Plant and Equipment","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F10-ppe","en\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F10-ppe",{"title":154,"path":155,"stem":156},"Intangible Assets","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F11-intangibles","en\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F11-intangibles",{"title":158,"path":159,"stem":160},"Leases","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F12-leases","en\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F12-leases",{"title":162,"path":163,"stem":164},"Current and Deferred Income Tax","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F13-income-tax","en\u002Faccounting\u002Ffinancial-accounting\u002F03-measurement-adjustments\u002F13-income-tax",{"title":166,"path":167,"stem":168,"children":169},"4. Reporting and Cash","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F04-reporting-cash","en\u002Faccounting\u002Ffinancial-accounting\u002F04-reporting-cash\u002Findex",[170,171,175],{"title":166,"path":167,"stem":168},{"title":172,"path":173,"stem":174},"Linked Financial Statements","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F04-reporting-cash\u002F06-financial-statements","en\u002Faccounting\u002Ffinancial-accounting\u002F04-reporting-cash\u002F06-financial-statements",{"title":176,"path":177,"stem":178},"Cash, Reconciliation and Internal Control","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F04-reporting-cash\u002F14-cash-control","en\u002Faccounting\u002Ffinancial-accounting\u002F04-reporting-cash\u002F14-cash-control",{"title":180,"path":181,"stem":182,"children":183},"5. Analysis and Comparison","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F05-analysis-comparison","en\u002Faccounting\u002Ffinancial-accounting\u002F05-analysis-comparison\u002Findex",[184,185,189],{"title":180,"path":181,"stem":182},{"title":186,"path":187,"stem":188},"Ratio Analysis","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F05-analysis-comparison\u002F15-ratio-analysis","en\u002Faccounting\u002Ffinancial-accounting\u002F05-analysis-comparison\u002F15-ratio-analysis",{"title":190,"path":191,"stem":192},"IFRS versus US GAAP","\u002Fen\u002Faccounting\u002Ffinancial-accounting\u002F05-analysis-comparison\u002F25-ifrs-gaap","en\u002Faccounting\u002Ffinancial-accounting\u002F05-analysis-comparison\u002F25-ifrs-gaap",{"title":194,"path":195,"stem":196,"children":197},"Management Accounting","\u002Fen\u002Faccounting\u002Fmanagement-accounting","en\u002Faccounting\u002Fmanagement-accounting\u002Findex",[198,199,217,235],{"title":194,"path":195,"stem":196},{"title":200,"path":201,"stem":202,"children":203},"1. Cost Foundations","\u002Fen\u002Faccounting\u002Fmanagement-accounting\u002F01-cost-foundations","en\u002Faccounting\u002Fmanagement-accounting\u002F01-cost-foundations\u002Findex",[204,205,209,213],{"title":200,"path":201,"stem":202},{"title":206,"path":207,"stem":208},"Cost Concepts and Behaviour","\u002Fen\u002Faccounting\u002Fmanagement-accounting\u002F01-cost-foundations\u002F16-cost-concepts","en\u002Faccounting\u002Fmanagement-accounting\u002F01-cost-foundations\u002F16-cost-concepts",{"title":210,"path":211,"stem":212},"Costing Systems","\u002Fen\u002Faccounting\u002Fmanagement-accounting\u002F01-cost-foundations\u002F17-costing-systems","en\u002Faccounting\u002Fmanagement-accounting\u002F01-cost-foundations\u002F17-costing-systems",{"title":214,"path":215,"stem":216},"Variable and Absorption Costing","\u002Fen\u002Faccounting\u002Fmanagement-accounting\u002F01-cost-foundations\u002F19-variable-vs-absorption","en\u002Faccounting\u002Fmanagement-accounting\u002F01-cost-foundations\u002F19-variable-vs-absorption",{"title":218,"path":219,"stem":220,"children":221},"2. Planning and Control","\u002Fen\u002Faccounting\u002Fmanagement-accounting\u002F02-planning-control","en\u002Faccounting\u002Fmanagement-accounting\u002F02-planning-control\u002Findex",[222,223,227,231],{"title":218,"path":219,"stem":220},{"title":224,"path":225,"stem":226},"Cost–Volume–Profit Analysis","\u002Fen\u002Faccounting\u002Fmanagement-accounting\u002F02-planning-control\u002F18-cvp-analysis","en\u002Faccounting\u002Fmanagement-accounting\u002F02-planning-control\u002F18-cvp-analysis",{"title":228,"path":229,"stem":230},"Budgeting and Variance Analysis","\u002Fen\u002Faccounting\u002Fmanagement-accounting\u002F02-planning-control\u002F20-budgeting-variances","en\u002Faccounting\u002Fmanagement-accounting\u002F02-planning-control\u002F20-budgeting-variances",{"title":232,"path":233,"stem":234},"Performance Measurement","\u002Fen\u002Faccounting\u002Fmanagement-accounting\u002F02-planning-control\u002F21-performance-measurement","en\u002Faccounting\u002Fmanagement-accounting\u002F02-planning-control\u002F21-performance-measurement",{"title":236,"path":237,"stem":238,"children":239},"3. Decisions and Investment","\u002Fen\u002Faccounting\u002Fmanagement-accounting\u002F03-decisions-investment","en\u002Faccounting\u002Fmanagement-accounting\u002F03-decisions-investment\u002Findex",[240,241,245],{"title":236,"path":237,"stem":238},{"title":242,"path":243,"stem":244},"Short-Term Decisions","\u002Fen\u002Faccounting\u002Fmanagement-accounting\u002F03-decisions-investment\u002F22-short-term-decisions","en\u002Faccounting\u002Fmanagement-accounting\u002F03-decisions-investment\u002F22-short-term-decisions",{"title":246,"path":247,"stem":248},"Capital Budgeting","\u002Fen\u002Faccounting\u002Fmanagement-accounting\u002F03-decisions-investment\u002F23-capital-budgeting","en\u002Faccounting\u002Fmanagement-accounting\u002F03-decisions-investment\u002F23-capital-budgeting",false,{"title":251,"path":252,"stem":253,"children":254,"page":249},"Business Analytics","\u002Fen\u002Fbusiness-analytics","en\u002Fbusiness-analytics",[255,261,279,305,335,365,383,400],{"title":256,"path":257,"stem":258,"children":259},"Business Analytics — From Data to Defensible Action","\u002Fen\u002Fbusiness-analytics\u002F00-index","en\u002Fbusiness-analytics\u002F00-index",[260],{"title":256,"path":257,"stem":258},{"title":262,"path":263,"stem":264,"children":265},"0. Decision and Data Foundations","\u002Fen\u002Fbusiness-analytics\u002F00-intro","en\u002Fbusiness-analytics\u002F00-intro\u002Findex",[266,267,271,275],{"title":262,"path":263,"stem":264},{"title":268,"path":269,"stem":270},"Decision Framing","\u002Fen\u002Fbusiness-analytics\u002F00-intro\u002F01-decision-framing","en\u002Fbusiness-analytics\u002F00-intro\u002F01-decision-framing",{"title":272,"path":273,"stem":274},"Data Contracts","\u002Fen\u002Fbusiness-analytics\u002F00-intro\u002F02-data-contracts","en\u002Fbusiness-analytics\u002F00-intro\u002F02-data-contracts",{"title":276,"path":277,"stem":278},"Reproducible Analytics Workflow","\u002Fen\u002Fbusiness-analytics\u002F00-intro\u002F03-reproducible-workflow","en\u002Fbusiness-analytics\u002F00-intro\u002F03-reproducible-workflow",{"title":280,"path":281,"stem":282,"children":283},"1. Descriptive Analytics","\u002Fen\u002Fbusiness-analytics\u002F01-descriptive","en\u002Fbusiness-analytics\u002F01-descriptive\u002Findex",[284,285,289,293,297,301],{"title":280,"path":281,"stem":282},{"title":286,"path":287,"stem":288},"Distributions and Exploratory Data Analysis","\u002Fen\u002Fbusiness-analytics\u002F01-descriptive\u002F04-distributions-eda","en\u002Fbusiness-analytics\u002F01-descriptive\u002F04-distributions-eda",{"title":290,"path":291,"stem":292},"KPIs and Denominators","\u002Fen\u002Fbusiness-analytics\u002F01-descriptive\u002F05-kpis-denominators","en\u002Fbusiness-analytics\u002F01-descriptive\u002F05-kpis-denominators",{"title":294,"path":295,"stem":296},"Segments, Cohorts and Funnels","\u002Fen\u002Fbusiness-analytics\u002F01-descriptive\u002F06-segmentation-cohorts-funnels","en\u002Fbusiness-analytics\u002F01-descriptive\u002F06-segmentation-cohorts-funnels",{"title":298,"path":299,"stem":300},"Visual Evidence and Data Stories","\u002Fen\u002Fbusiness-analytics\u002F01-descriptive\u002F07-visualisation-story","en\u002Fbusiness-analytics\u002F01-descriptive\u002F07-visualisation-story",{"title":302,"path":303,"stem":304},"Experiments and Causal Boundaries","\u002Fen\u002Fbusiness-analytics\u002F01-descriptive\u002F08-experiments-causal-boundary","en\u002Fbusiness-analytics\u002F01-descriptive\u002F08-experiments-causal-boundary",{"title":306,"path":307,"stem":308,"children":309},"2. Predictive Analytics","\u002Fen\u002Fbusiness-analytics\u002F02-predictive","en\u002Fbusiness-analytics\u002F02-predictive\u002Findex",[310,311,315,319,323,327,331],{"title":306,"path":307,"stem":308},{"title":312,"path":313,"stem":314},"Validation, Baselines and Leakage","\u002Fen\u002Fbusiness-analytics\u002F02-predictive\u002F09-validation-leakage","en\u002Fbusiness-analytics\u002F02-predictive\u002F09-validation-leakage",{"title":316,"path":317,"stem":318},"Regression and Forecasting","\u002Fen\u002Fbusiness-analytics\u002F02-predictive\u002F10-regression-forecasting","en\u002Fbusiness-analytics\u002F02-predictive\u002F10-regression-forecasting",{"title":320,"path":321,"stem":322},"Classification and Calibration","\u002Fen\u002Fbusiness-analytics\u002F02-predictive\u002F11-classification-calibration","en\u002Fbusiness-analytics\u002F02-predictive\u002F11-classification-calibration",{"title":324,"path":325,"stem":326},"Trees and Ensembles","\u002Fen\u002Fbusiness-analytics\u002F02-predictive\u002F12-trees-ensembles","en\u002Fbusiness-analytics\u002F02-predictive\u002F12-trees-ensembles",{"title":328,"path":329,"stem":330},"Decision Metrics and Thresholds","\u002Fen\u002Fbusiness-analytics\u002F02-predictive\u002F13-decision-metrics-thresholds","en\u002Fbusiness-analytics\u002F02-predictive\u002F13-decision-metrics-thresholds",{"title":332,"path":333,"stem":334},"Explainability, Monitoring and Drift","\u002Fen\u002Fbusiness-analytics\u002F02-predictive\u002F14-explainability-drift","en\u002Fbusiness-analytics\u002F02-predictive\u002F14-explainability-drift",{"title":336,"path":337,"stem":338,"children":339},"3. Prescriptive Analytics","\u002Fen\u002Fbusiness-analytics\u002F03-prescriptive","en\u002Fbusiness-analytics\u002F03-prescriptive\u002Findex",[340,341,345,349,353,357,361],{"title":336,"path":337,"stem":338},{"title":342,"path":343,"stem":344},"Decision-Making under Uncertainty","\u002Fen\u002Fbusiness-analytics\u002F03-prescriptive\u002F15-decision-uncertainty","en\u002Fbusiness-analytics\u002F03-prescriptive\u002F15-decision-uncertainty",{"title":346,"path":347,"stem":348},"Linear Optimisation","\u002Fen\u002Fbusiness-analytics\u002F03-prescriptive\u002F16-linear-optimization","en\u002Fbusiness-analytics\u002F03-prescriptive\u002F16-linear-optimization",{"title":350,"path":351,"stem":352},"Inventory and Allocation","\u002Fen\u002Fbusiness-analytics\u002F03-prescriptive\u002F17-inventory-allocation","en\u002Fbusiness-analytics\u002F03-prescriptive\u002F17-inventory-allocation",{"title":354,"path":355,"stem":356},"Queueing and Simulation","\u002Fen\u002Fbusiness-analytics\u002F03-prescriptive\u002F18-queueing-simulation","en\u002Fbusiness-analytics\u002F03-prescriptive\u002F18-queueing-simulation",{"title":358,"path":359,"stem":360},"Pricing and Revenue Management","\u002Fen\u002Fbusiness-analytics\u002F03-prescriptive\u002F19-pricing-experimentation","en\u002Fbusiness-analytics\u002F03-prescriptive\u002F19-pricing-experimentation",{"title":362,"path":363,"stem":364},"Causal Targeting and Policy Learning","\u002Fen\u002Fbusiness-analytics\u002F03-prescriptive\u002F20-causal-targeting","en\u002Fbusiness-analytics\u002F03-prescriptive\u002F20-causal-targeting",{"title":366,"path":367,"stem":368,"children":369},"4. Deployment and Governance","\u002Fen\u002Fbusiness-analytics\u002F04-deployment","en\u002Fbusiness-analytics\u002F04-deployment\u002Findex",[370,371,375,379],{"title":366,"path":367,"stem":368},{"title":372,"path":373,"stem":374},"Data Products and Monitoring","\u002Fen\u002Fbusiness-analytics\u002F04-deployment\u002F21-data-products-monitoring","en\u002Fbusiness-analytics\u002F04-deployment\u002F21-data-products-monitoring",{"title":376,"path":377,"stem":378},"Governance, Fairness and Privacy","\u002Fen\u002Fbusiness-analytics\u002F04-deployment\u002F22-governance-fairness-privacy","en\u002Fbusiness-analytics\u002F04-deployment\u002F22-governance-fairness-privacy",{"title":380,"path":381,"stem":382},"Adoption and Business Value","\u002Fen\u002Fbusiness-analytics\u002F04-deployment\u002F23-adoption-value","en\u002Fbusiness-analytics\u002F04-deployment\u002F23-adoption-value",{"title":384,"path":385,"stem":386,"children":387},"Appendix and Revision Tools","\u002Fen\u002Fbusiness-analytics\u002Fappendix","en\u002Fbusiness-analytics\u002Fappendix\u002Findex",[388,389,393,397],{"title":384,"path":385,"stem":386},{"title":390,"path":391,"stem":392},"Formula and Decision Map","\u002Fen\u002Fbusiness-analytics\u002Fappendix\u002F24-formula-map","en\u002Fbusiness-analytics\u002Fappendix\u002F24-formula-map",{"title":394,"path":395,"stem":396},"Worked Examples and Pitfalls","\u002Fen\u002Fbusiness-analytics\u002Fappendix\u002F25-worked-examples-pitfalls","en\u002Fbusiness-analytics\u002Fappendix\u002F25-worked-examples-pitfalls",{"title":84,"path":398,"stem":399},"\u002Fen\u002Fbusiness-analytics\u002Fappendix\u002F26-reading-map","en\u002Fbusiness-analytics\u002Fappendix\u002F26-reading-map",{"title":401,"path":402,"stem":403,"children":404},"Capstone — The Evening Delivery Promise","\u002Fen\u002Fbusiness-analytics\u002Fcapstone","en\u002Fbusiness-analytics\u002Fcapstone\u002Findex",[405],{"title":401,"path":402,"stem":403},{"title":407,"path":408,"stem":409,"children":410,"page":249},"Financial Economic Time Series","\u002Fen\u002Ffinancial-economic-time-series","en\u002Ffinancial-economic-time-series",[411,417,423,429,435,441,447,453,459,465,471],{"title":412,"path":413,"stem":414,"children":415},"Financial and Economic Time Series — Course Guide","\u002Fen\u002Ffinancial-economic-time-series\u002F00-intro","en\u002Ffinancial-economic-time-series\u002F00-intro\u002Findex",[416],{"title":412,"path":413,"stem":414},{"title":418,"path":419,"stem":420,"children":421},"Three Versions of Time Series","\u002Fen\u002Ffinancial-economic-time-series\u002F01-bridge","en\u002Ffinancial-economic-time-series\u002F01-bridge\u002Findex",[422],{"title":418,"path":419,"stem":420},{"title":424,"path":425,"stem":426,"children":427},"Data, Clocks, and Transformations","\u002Fen\u002Ffinancial-economic-time-series\u002F02-data-transformations","en\u002Ffinancial-economic-time-series\u002F02-data-transformations\u002Findex",[428],{"title":424,"path":425,"stem":426},{"title":430,"path":431,"stem":432,"children":433},"Predictive Regressions and Persistent Predictors","\u002Fen\u002Ffinancial-economic-time-series\u002F03-predictive-regressions","en\u002Ffinancial-economic-time-series\u002F03-predictive-regressions\u002Findex",[434],{"title":430,"path":431,"stem":432},{"title":436,"path":437,"stem":438,"children":439},"Volatility, Tails, and Financial Risk","\u002Fen\u002Ffinancial-economic-time-series\u002F04-volatility-risk","en\u002Ffinancial-economic-time-series\u002F04-volatility-risk\u002Findex",[440],{"title":436,"path":437,"stem":438},{"title":442,"path":443,"stem":444,"children":445},"Unit Roots, Cointegration, and Error Correction","\u002Fen\u002Ffinancial-economic-time-series\u002F05-unit-roots-cointegration","en\u002Ffinancial-economic-time-series\u002F05-unit-roots-cointegration\u002Findex",[446],{"title":442,"path":443,"stem":444},{"title":448,"path":449,"stem":450,"children":451},"VAR, Structural Identification, and Local Projections","\u002Fen\u002Ffinancial-economic-time-series\u002F06-var-identification","en\u002Ffinancial-economic-time-series\u002F06-var-identification\u002Findex",[452],{"title":448,"path":449,"stem":450},{"title":454,"path":455,"stem":456,"children":457},"State Space, Mixed Frequency, and Nowcasting","\u002Fen\u002Ffinancial-economic-time-series\u002F07-state-space-nowcasting","en\u002Ffinancial-economic-time-series\u002F07-state-space-nowcasting\u002Findex",[458],{"title":454,"path":455,"stem":456},{"title":460,"path":461,"stem":462,"children":463},"Forecast Evaluation for Decisions","\u002Fen\u002Ffinancial-economic-time-series\u002F08-forecast-evaluation","en\u002Ffinancial-economic-time-series\u002F08-forecast-evaluation\u002Findex",[464],{"title":460,"path":461,"stem":462},{"title":466,"path":467,"stem":468,"children":469},"Integrated R Laboratory","\u002Fen\u002Ffinancial-economic-time-series\u002F09-r-laboratory","en\u002Ffinancial-economic-time-series\u002F09-r-laboratory\u002Findex",[470],{"title":466,"path":467,"stem":468},{"title":472,"path":473,"stem":474,"children":475},"Capstones, Data, and Reading Ladder","\u002Fen\u002Ffinancial-economic-time-series\u002F10-capstone-readings","en\u002Ffinancial-economic-time-series\u002F10-capstone-readings\u002Findex",[476],{"title":472,"path":473,"stem":474},{"title":478,"path":479,"stem":480,"children":481,"page":249},"Intro To Economics","\u002Fen\u002Fintro-to-economics","en\u002Fintro-to-economics",[482,486,490,494,498,502,506,510,514,518,522,526,530],{"title":483,"path":484,"stem":485},"Introduction to Economics — Decisions, Markets, and the Macroeconomy","\u002Fen\u002Fintro-to-economics\u002F00-intro","en\u002Fintro-to-economics\u002F00-intro",{"title":487,"path":488,"stem":489},"Chapter 1 — Choice, Opportunity Cost, and Trade","\u002Fen\u002Fintro-to-economics\u002F01-foundations","en\u002Fintro-to-economics\u002F01-foundations",{"title":491,"path":492,"stem":493},"Chapter 2 — Demand, Supply, Equilibrium, and Welfare","\u002Fen\u002Fintro-to-economics\u002F02-demand-and-supply","en\u002Fintro-to-economics\u002F02-demand-and-supply",{"title":495,"path":496,"stem":497},"Chapter 3 — Elasticity, Revenue, and Tax Incidence","\u002Fen\u002Fintro-to-economics\u002F03-elasticity","en\u002Fintro-to-economics\u002F03-elasticity",{"title":499,"path":500,"stem":501},"Chapter 4 — Firms, Market Power, and Market Failure","\u002Fen\u002Fintro-to-economics\u002F04-market-structures","en\u002Fintro-to-economics\u002F04-market-structures",{"title":503,"path":504,"stem":505},"Chapter 5 — GDP, Income, Wealth, and Welfare","\u002Fen\u002Fintro-to-economics\u002F05-gdp-and-wealth","en\u002Fintro-to-economics\u002F05-gdp-and-wealth",{"title":507,"path":508,"stem":509},"Chapter 6 — Inflation, Purchasing Power, and Labour Markets","\u002Fen\u002Fintro-to-economics\u002F06-inflation-and-unemployment","en\u002Fintro-to-economics\u002F06-inflation-and-unemployment",{"title":511,"path":512,"stem":513},"Chapter 7 — Productivity, Technology, and Economic Growth","\u002Fen\u002Fintro-to-economics\u002F07-economic-growth","en\u002Fintro-to-economics\u002F07-economic-growth",{"title":515,"path":516,"stem":517},"Chapter 8 — Money, Credit, and Banking","\u002Fen\u002Fintro-to-economics\u002F08-money-and-banking","en\u002Fintro-to-economics\u002F08-money-and-banking",{"title":519,"path":520,"stem":521},"Chapter 9 — Business Cycles, AD–AS, and Monetary Policy","\u002Fen\u002Fintro-to-economics\u002F09-monetary-policy-and-ad-as","en\u002Fintro-to-economics\u002F09-monetary-policy-and-ad-as",{"title":523,"path":524,"stem":525},"Chapter 10 — Fiscal Policy, Distribution, and Public Debt","\u002Fen\u002Fintro-to-economics\u002F10-fiscal-policy","en\u002Fintro-to-economics\u002F10-fiscal-policy",{"title":527,"path":528,"stem":529},"Chapter 11 — Trade, Capital Flows, and Exchange Rates","\u002Fen\u002Fintro-to-economics\u002F11-open-economy-and-exchange-rates","en\u002Fintro-to-economics\u002F11-open-economy-and-exchange-rates",{"title":531,"path":532,"stem":533},"Chapter 12 — Integrated Economic Analysis Studio","\u002Fen\u002Fintro-to-economics\u002F12-review-and-case-studies","en\u002Fintro-to-economics\u002F12-review-and-case-studies",{"title":535,"path":536,"stem":537,"children":538,"page":249},"Microeconometrics","\u002Fen\u002Fmicroeconometrics","en\u002Fmicroeconometrics",[539,557,563,581,603,629,651,673,691,709],{"title":540,"path":541,"stem":542,"children":543},"0. Causal Questions and Designs","\u002Fen\u002Fmicroeconometrics\u002F00-foundations","en\u002Fmicroeconometrics\u002F00-foundations\u002Findex",[544,545,549,553],{"title":540,"path":541,"stem":542},{"title":546,"path":547,"stem":548},"Causal Questions and Estimands","\u002Fen\u002Fmicroeconometrics\u002F00-foundations\u002F01-causal-question-estimands","en\u002Fmicroeconometrics\u002F00-foundations\u002F01-causal-question-estimands",{"title":550,"path":551,"stem":552},"Potential Outcomes and Experiments","\u002Fen\u002Fmicroeconometrics\u002F00-foundations\u002F02-potential-outcomes-experiments","en\u002Fmicroeconometrics\u002F00-foundations\u002F02-potential-outcomes-experiments",{"title":554,"path":555,"stem":556},"Causal Diagrams and Controls","\u002Fen\u002Fmicroeconometrics\u002F00-foundations\u002F03-dags-controls","en\u002Fmicroeconometrics\u002F00-foundations\u002F03-dags-controls",{"title":558,"path":559,"stem":560,"children":561},"Microeconometrics — Designing Credible Counterfactuals","\u002Fen\u002Fmicroeconometrics\u002F00-index","en\u002Fmicroeconometrics\u002F00-index",[562],{"title":558,"path":559,"stem":560},{"title":564,"path":565,"stem":566,"children":567},"1. Regression and Inference","\u002Fen\u002Fmicroeconometrics\u002F01-regression","en\u002Fmicroeconometrics\u002F01-regression\u002Findex",[568,569,573,577],{"title":564,"path":565,"stem":566},{"title":570,"path":571,"stem":572},"OLS as a Projection","\u002Fen\u002Fmicroeconometrics\u002F01-regression\u002F04-ols-projection","en\u002Fmicroeconometrics\u002F01-regression\u002F04-ols-projection",{"title":574,"path":575,"stem":576},"FWL, Selection and Controls","\u002Fen\u002Fmicroeconometrics\u002F01-regression\u002F05-fwl-selection-controls","en\u002Fmicroeconometrics\u002F01-regression\u002F05-fwl-selection-controls",{"title":578,"path":579,"stem":580},"Inference and Clustering","\u002Fen\u002Fmicroeconometrics\u002F01-regression\u002F06-inference-clustering","en\u002Fmicroeconometrics\u002F01-regression\u002F06-inference-clustering",{"title":582,"path":583,"stem":584,"children":585},"2. Instruments and Panel Data","\u002Fen\u002Fmicroeconometrics\u002F02-iv-panel","en\u002Fmicroeconometrics\u002F02-iv-panel\u002Findex",[586,587,591,595,599],{"title":582,"path":583,"stem":584},{"title":588,"path":589,"stem":590},"Instrumental Variables","\u002Fen\u002Fmicroeconometrics\u002F02-iv-panel\u002F07-iv-identification","en\u002Fmicroeconometrics\u002F02-iv-panel\u002F07-iv-identification",{"title":592,"path":593,"stem":594},"Weak Instruments and LATE","\u002Fen\u002Fmicroeconometrics\u002F02-iv-panel\u002F08-weak-iv-late","en\u002Fmicroeconometrics\u002F02-iv-panel\u002F08-weak-iv-late",{"title":596,"path":597,"stem":598},"Panel Fixed Effects","\u002Fen\u002Fmicroeconometrics\u002F02-iv-panel\u002F09-panel-fixed-effects","en\u002Fmicroeconometrics\u002F02-iv-panel\u002F09-panel-fixed-effects",{"title":600,"path":601,"stem":602},"Dynamic Panels and Limits","\u002Fen\u002Fmicroeconometrics\u002F02-iv-panel\u002F10-dynamic-panel","en\u002Fmicroeconometrics\u002F02-iv-panel\u002F10-dynamic-panel",{"title":604,"path":605,"stem":606,"children":607},"3. Policy Evaluation Designs","\u002Fen\u002Fmicroeconometrics\u002F03-policy-designs","en\u002Fmicroeconometrics\u002F03-policy-designs\u002Findex",[608,609,613,617,621,625],{"title":604,"path":605,"stem":606},{"title":610,"path":611,"stem":612},"Difference-in-Differences","\u002Fen\u002Fmicroeconometrics\u002F03-policy-designs\u002F11-did-core","en\u002Fmicroeconometrics\u002F03-policy-designs\u002F11-did-core",{"title":614,"path":615,"stem":616},"Staggered DID and Event Studies","\u002Fen\u002Fmicroeconometrics\u002F03-policy-designs\u002F12-staggered-event-studies","en\u002Fmicroeconometrics\u002F03-policy-designs\u002F12-staggered-event-studies",{"title":618,"path":619,"stem":620},"Regression Discontinuity","\u002Fen\u002Fmicroeconometrics\u002F03-policy-designs\u002F13-rdd","en\u002Fmicroeconometrics\u002F03-policy-designs\u002F13-rdd",{"title":622,"path":623,"stem":624},"Matching, Weighting and Overlap","\u002Fen\u002Fmicroeconometrics\u002F03-policy-designs\u002F14-matching-weighting","en\u002Fmicroeconometrics\u002F03-policy-designs\u002F14-matching-weighting",{"title":626,"path":627,"stem":628},"Synthetic Control","\u002Fen\u002Fmicroeconometrics\u002F03-policy-designs\u002F15-synthetic-control","en\u002Fmicroeconometrics\u002F03-policy-designs\u002F15-synthetic-control",{"title":630,"path":631,"stem":632,"children":633},"Module 4 — Choice and Limited Outcomes","\u002Fen\u002Fmicroeconometrics\u002F04-outcomes-choice","en\u002Fmicroeconometrics\u002F04-outcomes-choice\u002Findex",[634,635,639,643,647],{"title":630,"path":631,"stem":632},{"title":636,"path":637,"stem":638},"Binary Choice","\u002Fen\u002Fmicroeconometrics\u002F04-outcomes-choice\u002F16-binary-choice","en\u002Fmicroeconometrics\u002F04-outcomes-choice\u002F16-binary-choice",{"title":640,"path":641,"stem":642},"Multinomial and Ordered Choice","\u002Fen\u002Fmicroeconometrics\u002F04-outcomes-choice\u002F17-multinomial-choice","en\u002Fmicroeconometrics\u002F04-outcomes-choice\u002F17-multinomial-choice",{"title":644,"path":645,"stem":646},"Count Outcomes","\u002Fen\u002Fmicroeconometrics\u002F04-outcomes-choice\u002F18-count-outcomes","en\u002Fmicroeconometrics\u002F04-outcomes-choice\u002F18-count-outcomes",{"title":648,"path":649,"stem":650},"Censoring, Truncation and Selection","\u002Fen\u002Fmicroeconometrics\u002F04-outcomes-choice\u002F19-censoring-selection","en\u002Fmicroeconometrics\u002F04-outcomes-choice\u002F19-censoring-selection",{"title":652,"path":653,"stem":654,"children":655},"Module 5 — Modern Causal Analysis","\u002Fen\u002Fmicroeconometrics\u002F05-modern-causal","en\u002Fmicroeconometrics\u002F05-modern-causal\u002Findex",[656,657,661,665,669],{"title":652,"path":653,"stem":654},{"title":658,"path":659,"stem":660},"Double Machine Learning","\u002Fen\u002Fmicroeconometrics\u002F05-modern-causal\u002F20-dml","en\u002Fmicroeconometrics\u002F05-modern-causal\u002F20-dml",{"title":662,"path":663,"stem":664},"Heterogeneity and Policy Learning","\u002Fen\u002Fmicroeconometrics\u002F05-modern-causal\u002F21-heterogeneity-policy","en\u002Fmicroeconometrics\u002F05-modern-causal\u002F21-heterogeneity-policy",{"title":666,"path":667,"stem":668},"Sensitivity and Partial Identification","\u002Fen\u002Fmicroeconometrics\u002F05-modern-causal\u002F22-sensitivity-partial-id","en\u002Fmicroeconometrics\u002F05-modern-causal\u002F22-sensitivity-partial-id",{"title":670,"path":671,"stem":672},"External Validity and Transport","\u002Fen\u002Fmicroeconometrics\u002F05-modern-causal\u002F23-external-validity","en\u002Fmicroeconometrics\u002F05-modern-causal\u002F23-external-validity",{"title":674,"path":675,"stem":676,"children":677},"Module 6 — From Data to Auditable Evidence","\u002Fen\u002Fmicroeconometrics\u002F06-workflow","en\u002Fmicroeconometrics\u002F06-workflow\u002Findex",[678,679,683,687],{"title":674,"path":675,"stem":676},{"title":680,"path":681,"stem":682},"Data Provenance","\u002Fen\u002Fmicroeconometrics\u002F06-workflow\u002F24-data-provenance","en\u002Fmicroeconometrics\u002F06-workflow\u002F24-data-provenance",{"title":684,"path":685,"stem":686},"Reproducibility and Reporting","\u002Fen\u002Fmicroeconometrics\u002F06-workflow\u002F25-reproducibility-reporting","en\u002Fmicroeconometrics\u002F06-workflow\u002F25-reproducibility-reporting",{"title":688,"path":689,"stem":690},"Paper and Evidence Audit","\u002Fen\u002Fmicroeconometrics\u002F06-workflow\u002F26-paper-audit","en\u002Fmicroeconometrics\u002F06-workflow\u002F26-paper-audit",{"title":692,"path":693,"stem":694,"children":695},"Appendix — Revision and Evidence Map","\u002Fen\u002Fmicroeconometrics\u002Fappendix","en\u002Fmicroeconometrics\u002Fappendix\u002Findex",[696,697,701,705],{"title":692,"path":693,"stem":694},{"title":698,"path":699,"stem":700},"Formula and Design Map","\u002Fen\u002Fmicroeconometrics\u002Fappendix\u002F27-formula-design-map","en\u002Fmicroeconometrics\u002Fappendix\u002F27-formula-design-map",{"title":702,"path":703,"stem":704},"Ten Worked Microeconometric Pitfalls","\u002Fen\u002Fmicroeconometrics\u002Fappendix\u002F28-worked-pitfalls","en\u002Fmicroeconometrics\u002Fappendix\u002F28-worked-pitfalls",{"title":706,"path":707,"stem":708},"Reading and Software Map","\u002Fen\u002Fmicroeconometrics\u002Fappendix\u002F29-reading-software-map","en\u002Fmicroeconometrics\u002Fappendix\u002F29-reading-software-map",{"title":710,"path":711,"stem":712,"children":713},"Capstone — Should Northbridge Expand Pathways?","\u002Fen\u002Fmicroeconometrics\u002Fcapstone","en\u002Fmicroeconometrics\u002Fcapstone\u002Findex",[714],{"title":710,"path":711,"stem":712},{"title":716,"path":717,"stem":718,"children":719,"page":249},"Microeconomics","\u002Fen\u002Fmicroeconomics","en\u002Fmicroeconomics",[720,726,732,738,744,750,756,762,768,774,780,786,792],{"title":721,"path":722,"stem":723,"children":724},"Advanced Microeconomics — Course Guide","\u002Fen\u002Fmicroeconomics\u002F00-intro","en\u002Fmicroeconomics\u002F00-intro\u002Findex",[725],{"title":721,"path":722,"stem":723},{"title":727,"path":728,"stem":729,"children":730},"Module 1 — Choice, Duality, and Revealed Preference","\u002Fen\u002Fmicroeconomics\u002F01-fundations","en\u002Fmicroeconomics\u002F01-fundations\u002Findex",[731],{"title":727,"path":728,"stem":729},{"title":733,"path":734,"stem":735,"children":736},"Module 2 — Comparative Statics and Welfare Measurement","\u002Fen\u002Fmicroeconomics\u002F02-comparative-statics","en\u002Fmicroeconomics\u002F02-comparative-statics\u002Findex",[737],{"title":733,"path":734,"stem":735},{"title":739,"path":740,"stem":741,"children":742},"Module 3 — Choice under Risk and Insurance","\u002Fen\u002Fmicroeconomics\u002F03-uncertainty","en\u002Fmicroeconomics\u002F03-uncertainty\u002Findex",[743],{"title":739,"path":740,"stem":741},{"title":745,"path":746,"stem":747,"children":748},"Module 4 — General Equilibrium and Welfare","\u002Fen\u002Fmicroeconomics\u002F04-general-equilibrium","en\u002Fmicroeconomics\u002F04-general-equilibrium\u002Findex",[749],{"title":745,"path":746,"stem":747},{"title":751,"path":752,"stem":753,"children":754},"Module 5 — Static, Dynamic, and Repeated Games","\u002Fen\u002Fmicroeconomics\u002F05-game-theory","en\u002Fmicroeconomics\u002F05-game-theory\u002Findex",[755],{"title":751,"path":752,"stem":753},{"title":757,"path":758,"stem":759,"children":760},"Module 6 — Oligopoly, Entry, and Algorithmic Pricing","\u002Fen\u002Fmicroeconomics\u002F06-oligopoly","en\u002Fmicroeconomics\u002F06-oligopoly\u002Findex",[761],{"title":757,"path":758,"stem":759},{"title":763,"path":764,"stem":765,"children":766},"Module 7 — Information Economics and Contracts","\u002Fen\u002Fmicroeconomics\u002F07-information-economics","en\u002Fmicroeconomics\u002F07-information-economics\u002Findex",[767],{"title":763,"path":764,"stem":765},{"title":769,"path":770,"stem":771,"children":772},"Module 8 — Mechanism Design and Auctions","\u002Fen\u002Fmicroeconomics\u002F08-mechanism-design","en\u002Fmicroeconomics\u002F08-mechanism-design\u002Findex",[773],{"title":769,"path":770,"stem":771},{"title":775,"path":776,"stem":777,"children":778},"Module 9 — Behavioural and Experimental Microeconomics","\u002Fen\u002Fmicroeconomics\u002F09-behavioural-economics","en\u002Fmicroeconomics\u002F09-behavioural-economics\u002Findex",[779],{"title":775,"path":776,"stem":777},{"title":781,"path":782,"stem":783,"children":784},"Module 10 — Externalities, Public Goods, and Collective Action","\u002Fen\u002Fmicroeconomics\u002F10-externalities-public-goods","en\u002Fmicroeconomics\u002F10-externalities-public-goods\u002Findex",[785],{"title":781,"path":782,"stem":783},{"title":787,"path":788,"stem":789,"children":790},"Module 11 — Matching and Market Design","\u002Fen\u002Fmicroeconomics\u002F11-market-design","en\u002Fmicroeconomics\u002F11-market-design\u002Findex",[791],{"title":787,"path":788,"stem":789},{"title":793,"path":794,"stem":795,"children":796},"Module 12 — Integrated Microeconomic Design Studio","\u002Fen\u002Fmicroeconomics\u002F12-review","en\u002Fmicroeconomics\u002F12-review\u002Findex",[797],{"title":793,"path":794,"stem":795},{"title":799,"path":800,"stem":801,"children":802},"Playground","\u002Fen\u002Fplayground","en\u002Fplayground\u002Findex",[803,804,808,812,816,820],{"title":799,"path":800,"stem":801},{"title":805,"path":806,"stem":807},"Typst Plugin Playground","\u002Fen\u002Fplayground\u002F01-typstex","en\u002Fplayground\u002F01-typstex",{"title":809,"path":810,"stem":811},"Citation Plugin Test","\u002Fen\u002Fplayground\u002F02-citation","en\u002Fplayground\u002F02-citation",{"title":813,"path":814,"stem":815},"Pyodide Playground","\u002Fen\u002Fplayground\u002F03-pyodide","en\u002Fplayground\u002F03-pyodide",{"title":817,"path":818,"stem":819},"WebR Playground","\u002Fen\u002Fplayground\u002F04-webr","en\u002Fplayground\u002F04-webr",{"title":821,"path":822,"stem":823},"Chart.js 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文献综述的构建与写作","\u002Fzh\u002Facademic-writing\u002F04-writing-the-literature-review","zh\u002Facademic-writing\u002F04-writing-the-literature-review",{"title":1056,"path":1057,"stem":1058},"8. 文献综述清单与模板","\u002Fzh\u002Facademic-writing\u002F08-literature-review-checklist-and-template","zh\u002Facademic-writing\u002F08-literature-review-checklist-and-template",{"title":1060,"path":1061,"stem":1062},"10. 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Alpha 策略全流程","\u002Fzh\u002Fquant\u002F09-case-study","zh\u002Fquant\u002F09-case-study",{"title":1779,"path":1780,"stem":1781},"量化投资文献与软件图谱","\u002Fzh\u002Fquant\u002F10-reading-software-map","zh\u002Fquant\u002F10-reading-software-map",null,{"id":1784,"title":1759,"body":1785,"description":8250,"extension":8251,"features":1782,"hero":1782,"layout":1782,"locale":1782,"meta":8252,"navigation":1782,"path":1760,"published":8255,"seo":8256,"stem":1761,"__hash__":8257},"docs\u002Fzh\u002Fquant\u002F05-execution-and-microstructure.md",{"type":1786,"value":1787,"toc":8227},"minimark",[1788,1792,1796,1809,1812,1817,1820,1829,1832,1862,1869,2152,2231,2424,2427,2447,2450,2454,2459,2524,2757,2793,2995,2998,3191,3194,3198,3230,3233,3996,3999,4003,4006,4318,4329,4337,4340,5270,5439,5632,5635,6007,6010,6014,6017,6146,6513,6522,6528,6657,6660,6664,6667,7065,7068,7079,7083,7086,7089,7285,7288,7296,7299,7310,7314,7317,7334,7337,7348,7351,7355,7359,7362,7379,7383,7386,7403,7407,7484,7487,7579,7583,7586,8112,8115,8121,8128,8132,8164,8168,8182,8186,8189,8191,8196],[1789,1790,1791],"h1",{"id":1791},"执行策略与市场微结构",[1793,1794,1795],"p",{},"本章从量化研究者的视角，简要介绍交易执行（Execution）与市场微结构（Market Microstructure）的核心概念，重点放在：",[1797,1798,1799,1803,1806],"ol",{},[1800,1801,1802],"li",{},"如何在研究阶段构建一个“足够合理”的交易成本与执行模型；",[1800,1804,1805],{},"如何把资产定价中的“无摩擦市场”假设修正为“有价差、有限流动性、价格冲击”的现实市场；",[1800,1807,1808],{},"给出若干经典微结构模型的简化形式和文献线索。",[1793,1810,1811],{},"详细的订单簿动力学建模和高频策略设计可以在后续独立笔记中展开，这里主要建立概念和基本数学框架，并给出一些标准模型的数学形式，方便与后续计量和策略章节衔接。",[1813,1814,1816],"h2",{"id":1815},"_1-交易成本的基本分解","1. 交易成本的基本分解",[1793,1818,1819],{},"在经典资产定价模型中，我们通常假设“无摩擦市场”：",[1821,1822,1823,1826],"ul",{},[1800,1824,1825],{},"无手续费、无价差、无价格冲击；",[1800,1827,1828],{},"任意数量都可以按给定价格立即交易。",[1793,1830,1831],{},"在真实市场中，交易成本可以大致分为：",[1797,1833,1834,1846],{},[1800,1835,1836,1840,1841],{},[1837,1838,1839],"strong",{},"显性成本（Explicit Costs）","：\n",[1821,1842,1843],{},[1800,1844,1845],{},"佣金、手续费、交易税费等；",[1800,1847,1848,1840,1851],{},[1837,1849,1850],{},"隐性成本（Implicit Costs）",[1821,1852,1853,1856,1859],{},[1800,1854,1855],{},"买卖价差（bid-ask spread）；",[1800,1857,1858],{},"价格冲击（price impact）；",[1800,1860,1861],{},"机会成本（未成交或成交延迟造成的损失）。",[1793,1863,1864,1865,1868],{},"从回测与策略评估的角度，我们希望构建一个函数，将",[1837,1866,1867],{},"预期成交价格","表示为市场中某个“参考价格”（如中间价、前收盘价）加上成本调整：",[1870,1871,1874],"span",{"className":1872},[1873],"katex-display",[1870,1875,1878,1958],{"className":1876},[1877],"katex",[1870,1879,1882],{"className":1880},[1881],"katex-mathml",[1883,1884,1887],"math",{"xmlns":1885,"display":1886},"http:\u002F\u002Fwww.w3.org\u002F1998\u002FMath\u002FMathML","block",[1888,1889,1890,1953],"semantics",{},[1891,1892,1893,1904,1908,1915,1918,1921,1925,1928,1932,1935,1937,1940,1942,1945,1948,1951],"mrow",{},[1894,1895,1896,1900],"msup",{},[1897,1898,1899],"mi",{},"P",[1901,1902,1903],"mtext",{},"exec",[1905,1906,1907],"mo",{},"=",[1894,1909,1910,1912],{},[1897,1911,1899],{},[1901,1913,1914],{},"ref",[1905,1916,1917],{},"+",[1897,1919,1920],{},"C",[1905,1922,1924],{"stretchy":1923},"false","(",[1897,1926,1927],{},"q",[1905,1929,1931],{"separator":1930},"true",",",[1901,1933,1934],{},"spread",[1905,1936,1931],{"separator":1930},[1901,1938,1939],{},"depth",[1905,1941,1931],{"separator":1930},[1905,1943,1944],{},"…",[1901,1946,1947],{}," ",[1905,1949,1950],{"stretchy":1923},")",[1905,1952,1931],{"separator":1930},[1954,1955,1957],"annotation",{"encoding":1956},"application\u002Fx-tex"," P^{\\text{exec}} = P^{\\text{ref}} + C(q, \\text{spread}, \\text{depth}, \\dots),",[1870,1959,1962,2033,2087],{"className":1960,"ariaHidden":1930},[1961],"katex-html",[1870,1963,1966,1971,2021,2026,2030],{"className":1964},[1965],"base",[1870,1967],{"className":1968,"style":1970},[1969],"strut","height:0.7144em;",[1870,1972,1975,1980],{"className":1973},[1974],"mord",[1870,1976,1899],{"className":1977,"style":1979},[1974,1978],"mathnormal","margin-right:0.1389em;",[1870,1981,1984],{"className":1982},[1983],"msupsub",[1870,1985,1988],{"className":1986},[1987],"vlist-t",[1870,1989,1992],{"className":1990},[1991],"vlist-r",[1870,1993,1996],{"className":1994,"style":1970},[1995],"vlist",[1870,1997,1999,2004],{"style":1998},"top:-3.113em;margin-right:0.05em;",[1870,2000],{"className":2001,"style":2003},[2002],"pstrut","height:2.7em;",[1870,2005,2011],{"className":2006},[2007,2008,2009,2010],"sizing","reset-size6","size3","mtight",[1870,2012,2014],{"className":2013},[1974,2010],[1870,2015,2018],{"className":2016},[1974,2017,2010],"text",[1870,2019,1903],{"className":2020},[1974,2010],[1870,2022],{"className":2023,"style":2025},[2024],"mspace","margin-right:0.2778em;",[1870,2027,1907],{"className":2028},[2029],"mrel",[1870,2031],{"className":2032,"style":2025},[2024],[1870,2034,2036,2040,2076,2080,2084],{"className":2035},[1965],[1870,2037],{"className":2038,"style":2039},[1969],"height:0.9824em;vertical-align:-0.0833em;",[1870,2041,2043,2046],{"className":2042},[1974],[1870,2044,1899],{"className":2045,"style":1979},[1974,1978],[1870,2047,2049],{"className":2048},[1983],[1870,2050,2052],{"className":2051},[1987],[1870,2053,2055],{"className":2054},[1991],[1870,2056,2059],{"className":2057,"style":2058},[1995],"height:0.8991em;",[1870,2060,2061,2064],{"style":1998},[1870,2062],{"className":2063,"style":2003},[2002],[1870,2065,2067],{"className":2066},[2007,2008,2009,2010],[1870,2068,2070],{"className":2069},[1974,2010],[1870,2071,2073],{"className":2072},[1974,2017,2010],[1870,2074,1914],{"className":2075},[1974,2010],[1870,2077],{"className":2078,"style":2079},[2024],"margin-right:0.2222em;",[1870,2081,1917],{"className":2082},[2083],"mbin",[1870,2085],{"className":2086,"style":2079},[2024],[1870,2088,2090,2094,2098,2102,2106,2110,2114,2120,2123,2126,2132,2135,2138,2142,2145,2149],{"className":2089},[1965],[1870,2091],{"className":2092,"style":2093},[1969],"height:1em;vertical-align:-0.25em;",[1870,2095,1920],{"className":2096,"style":2097},[1974,1978],"margin-right:0.0715em;",[1870,2099,1924],{"className":2100},[2101],"mopen",[1870,2103,1927],{"className":2104,"style":2105},[1974,1978],"margin-right:0.0359em;",[1870,2107,1931],{"className":2108},[2109],"mpunct",[1870,2111],{"className":2112,"style":2113},[2024],"margin-right:0.1667em;",[1870,2115,2117],{"className":2116},[1974,2017],[1870,2118,1934],{"className":2119},[1974],[1870,2121,1931],{"className":2122},[2109],[1870,2124],{"className":2125,"style":2113},[2024],[1870,2127,2129],{"className":2128},[1974,2017],[1870,2130,1939],{"className":2131},[1974],[1870,2133,1931],{"className":2134},[2109],[1870,2136],{"className":2137,"style":2113},[2024],[1870,2139,1944],{"className":2140},[2141],"minner",[1870,2143],{"className":2144,"style":2113},[2024],[1870,2146,1950],{"className":2147},[2148],"mclose",[1870,2150,1931],{"className":2151},[2109],[1793,2153,2154,2155,2184,2185,2230],{},"其中 ",[1870,2156,2158,2171],{"className":2157},[1877],[1870,2159,2161],{"className":2160},[1881],[1883,2162,2163],{"xmlns":1885},[1888,2164,2165,2169],{},[1891,2166,2167],{},[1897,2168,1927],{},[1954,2170,1927],{"encoding":1956},[1870,2172,2174],{"className":2173,"ariaHidden":1930},[1961],[1870,2175,2177,2181],{"className":2176},[1965],[1870,2178],{"className":2179,"style":2180},[1969],"height:0.625em;vertical-align:-0.1944em;",[1870,2182,1927],{"className":2183,"style":2105},[1974,1978]," 是订单数量或权重变化，",[1870,2186,2188,2209],{"className":2187},[1877],[1870,2189,2191],{"className":2190},[1881],[1883,2192,2193],{"xmlns":1885},[1888,2194,2195,2206],{},[1891,2196,2197,2199,2201,2204],{},[1897,2198,1920],{},[1905,2200,1924],{"stretchy":1923},[1905,2202,2203],{},"⋅",[1905,2205,1950],{"stretchy":1923},[1954,2207,2208],{"encoding":1956},"C(\\cdot)",[1870,2210,2212],{"className":2211,"ariaHidden":1930},[1961],[1870,2213,2215,2218,2221,2224,2227],{"className":2214},[1965],[1870,2216],{"className":2217,"style":2093},[1969],[1870,2219,1920],{"className":2220,"style":2097},[1974,1978],[1870,2222,1924],{"className":2223},[2101],[1870,2225,2203],{"className":2226},[1974],[1870,2228,1950],{"className":2229},[2148]," 是成本函数，通常满足：",[1821,2232,2233,2318,2392],{},[1800,2234,2235,2317],{},[1870,2236,2238,2268],{"className":2237},[1877],[1870,2239,2241],{"className":2240},[1881],[1883,2242,2243],{"xmlns":1885},[1888,2244,2245,2265],{},[1891,2246,2247,2249,2251,2255,2257,2259,2261,2263],{},[1897,2248,1920],{},[1905,2250,1924],{"stretchy":1923},[2252,2253,2254],"mn",{},"0",[1905,2256,1931],{"separator":1930},[1905,2258,2203],{},[1905,2260,1950],{"stretchy":1923},[1905,2262,1907],{},[2252,2264,2254],{},[1954,2266,2267],{"encoding":1956},"C(0, \\cdot) = 0",[1870,2269,2271,2307],{"className":2270,"ariaHidden":1930},[1961],[1870,2272,2274,2277,2280,2283,2286,2289,2292,2295,2298,2301,2304],{"className":2273},[1965],[1870,2275],{"className":2276,"style":2093},[1969],[1870,2278,1920],{"className":2279,"style":2097},[1974,1978],[1870,2281,1924],{"className":2282},[2101],[1870,2284,2254],{"className":2285},[1974],[1870,2287,1931],{"className":2288},[2109],[1870,2290],{"className":2291,"style":2113},[2024],[1870,2293,2203],{"className":2294},[1974],[1870,2296,1950],{"className":2297},[2148],[1870,2299],{"className":2300,"style":2025},[2024],[1870,2302,1907],{"className":2303},[2029],[1870,2305],{"className":2306,"style":2025},[2024],[1870,2308,2310,2314],{"className":2309},[1965],[1870,2311],{"className":2312,"style":2313},[1969],"height:0.6444em;",[1870,2315,2254],{"className":2316},[1974],"；",[1800,2319,2320,2349,2350,2391],{},[1870,2321,2323,2336],{"className":2322},[1877],[1870,2324,2326],{"className":2325},[1881],[1883,2327,2328],{"xmlns":1885},[1888,2329,2330,2334],{},[1891,2331,2332],{},[1897,2333,1920],{},[1954,2335,1920],{"encoding":1956},[1870,2337,2339],{"className":2338,"ariaHidden":1930},[1961],[1870,2340,2342,2346],{"className":2341},[1965],[1870,2343],{"className":2344,"style":2345},[1969],"height:0.6833em;",[1870,2347,1920],{"className":2348,"style":2097},[1974,1978]," 随 ",[1870,2351,2353,2373],{"className":2352},[1877],[1870,2354,2356],{"className":2355},[1881],[1883,2357,2358],{"xmlns":1885},[1888,2359,2360,2370],{},[1891,2361,2362,2366,2368],{},[1897,2363,2365],{"mathvariant":2364},"normal","∣",[1897,2367,1927],{},[1897,2369,2365],{"mathvariant":2364},[1954,2371,2372],{"encoding":1956},"|q|",[1870,2374,2376],{"className":2375,"ariaHidden":1930},[1961],[1870,2377,2379,2382,2385,2388],{"className":2378},[1965],[1870,2380],{"className":2381,"style":2093},[1969],[1870,2383,2365],{"className":2384},[1974],[1870,2386,1927],{"className":2387,"style":2105},[1974,1978],[1870,2389,2365],{"className":2390},[1974]," 增大而增大；",[1800,2393,2394,2395,2423],{},"对大额订单，",[1870,2396,2398,2411],{"className":2397},[1877],[1870,2399,2401],{"className":2400},[1881],[1883,2402,2403],{"xmlns":1885},[1888,2404,2405,2409],{},[1891,2406,2407],{},[1897,2408,1920],{},[1954,2410,1920],{"encoding":1956},[1870,2412,2414],{"className":2413,"ariaHidden":1930},[1961],[1870,2415,2417,2420],{"className":2416},[1965],[1870,2418],{"className":2419,"style":2345},[1969],[1870,2421,1920],{"className":2422,"style":2097},[1974,1978]," 常呈现非线性增长（体现流动性约束）。",[1793,2425,2426],{},"在实务绩效归因中，有时还会将总交易成本拆分为：",[1821,2428,2429,2435,2441],{},[1800,2430,2431,2434],{},[1837,2432,2433],{},"实现短fall（implementation shortfall）","：相对于某个“决策价格”（decision price，如信号生成时的中间价），实际成交价格的滑点和费用；",[1800,2436,2437,2440],{},[1837,2438,2439],{},"延迟成本","：由于执行延迟或分批执行，导致价格在执行期间发生不利变动；",[1800,2442,2443,2446],{},[1837,2444,2445],{},"机会成本","：由于未能全部成交，放弃了部分本可实现的收益。",[1793,2448,2449],{},"这些分解在后续做执行归因和优化时非常有用。",[1813,2451,2453],{"id":2452},"_2-价差与-lob-基础概念","2. 价差与 LOB 基础概念",[2455,2456,2458],"h3",{"id":2457},"_21-价差bid-ask-spread","2.1 价差（Bid-Ask Spread）",[1793,2460,2461,2462,2492,2493,2523],{},"在任意时刻，最优买价与最优卖价分别记为 ",[1870,2463,2465,2479],{"className":2464},[1877],[1870,2466,2468],{"className":2467},[1881],[1883,2469,2470],{"xmlns":1885},[1888,2471,2472,2477],{},[1891,2473,2474],{},[1897,2475,2476],{},"b",[1954,2478,2476],{"encoding":1956},[1870,2480,2482],{"className":2481,"ariaHidden":1930},[1961],[1870,2483,2485,2489],{"className":2484},[1965],[1870,2486],{"className":2487,"style":2488},[1969],"height:0.6944em;",[1870,2490,2476],{"className":2491},[1974,1978]," 和 ",[1870,2494,2496,2510],{"className":2495},[1877],[1870,2497,2499],{"className":2498},[1881],[1883,2500,2501],{"xmlns":1885},[1888,2502,2503,2508],{},[1891,2504,2505],{},[1897,2506,2507],{},"a",[1954,2509,2507],{"encoding":1956},[1870,2511,2513],{"className":2512,"ariaHidden":1930},[1961],[1870,2514,2516,2520],{"className":2515},[1965],[1870,2517],{"className":2518,"style":2519},[1969],"height:0.4306em;",[1870,2521,2507],{"className":2522},[1974,1978],"，则：",[1821,2525,2526,2677],{},[1800,2527,2528,2529,2317],{},"中间价（mid price）：",[1870,2530,2532,2563],{"className":2531},[1877],[1870,2533,2535],{"className":2534},[1881],[1883,2536,2537],{"xmlns":1885},[1888,2538,2539,2560],{},[1891,2540,2541,2544,2546],{},[1897,2542,2543],{},"m",[1905,2545,1907],{},[2547,2548,2549,2557],"mfrac",{},[1891,2550,2551,2553,2555],{},[1897,2552,2507],{},[1905,2554,1917],{},[1897,2556,2476],{},[2252,2558,2559],{},"2",[1954,2561,2562],{"encoding":1956},"m = \\frac{a + b}{2}",[1870,2564,2566,2584],{"className":2565,"ariaHidden":1930},[1961],[1870,2567,2569,2572,2575,2578,2581],{"className":2568},[1965],[1870,2570],{"className":2571,"style":2519},[1969],[1870,2573,2543],{"className":2574},[1974,1978],[1870,2576],{"className":2577,"style":2025},[2024],[1870,2579,1907],{"className":2580},[2029],[1870,2582],{"className":2583,"style":2025},[2024],[1870,2585,2587,2591],{"className":2586},[1965],[1870,2588],{"className":2589,"style":2590},[1969],"height:1.2251em;vertical-align:-0.345em;",[1870,2592,2594,2598,2674],{"className":2593},[1974],[1870,2595],{"className":2596},[2101,2597],"nulldelimiter",[1870,2599,2601],{"className":2600},[2547],[1870,2602,2605,2665],{"className":2603},[1987,2604],"vlist-t2",[1870,2606,2608,2660],{"className":2607},[1991],[1870,2609,2612,2628,2639],{"className":2610,"style":2611},[1995],"height:0.8801em;",[1870,2613,2615,2619],{"style":2614},"top:-2.655em;",[1870,2616],{"className":2617,"style":2618},[2002],"height:3em;",[1870,2620,2622],{"className":2621},[2007,2008,2009,2010],[1870,2623,2625],{"className":2624},[1974,2010],[1870,2626,2559],{"className":2627},[1974,2010],[1870,2629,2631,2634],{"style":2630},"top:-3.23em;",[1870,2632],{"className":2633,"style":2618},[2002],[1870,2635],{"className":2636,"style":2638},[2637],"frac-line","border-bottom-width:0.04em;",[1870,2640,2642,2645],{"style":2641},"top:-3.394em;",[1870,2643],{"className":2644,"style":2618},[2002],[1870,2646,2648],{"className":2647},[2007,2008,2009,2010],[1870,2649,2651,2654,2657],{"className":2650},[1974,2010],[1870,2652,2507],{"className":2653},[1974,1978,2010],[1870,2655,1917],{"className":2656},[2083,2010],[1870,2658,2476],{"className":2659},[1974,1978,2010],[1870,2661,2664],{"className":2662},[2663],"vlist-s","​",[1870,2666,2668],{"className":2667},[1991],[1870,2669,2672],{"className":2670,"style":2671},[1995],"height:0.345em;",[1870,2673],{},[1870,2675],{"className":2676},[2148,2597],[1800,2678,2679,2680,2756],{},"名义价差：",[1870,2681,2683,2707],{"className":2682},[1877],[1870,2684,2686],{"className":2685},[1881],[1883,2687,2688],{"xmlns":1885},[1888,2689,2690,2704],{},[1891,2691,2692,2695,2697,2699,2702],{},[1897,2693,2694],{},"s",[1905,2696,1907],{},[1897,2698,2507],{},[1905,2700,2701],{},"−",[1897,2703,2476],{},[1954,2705,2706],{"encoding":1956},"s = a - b",[1870,2708,2710,2728,2747],{"className":2709,"ariaHidden":1930},[1961],[1870,2711,2713,2716,2719,2722,2725],{"className":2712},[1965],[1870,2714],{"className":2715,"style":2519},[1969],[1870,2717,2694],{"className":2718},[1974,1978],[1870,2720],{"className":2721,"style":2025},[2024],[1870,2723,1907],{"className":2724},[2029],[1870,2726],{"className":2727,"style":2025},[2024],[1870,2729,2731,2735,2738,2741,2744],{"className":2730},[1965],[1870,2732],{"className":2733,"style":2734},[1969],"height:0.6667em;vertical-align:-0.0833em;",[1870,2736,2507],{"className":2737},[1974,1978],[1870,2739],{"className":2740,"style":2079},[2024],[1870,2742,2701],{"className":2743},[2083],[1870,2745],{"className":2746,"style":2079},[2024],[1870,2748,2750,2753],{"className":2749},[1965],[1870,2751],{"className":2752,"style":2488},[1969],[1870,2754,2476],{"className":2755},[1974,1978],"。",[1793,2758,2759,2760,2788,2789,2792],{},"如果我们以买价买入，以卖价卖出，则单次往返交易的“显性损耗”约为 ",[1870,2761,2763,2776],{"className":2762},[1877],[1870,2764,2766],{"className":2765},[1881],[1883,2767,2768],{"xmlns":1885},[1888,2769,2770,2774],{},[1891,2771,2772],{},[1897,2773,2694],{},[1954,2775,2694],{"encoding":1956},[1870,2777,2779],{"className":2778,"ariaHidden":1930},[1961],[1870,2780,2782,2785],{"className":2781},[1965],[1870,2783],{"className":2784,"style":2519},[1969],[1870,2786,2694],{"className":2787},[1974,1978],"。因此，对一个",[1837,2790,2791],{},"买入","订单，简单的成本近似为：",[1870,2794,2796],{"className":2795},[1873],[1870,2797,2799,2833],{"className":2798},[1877],[1870,2800,2802],{"className":2801},[1881],[1883,2803,2804],{"xmlns":1885,"display":1886},[1888,2805,2806,2830],{},[1891,2807,2808,2818,2821,2827],{},[2809,2810,2811,2813,2815],"msubsup",{},[1897,2812,1920],{},[1901,2814,1934],{},[1901,2816,2817],{},"buy",[1905,2819,2820],{},"≈",[2547,2822,2823,2825],{},[1897,2824,2694],{},[2252,2826,2559],{},[1905,2828,2829],{"separator":1930},";",[1954,2831,2832],{"encoding":1956}," C_{\\text{spread}}^{\\text{buy}} \\approx \\frac{s}{2};",[1870,2834,2836,2919],{"className":2835,"ariaHidden":1930},[1961],[1870,2837,2839,2843,2910,2913,2916],{"className":2838},[1965],[1870,2840],{"className":2841,"style":2842},[1969],"height:1.4044em;vertical-align:-0.4374em;",[1870,2844,2846,2849],{"className":2845},[1974],[1870,2847,1920],{"className":2848,"style":2097},[1974,1978],[1870,2850,2852],{"className":2851},[1983],[1870,2853,2855,2901],{"className":2854},[1987,2604],[1870,2856,2858,2898],{"className":2857},[1991],[1870,2859,2862,2880],{"className":2860,"style":2861},[1995],"height:0.967em;",[1870,2863,2865,2868],{"style":2864},"top:-2.3987em;margin-left:-0.0715em;margin-right:0.05em;",[1870,2866],{"className":2867,"style":2003},[2002],[1870,2869,2871],{"className":2870},[2007,2008,2009,2010],[1870,2872,2874],{"className":2873},[1974,2010],[1870,2875,2877],{"className":2876},[1974,2017,2010],[1870,2878,1934],{"className":2879},[1974,2010],[1870,2881,2883,2886],{"style":2882},"top:-3.1809em;margin-right:0.05em;",[1870,2884],{"className":2885,"style":2003},[2002],[1870,2887,2889],{"className":2888},[2007,2008,2009,2010],[1870,2890,2892],{"className":2891},[1974,2010],[1870,2893,2895],{"className":2894},[1974,2017,2010],[1870,2896,2817],{"className":2897},[1974,2010],[1870,2899,2664],{"className":2900},[2663],[1870,2902,2904],{"className":2903},[1991],[1870,2905,2908],{"className":2906,"style":2907},[1995],"height:0.4374em;",[1870,2909],{},[1870,2911],{"className":2912,"style":2025},[2024],[1870,2914,2820],{"className":2915},[2029],[1870,2917],{"className":2918,"style":2025},[2024],[1870,2920,2922,2926,2992],{"className":2921},[1965],[1870,2923],{"className":2924,"style":2925},[1969],"height:1.7936em;vertical-align:-0.686em;",[1870,2927,2929,2932,2989],{"className":2928},[1974],[1870,2930],{"className":2931},[2101,2597],[1870,2933,2935],{"className":2934},[2547],[1870,2936,2938,2980],{"className":2937},[1987,2604],[1870,2939,2941,2977],{"className":2940},[1991],[1870,2942,2945,2957,2965],{"className":2943,"style":2944},[1995],"height:1.1076em;",[1870,2946,2948,2951],{"style":2947},"top:-2.314em;",[1870,2949],{"className":2950,"style":2618},[2002],[1870,2952,2954],{"className":2953},[1974],[1870,2955,2559],{"className":2956},[1974],[1870,2958,2959,2962],{"style":2630},[1870,2960],{"className":2961,"style":2618},[2002],[1870,2963],{"className":2964,"style":2638},[2637],[1870,2966,2968,2971],{"style":2967},"top:-3.677em;",[1870,2969],{"className":2970,"style":2618},[2002],[1870,2972,2974],{"className":2973},[1974],[1870,2975,2694],{"className":2976},[1974,1978],[1870,2978,2664],{"className":2979},[2663],[1870,2981,2983],{"className":2982},[1991],[1870,2984,2987],{"className":2985,"style":2986},[1995],"height:0.686em;",[1870,2988],{},[1870,2990],{"className":2991},[2148,2597],[1870,2993,2829],{"className":2994},[2109],[1793,2996,2997],{},"对应卖出订单：",[1870,2999,3001],{"className":3000},[1873],[1870,3002,3004,3036],{"className":3003},[1877],[1870,3005,3007],{"className":3006},[1881],[1883,3008,3009],{"xmlns":1885,"display":1886},[1888,3010,3011,3033],{},[1891,3012,3013,3022,3024,3030],{},[2809,3014,3015,3017,3019],{},[1897,3016,1920],{},[1901,3018,1934],{},[1901,3020,3021],{},"sell",[1905,3023,2820],{},[2547,3025,3026,3028],{},[1897,3027,2694],{},[2252,3029,2559],{},[1897,3031,3032],{"mathvariant":2364},".",[1954,3034,3035],{"encoding":1956}," C_{\\text{spread}}^{\\text{sell}} \\approx \\frac{s}{2}.",[1870,3037,3039,3120],{"className":3038,"ariaHidden":1930},[1961],[1870,3040,3042,3046,3111,3114,3117],{"className":3041},[1965],[1870,3043],{"className":3044,"style":3045},[1969],"height:1.2822em;vertical-align:-0.3831em;",[1870,3047,3049,3052],{"className":3048},[1974],[1870,3050,1920],{"className":3051,"style":2097},[1974,1978],[1870,3053,3055],{"className":3054},[1983],[1870,3056,3058,3102],{"className":3057},[1987,2604],[1870,3059,3061,3099],{"className":3060},[1991],[1870,3062,3064,3082],{"className":3063,"style":2058},[1995],[1870,3065,3067,3070],{"style":3066},"top:-2.453em;margin-left:-0.0715em;margin-right:0.05em;",[1870,3068],{"className":3069,"style":2003},[2002],[1870,3071,3073],{"className":3072},[2007,2008,2009,2010],[1870,3074,3076],{"className":3075},[1974,2010],[1870,3077,3079],{"className":3078},[1974,2017,2010],[1870,3080,1934],{"className":3081},[1974,2010],[1870,3083,3084,3087],{"style":1998},[1870,3085],{"className":3086,"style":2003},[2002],[1870,3088,3090],{"className":3089},[2007,2008,2009,2010],[1870,3091,3093],{"className":3092},[1974,2010],[1870,3094,3096],{"className":3095},[1974,2017,2010],[1870,3097,3021],{"className":3098},[1974,2010],[1870,3100,2664],{"className":3101},[2663],[1870,3103,3105],{"className":3104},[1991],[1870,3106,3109],{"className":3107,"style":3108},[1995],"height:0.3831em;",[1870,3110],{},[1870,3112],{"className":3113,"style":2025},[2024],[1870,3115,2820],{"className":3116},[2029],[1870,3118],{"className":3119,"style":2025},[2024],[1870,3121,3123,3126,3188],{"className":3122},[1965],[1870,3124],{"className":3125,"style":2925},[1969],[1870,3127,3129,3132,3185],{"className":3128},[1974],[1870,3130],{"className":3131},[2101,2597],[1870,3133,3135],{"className":3134},[2547],[1870,3136,3138,3177],{"className":3137},[1987,2604],[1870,3139,3141,3174],{"className":3140},[1991],[1870,3142,3144,3155,3163],{"className":3143,"style":2944},[1995],[1870,3145,3146,3149],{"style":2947},[1870,3147],{"className":3148,"style":2618},[2002],[1870,3150,3152],{"className":3151},[1974],[1870,3153,2559],{"className":3154},[1974],[1870,3156,3157,3160],{"style":2630},[1870,3158],{"className":3159,"style":2618},[2002],[1870,3161],{"className":3162,"style":2638},[2637],[1870,3164,3165,3168],{"style":2967},[1870,3166],{"className":3167,"style":2618},[2002],[1870,3169,3171],{"className":3170},[1974],[1870,3172,2694],{"className":3173},[1974,1978],[1870,3175,2664],{"className":3176},[2663],[1870,3178,3180],{"className":3179},[1991],[1870,3181,3183],{"className":3182,"style":2986},[1995],[1870,3184],{},[1870,3186],{"className":3187},[2148,2597],[1870,3189,3032],{"className":3190},[1974],[1793,3192,3193],{},"在许多中低频回测中，研究者会简单地用“半个价差”加上固定佣金作为基础成本模型。",[2455,3195,3197],{"id":3196},"_22-限价单市场单与订单簿","2.2 限价单、市场单与订单簿",[1821,3199,3200,3210,3220],{},[1800,3201,3202,1840,3205],{},[1837,3203,3204],{},"限价单（Limit Order）",[1821,3206,3207],{},[1800,3208,3209],{},"以指定价格或更有利价格成交，不保证一定成交；",[1800,3211,3212,1840,3215],{},[1837,3213,3214],{},"市场单（Market Order）",[1821,3216,3217],{},[1800,3218,3219],{},"以当前市场最优价格即时成交，不指定价格；",[1800,3221,3222,1840,3225],{},[1837,3223,3224],{},"订单簿（Limit Order Book, LOB）",[1821,3226,3227],{},[1800,3228,3229],{},"按价格和时间排序的未成交限价单集合。",[1793,3231,3232],{},"在 LOB 框架下，若我们发送一个市场买单，成交价格可能会穿透多个卖档：",[1821,3234,3235,3624,3822,3990],{},[1800,3236,3237,3238,3443,3444,2317],{},"假设卖一、卖二、卖三价格分别为 ",[1870,3239,3241,3279],{"className":3240},[1877],[1870,3242,3244],{"className":3243},[1881],[1883,3245,3246],{"xmlns":1885},[1888,3247,3248,3276],{},[1891,3249,3250,3258,3261,3267,3269],{},[3251,3252,3253,3255],"msub",{},[1897,3254,2507],{},[2252,3256,3257],{},"1",[1905,3259,3260],{},"\u003C",[3251,3262,3263,3265],{},[1897,3264,2507],{},[2252,3266,2559],{},[1905,3268,3260],{},[3251,3270,3271,3273],{},[1897,3272,2507],{},[2252,3274,3275],{},"3",[1954,3277,3278],{"encoding":1956},"a_1 \u003C a_2 \u003C a_3",[1870,3280,3282,3341,3396],{"className":3281,"ariaHidden":1930},[1961],[1870,3283,3285,3289,3332,3335,3338],{"className":3284},[1965],[1870,3286],{"className":3287,"style":3288},[1969],"height:0.6891em;vertical-align:-0.15em;",[1870,3290,3292,3295],{"className":3291},[1974],[1870,3293,2507],{"className":3294},[1974,1978],[1870,3296,3298],{"className":3297},[1983],[1870,3299,3301,3323],{"className":3300},[1987,2604],[1870,3302,3304,3320],{"className":3303},[1991],[1870,3305,3308],{"className":3306,"style":3307},[1995],"height:0.3011em;",[1870,3309,3311,3314],{"style":3310},"top:-2.55em;margin-left:0em;margin-right:0.05em;",[1870,3312],{"className":3313,"style":2003},[2002],[1870,3315,3317],{"className":3316},[2007,2008,2009,2010],[1870,3318,3257],{"className":3319},[1974,2010],[1870,3321,2664],{"className":3322},[2663],[1870,3324,3326],{"className":3325},[1991],[1870,3327,3330],{"className":3328,"style":3329},[1995],"height:0.15em;",[1870,3331],{},[1870,3333],{"className":3334,"style":2025},[2024],[1870,3336,3260],{"className":3337},[2029],[1870,3339],{"className":3340,"style":2025},[2024],[1870,3342,3344,3347,3387,3390,3393],{"className":3343},[1965],[1870,3345],{"className":3346,"style":3288},[1969],[1870,3348,3350,3353],{"className":3349},[1974],[1870,3351,2507],{"className":3352},[1974,1978],[1870,3354,3356],{"className":3355},[1983],[1870,3357,3359,3379],{"className":3358},[1987,2604],[1870,3360,3362,3376],{"className":3361},[1991],[1870,3363,3365],{"className":3364,"style":3307},[1995],[1870,3366,3367,3370],{"style":3310},[1870,3368],{"className":3369,"style":2003},[2002],[1870,3371,3373],{"className":3372},[2007,2008,2009,2010],[1870,3374,2559],{"className":3375},[1974,2010],[1870,3377,2664],{"className":3378},[2663],[1870,3380,3382],{"className":3381},[1991],[1870,3383,3385],{"className":3384,"style":3329},[1995],[1870,3386],{},[1870,3388],{"className":3389,"style":2025},[2024],[1870,3391,3260],{"className":3392},[2029],[1870,3394],{"className":3395,"style":2025},[2024],[1870,3397,3399,3403],{"className":3398},[1965],[1870,3400],{"className":3401,"style":3402},[1969],"height:0.5806em;vertical-align:-0.15em;",[1870,3404,3406,3409],{"className":3405},[1974],[1870,3407,2507],{"className":3408},[1974,1978],[1870,3410,3412],{"className":3411},[1983],[1870,3413,3415,3435],{"className":3414},[1987,2604],[1870,3416,3418,3432],{"className":3417},[1991],[1870,3419,3421],{"className":3420,"style":3307},[1995],[1870,3422,3423,3426],{"style":3310},[1870,3424],{"className":3425,"style":2003},[2002],[1870,3427,3429],{"className":3428},[2007,2008,2009,2010],[1870,3430,3275],{"className":3431},[1974,2010],[1870,3433,2664],{"className":3434},[2663],[1870,3436,3438],{"className":3437},[1991],[1870,3439,3441],{"className":3440,"style":3329},[1995],[1870,3442],{},"，对应深度为 ",[1870,3445,3447,3482],{"className":3446},[1877],[1870,3448,3450],{"className":3449},[1881],[1883,3451,3452],{"xmlns":1885},[1888,3453,3454,3479],{},[1891,3455,3456,3463,3465,3471,3473],{},[3251,3457,3458,3461],{},[1897,3459,3460],{},"v",[2252,3462,3257],{},[1905,3464,1931],{"separator":1930},[3251,3466,3467,3469],{},[1897,3468,3460],{},[2252,3470,2559],{},[1905,3472,1931],{"separator":1930},[3251,3474,3475,3477],{},[1897,3476,3460],{},[2252,3478,3275],{},[1954,3480,3481],{"encoding":1956},"v_1, v_2, v_3",[1870,3483,3485],{"className":3484,"ariaHidden":1930},[1961],[1870,3486,3488,3491,3532,3535,3538,3578,3581,3584],{"className":3487},[1965],[1870,3489],{"className":3490,"style":2180},[1969],[1870,3492,3494,3497],{"className":3493},[1974],[1870,3495,3460],{"className":3496,"style":2105},[1974,1978],[1870,3498,3500],{"className":3499},[1983],[1870,3501,3503,3524],{"className":3502},[1987,2604],[1870,3504,3506,3521],{"className":3505},[1991],[1870,3507,3509],{"className":3508,"style":3307},[1995],[1870,3510,3512,3515],{"style":3511},"top:-2.55em;margin-left:-0.0359em;margin-right:0.05em;",[1870,3513],{"className":3514,"style":2003},[2002],[1870,3516,3518],{"className":3517},[2007,2008,2009,2010],[1870,3519,3257],{"className":3520},[1974,2010],[1870,3522,2664],{"className":3523},[2663],[1870,3525,3527],{"className":3526},[1991],[1870,3528,3530],{"className":3529,"style":3329},[1995],[1870,3531],{},[1870,3533,1931],{"className":3534},[2109],[1870,3536],{"className":3537,"style":2113},[2024],[1870,3539,3541,3544],{"className":3540},[1974],[1870,3542,3460],{"className":3543,"style":2105},[1974,1978],[1870,3545,3547],{"className":3546},[1983],[1870,3548,3550,3570],{"className":3549},[1987,2604],[1870,3551,3553,3567],{"className":3552},[1991],[1870,3554,3556],{"className":3555,"style":3307},[1995],[1870,3557,3558,3561],{"style":3511},[1870,3559],{"className":3560,"style":2003},[2002],[1870,3562,3564],{"className":3563},[2007,2008,2009,2010],[1870,3565,2559],{"className":3566},[1974,2010],[1870,3568,2664],{"className":3569},[2663],[1870,3571,3573],{"className":3572},[1991],[1870,3574,3576],{"className":3575,"style":3329},[1995],[1870,3577],{},[1870,3579,1931],{"className":3580},[2109],[1870,3582],{"className":3583,"style":2113},[2024],[1870,3585,3587,3590],{"className":3586},[1974],[1870,3588,3460],{"className":3589,"style":2105},[1974,1978],[1870,3591,3593],{"className":3592},[1983],[1870,3594,3596,3616],{"className":3595},[1987,2604],[1870,3597,3599,3613],{"className":3598},[1991],[1870,3600,3602],{"className":3601,"style":3307},[1995],[1870,3603,3604,3607],{"style":3511},[1870,3605],{"className":3606,"style":2003},[2002],[1870,3608,3610],{"className":3609},[2007,2008,2009,2010],[1870,3611,3275],{"className":3612},[1974,2010],[1870,3614,2664],{"className":3615},[2663],[1870,3617,3619],{"className":3618},[1991],[1870,3620,3622],{"className":3621,"style":3329},[1995],[1870,3623],{},[1800,3625,3626,3627,3655,3656,3750,3751,3821],{},"若买入数量 ",[1870,3628,3630,3643],{"className":3629},[1877],[1870,3631,3633],{"className":3632},[1881],[1883,3634,3635],{"xmlns":1885},[1888,3636,3637,3641],{},[1891,3638,3639],{},[1897,3640,1927],{},[1954,3642,1927],{"encoding":1956},[1870,3644,3646],{"className":3645,"ariaHidden":1930},[1961],[1870,3647,3649,3652],{"className":3648},[1965],[1870,3650],{"className":3651,"style":2180},[1969],[1870,3653,1927],{"className":3654,"style":2105},[1974,1978]," 满足 ",[1870,3657,3659,3682],{"className":3658},[1877],[1870,3660,3662],{"className":3661},[1881],[1883,3663,3664],{"xmlns":1885},[1888,3665,3666,3679],{},[1891,3667,3668,3670,3673],{},[1897,3669,1927],{},[1905,3671,3672],{},"≤",[3251,3674,3675,3677],{},[1897,3676,3460],{},[2252,3678,3257],{},[1954,3680,3681],{"encoding":1956},"q \\le v_1",[1870,3683,3685,3704],{"className":3684,"ariaHidden":1930},[1961],[1870,3686,3688,3692,3695,3698,3701],{"className":3687},[1965],[1870,3689],{"className":3690,"style":3691},[1969],"height:0.8304em;vertical-align:-0.1944em;",[1870,3693,1927],{"className":3694,"style":2105},[1974,1978],[1870,3696],{"className":3697,"style":2025},[2024],[1870,3699,3672],{"className":3700},[2029],[1870,3702],{"className":3703,"style":2025},[2024],[1870,3705,3707,3710],{"className":3706},[1965],[1870,3708],{"className":3709,"style":3402},[1969],[1870,3711,3713,3716],{"className":3712},[1974],[1870,3714,3460],{"className":3715,"style":2105},[1974,1978],[1870,3717,3719],{"className":3718},[1983],[1870,3720,3722,3742],{"className":3721},[1987,2604],[1870,3723,3725,3739],{"className":3724},[1991],[1870,3726,3728],{"className":3727,"style":3307},[1995],[1870,3729,3730,3733],{"style":3511},[1870,3731],{"className":3732,"style":2003},[2002],[1870,3734,3736],{"className":3735},[2007,2008,2009,2010],[1870,3737,3257],{"className":3738},[1974,2010],[1870,3740,2664],{"className":3741},[2663],[1870,3743,3745],{"className":3744},[1991],[1870,3746,3748],{"className":3747,"style":3329},[1995],[1870,3749],{},"，则全部在价位 ",[1870,3752,3754,3772],{"className":3753},[1877],[1870,3755,3757],{"className":3756},[1881],[1883,3758,3759],{"xmlns":1885},[1888,3760,3761,3769],{},[1891,3762,3763],{},[3251,3764,3765,3767],{},[1897,3766,2507],{},[2252,3768,3257],{},[1954,3770,3771],{"encoding":1956},"a_1",[1870,3773,3775],{"className":3774,"ariaHidden":1930},[1961],[1870,3776,3778,3781],{"className":3777},[1965],[1870,3779],{"className":3780,"style":3402},[1969],[1870,3782,3784,3787],{"className":3783},[1974],[1870,3785,2507],{"className":3786},[1974,1978],[1870,3788,3790],{"className":3789},[1983],[1870,3791,3793,3813],{"className":3792},[1987,2604],[1870,3794,3796,3810],{"className":3795},[1991],[1870,3797,3799],{"className":3798,"style":3307},[1995],[1870,3800,3801,3804],{"style":3310},[1870,3802],{"className":3803,"style":2003},[2002],[1870,3805,3807],{"className":3806},[2007,2008,2009,2010],[1870,3808,3257],{"className":3809},[1974,2010],[1870,3811,2664],{"className":3812},[2663],[1870,3814,3816],{"className":3815},[1991],[1870,3817,3819],{"className":3818,"style":3329},[1995],[1870,3820],{}," 成交；",[1800,3823,3824,3825,3919,3920,3989],{},"若 ",[1870,3826,3828,3851],{"className":3827},[1877],[1870,3829,3831],{"className":3830},[1881],[1883,3832,3833],{"xmlns":1885},[1888,3834,3835,3848],{},[1891,3836,3837,3839,3842],{},[1897,3838,1927],{},[1905,3840,3841],{},">",[3251,3843,3844,3846],{},[1897,3845,3460],{},[2252,3847,3257],{},[1954,3849,3850],{"encoding":1956},"q > v_1",[1870,3852,3854,3873],{"className":3853,"ariaHidden":1930},[1961],[1870,3855,3857,3861,3864,3867,3870],{"className":3856},[1965],[1870,3858],{"className":3859,"style":3860},[1969],"height:0.7335em;vertical-align:-0.1944em;",[1870,3862,1927],{"className":3863,"style":2105},[1974,1978],[1870,3865],{"className":3866,"style":2025},[2024],[1870,3868,3841],{"className":3869},[2029],[1870,3871],{"className":3872,"style":2025},[2024],[1870,3874,3876,3879],{"className":3875},[1965],[1870,3877],{"className":3878,"style":3402},[1969],[1870,3880,3882,3885],{"className":3881},[1974],[1870,3883,3460],{"className":3884,"style":2105},[1974,1978],[1870,3886,3888],{"className":3887},[1983],[1870,3889,3891,3911],{"className":3890},[1987,2604],[1870,3892,3894,3908],{"className":3893},[1991],[1870,3895,3897],{"className":3896,"style":3307},[1995],[1870,3898,3899,3902],{"style":3511},[1870,3900],{"className":3901,"style":2003},[2002],[1870,3903,3905],{"className":3904},[2007,2008,2009,2010],[1870,3906,3257],{"className":3907},[1974,2010],[1870,3909,2664],{"className":3910},[2663],[1870,3912,3914],{"className":3913},[1991],[1870,3915,3917],{"className":3916,"style":3329},[1995],[1870,3918],{},"，则剩余部分会在更高价位成交，形成平均成交价高于 ",[1870,3921,3923,3940],{"className":3922},[1877],[1870,3924,3926],{"className":3925},[1881],[1883,3927,3928],{"xmlns":1885},[1888,3929,3930,3938],{},[1891,3931,3932],{},[3251,3933,3934,3936],{},[1897,3935,2507],{},[2252,3937,3257],{},[1954,3939,3771],{"encoding":1956},[1870,3941,3943],{"className":3942,"ariaHidden":1930},[1961],[1870,3944,3946,3949],{"className":3945},[1965],[1870,3947],{"className":3948,"style":3402},[1969],[1870,3950,3952,3955],{"className":3951},[1974],[1870,3953,2507],{"className":3954},[1974,1978],[1870,3956,3958],{"className":3957},[1983],[1870,3959,3961,3981],{"className":3960},[1987,2604],[1870,3962,3964,3978],{"className":3963},[1991],[1870,3965,3967],{"className":3966,"style":3307},[1995],[1870,3968,3969,3972],{"style":3310},[1870,3970],{"className":3971,"style":2003},[2002],[1870,3973,3975],{"className":3974},[2007,2008,2009,2010],[1870,3976,3257],{"className":3977},[1974,2010],[1870,3979,2664],{"className":3980},[2663],[1870,3982,3984],{"className":3983},[1991],[1870,3985,3987],{"className":3986,"style":3329},[1995],[1870,3988],{}," 的情况；",[1800,3991,3992,3993,2756],{},"这种“吃掉多档卖盘”的行为体现了",[1837,3994,3995],{},"价格冲击",[1793,3997,3998],{},"在很多经验研究和微结构模型中，订单簿深度曲线（depth curve）会被建模为价格–数量关系，从而给出更细致的冲击函数形状。",[1813,4000,4002],{"id":4001},"_3-简化的价格冲击模型","3. 简化的价格冲击模型",[1793,4004,4005],{},"在研究环境中，常用简化模型来刻画订单对价格的影响。一个经典思路来自 Kyle (1985)：",[1821,4007,4008],{},[1800,4009,4010,4011,4194,4197,4198],{},"假设单期线性价格冲击：",[1870,4012,4014],{"className":4013},[1873],[1870,4015,4017,4057],{"className":4016},[1877],[1870,4018,4020],{"className":4019},[1881],[1883,4021,4022],{"xmlns":1885,"display":1886},[1888,4023,4024,4054],{},[1891,4025,4026,4032,4034,4040,4042,4045,4047,4049,4052],{},[1894,4027,4028,4030],{},[1897,4029,1899],{},[1901,4031,1903],{},[1905,4033,1907],{},[1894,4035,4036,4038],{},[1897,4037,1899],{},[1901,4039,1914],{},[1905,4041,1917],{},[1897,4043,4044],{},"λ",[1897,4046,1927],{},[1905,4048,1917],{},[1897,4050,4051],{},"ϵ",[1905,4053,1931],{"separator":1930},[1954,4055,4056],{"encoding":1956},"P^{\\text{exec}} = P^{\\text{ref}} + \\lambda q + \\epsilon,",[1870,4058,4060,4110,4160,4182],{"className":4059,"ariaHidden":1930},[1961],[1870,4061,4063,4066,4101,4104,4107],{"className":4062},[1965],[1870,4064],{"className":4065,"style":1970},[1969],[1870,4067,4069,4072],{"className":4068},[1974],[1870,4070,1899],{"className":4071,"style":1979},[1974,1978],[1870,4073,4075],{"className":4074},[1983],[1870,4076,4078],{"className":4077},[1987],[1870,4079,4081],{"className":4080},[1991],[1870,4082,4084],{"className":4083,"style":1970},[1995],[1870,4085,4086,4089],{"style":1998},[1870,4087],{"className":4088,"style":2003},[2002],[1870,4090,4092],{"className":4091},[2007,2008,2009,2010],[1870,4093,4095],{"className":4094},[1974,2010],[1870,4096,4098],{"className":4097},[1974,2017,2010],[1870,4099,1903],{"className":4100},[1974,2010],[1870,4102],{"className":4103,"style":2025},[2024],[1870,4105,1907],{"className":4106},[2029],[1870,4108],{"className":4109,"style":2025},[2024],[1870,4111,4113,4116,4151,4154,4157],{"className":4112},[1965],[1870,4114],{"className":4115,"style":2039},[1969],[1870,4117,4119,4122],{"className":4118},[1974],[1870,4120,1899],{"className":4121,"style":1979},[1974,1978],[1870,4123,4125],{"className":4124},[1983],[1870,4126,4128],{"className":4127},[1987],[1870,4129,4131],{"className":4130},[1991],[1870,4132,4134],{"className":4133,"style":2058},[1995],[1870,4135,4136,4139],{"style":1998},[1870,4137],{"className":4138,"style":2003},[2002],[1870,4140,4142],{"className":4141},[2007,2008,2009,2010],[1870,4143,4145],{"className":4144},[1974,2010],[1870,4146,4148],{"className":4147},[1974,2017,2010],[1870,4149,1914],{"className":4150},[1974,2010],[1870,4152],{"className":4153,"style":2079},[2024],[1870,4155,1917],{"className":4156},[2083],[1870,4158],{"className":4159,"style":2079},[2024],[1870,4161,4163,4167,4170,4173,4176,4179],{"className":4162},[1965],[1870,4164],{"className":4165,"style":4166},[1969],"height:0.8889em;vertical-align:-0.1944em;",[1870,4168,4044],{"className":4169},[1974,1978],[1870,4171,1927],{"className":4172,"style":2105},[1974,1978],[1870,4174],{"className":4175,"style":2079},[2024],[1870,4177,1917],{"className":4178},[2083],[1870,4180],{"className":4181,"style":2079},[2024],[1870,4183,4185,4188,4191],{"className":4184},[1965],[1870,4186],{"className":4187,"style":2180},[1969],[1870,4189,4051],{"className":4190},[1974,1978],[1870,4192,1931],{"className":4193},[2109],[4195,4196],"br",{},"其中：",[1821,4199,4200,4231,4286],{},[1800,4201,4202,4230],{},[1870,4203,4205,4218],{"className":4204},[1877],[1870,4206,4208],{"className":4207},[1881],[1883,4209,4210],{"xmlns":1885},[1888,4211,4212,4216],{},[1891,4213,4214],{},[1897,4215,1927],{},[1954,4217,1927],{"encoding":1956},[1870,4219,4221],{"className":4220,"ariaHidden":1930},[1961],[1870,4222,4224,4227],{"className":4223},[1965],[1870,4225],{"className":4226,"style":2180},[1969],[1870,4228,1927],{"className":4229,"style":2105},[1974,1978]," 为净订单流（买入为正，卖出为负）；",[1800,4232,4233,4285],{},[1870,4234,4236,4254],{"className":4235},[1877],[1870,4237,4239],{"className":4238},[1881],[1883,4240,4241],{"xmlns":1885},[1888,4242,4243,4251],{},[1891,4244,4245,4247,4249],{},[1897,4246,4044],{},[1905,4248,3841],{},[2252,4250,2254],{},[1954,4252,4253],{"encoding":1956},"\\lambda > 0",[1870,4255,4257,4276],{"className":4256,"ariaHidden":1930},[1961],[1870,4258,4260,4264,4267,4270,4273],{"className":4259},[1965],[1870,4261],{"className":4262,"style":4263},[1969],"height:0.7335em;vertical-align:-0.0391em;",[1870,4265,4044],{"className":4266},[1974,1978],[1870,4268],{"className":4269,"style":2025},[2024],[1870,4271,3841],{"className":4272},[2029],[1870,4274],{"className":4275,"style":2025},[2024],[1870,4277,4279,4282],{"className":4278},[1965],[1870,4280],{"className":4281,"style":2313},[1969],[1870,4283,2254],{"className":4284},[1974]," 为流动性参数，越大表示价格对订单更敏感；",[1800,4287,4288,4317],{},[1870,4289,4291,4305],{"className":4290},[1877],[1870,4292,4294],{"className":4293},[1881],[1883,4295,4296],{"xmlns":1885},[1888,4297,4298,4302],{},[1891,4299,4300],{},[1897,4301,4051],{},[1954,4303,4304],{"encoding":1956},"\\epsilon",[1870,4306,4308],{"className":4307,"ariaHidden":1930},[1961],[1870,4309,4311,4314],{"className":4310},[1965],[1870,4312],{"className":4313,"style":2519},[1969],[1870,4315,4051],{"className":4316},[1974,1978]," 为其他噪声成分。",[1793,4319,4320,4321,4328],{},"在多期设定中，可以区分",[1837,4322,4323,4324,4327],{},"临时冲击（temporary impact）",[1837,4325,4326],{},"和","永久冲击（permanent impact）","：",[1821,4330,4331,4334],{},[1800,4332,4333],{},"临时冲击影响当前成交价格，但在后续价格中逐渐消失；",[1800,4335,4336],{},"永久冲击则改变“公平价格”的轨迹。",[1793,4338,4339],{},"在更加工程化的 Almgren–Chriss 模型中，常写作：",[1821,4341,4342,4854],{},[1800,4343,4344,4345,4650,2154,4652,4722,4723,4793,4794,4823,4824,4853],{},"执行价格：",[1870,4346,4348],{"className":4347},[1873],[1870,4349,4351,4403],{"className":4350},[1877],[1870,4352,4354],{"className":4353},[1881],[1883,4355,4356],{"xmlns":1885,"display":1886},[1888,4357,4358,4400],{},[1891,4359,4360,4369,4371,4378,4380,4383,4389,4391,4398],{},[2809,4361,4362,4364,4367],{},[1897,4363,1899],{},[1897,4365,4366],{},"t",[1901,4368,1903],{},[1905,4370,1907],{},[3251,4372,4373,4376],{},[1897,4374,4375],{},"S",[1897,4377,4366],{},[1905,4379,1917],{},[1897,4381,4382],{},"η",[3251,4384,4385,4387],{},[1897,4386,3460],{},[1897,4388,4366],{},[1905,4390,1917],{},[3251,4392,4393,4396],{},[1897,4394,4395],{},"ξ",[1897,4397,4366],{},[1905,4399,1931],{"separator":1930},[1954,4401,4402],{"encoding":1956},"P^{\\text{exec}}_t = S_t + \\eta v_t + \\xi_t,",[1870,4404,4406,4481,4540,4599],{"className":4405,"ariaHidden":1930},[1961],[1870,4407,4409,4413,4472,4475,4478],{"className":4408},[1965],[1870,4410],{"className":4411,"style":4412},[1969],"height:0.9614em;vertical-align:-0.247em;",[1870,4414,4416,4419],{"className":4415},[1974],[1870,4417,1899],{"className":4418,"style":1979},[1974,1978],[1870,4420,4422],{"className":4421},[1983],[1870,4423,4425,4463],{"className":4424},[1987,2604],[1870,4426,4428,4460],{"className":4427},[1991],[1870,4429,4431,4443],{"className":4430,"style":1970},[1995],[1870,4432,4434,4437],{"style":4433},"top:-2.453em;margin-left:-0.1389em;margin-right:0.05em;",[1870,4435],{"className":4436,"style":2003},[2002],[1870,4438,4440],{"className":4439},[2007,2008,2009,2010],[1870,4441,4366],{"className":4442},[1974,1978,2010],[1870,4444,4445,4448],{"style":1998},[1870,4446],{"className":4447,"style":2003},[2002],[1870,4449,4451],{"className":4450},[2007,2008,2009,2010],[1870,4452,4454],{"className":4453},[1974,2010],[1870,4455,4457],{"className":4456},[1974,2017,2010],[1870,4458,1903],{"className":4459},[1974,2010],[1870,4461,2664],{"className":4462},[2663],[1870,4464,4466],{"className":4465},[1991],[1870,4467,4470],{"className":4468,"style":4469},[1995],"height:0.247em;",[1870,4471],{},[1870,4473],{"className":4474,"style":2025},[2024],[1870,4476,1907],{"className":4477},[2029],[1870,4479],{"className":4480,"style":2025},[2024],[1870,4482,4484,4488,4531,4534,4537],{"className":4483},[1965],[1870,4485],{"className":4486,"style":4487},[1969],"height:0.8333em;vertical-align:-0.15em;",[1870,4489,4491,4495],{"className":4490},[1974],[1870,4492,4375],{"className":4493,"style":4494},[1974,1978],"margin-right:0.0576em;",[1870,4496,4498],{"className":4497},[1983],[1870,4499,4501,4523],{"className":4500},[1987,2604],[1870,4502,4504,4520],{"className":4503},[1991],[1870,4505,4508],{"className":4506,"style":4507},[1995],"height:0.2806em;",[1870,4509,4511,4514],{"style":4510},"top:-2.55em;margin-left:-0.0576em;margin-right:0.05em;",[1870,4512],{"className":4513,"style":2003},[2002],[1870,4515,4517],{"className":4516},[2007,2008,2009,2010],[1870,4518,4366],{"className":4519},[1974,1978,2010],[1870,4521,2664],{"className":4522},[2663],[1870,4524,4526],{"className":4525},[1991],[1870,4527,4529],{"className":4528,"style":3329},[1995],[1870,4530],{},[1870,4532],{"className":4533,"style":2079},[2024],[1870,4535,1917],{"className":4536},[2083],[1870,4538],{"className":4539,"style":2079},[2024],[1870,4541,4543,4547,4550,4590,4593,4596],{"className":4542},[1965],[1870,4544],{"className":4545,"style":4546},[1969],"height:0.7778em;vertical-align:-0.1944em;",[1870,4548,4382],{"className":4549,"style":2105},[1974,1978],[1870,4551,4553,4556],{"className":4552},[1974],[1870,4554,3460],{"className":4555,"style":2105},[1974,1978],[1870,4557,4559],{"className":4558},[1983],[1870,4560,4562,4582],{"className":4561},[1987,2604],[1870,4563,4565,4579],{"className":4564},[1991],[1870,4566,4568],{"className":4567,"style":4507},[1995],[1870,4569,4570,4573],{"style":3511},[1870,4571],{"className":4572,"style":2003},[2002],[1870,4574,4576],{"className":4575},[2007,2008,2009,2010],[1870,4577,4366],{"className":4578},[1974,1978,2010],[1870,4580,2664],{"className":4581},[2663],[1870,4583,4585],{"className":4584},[1991],[1870,4586,4588],{"className":4587,"style":3329},[1995],[1870,4589],{},[1870,4591],{"className":4592,"style":2079},[2024],[1870,4594,1917],{"className":4595},[2083],[1870,4597],{"className":4598,"style":2079},[2024],[1870,4600,4602,4605,4647],{"className":4601},[1965],[1870,4603],{"className":4604,"style":4166},[1969],[1870,4606,4608,4612],{"className":4607},[1974],[1870,4609,4395],{"className":4610,"style":4611},[1974,1978],"margin-right:0.046em;",[1870,4613,4615],{"className":4614},[1983],[1870,4616,4618,4639],{"className":4617},[1987,2604],[1870,4619,4621,4636],{"className":4620},[1991],[1870,4622,4624],{"className":4623,"style":4507},[1995],[1870,4625,4627,4630],{"style":4626},"top:-2.55em;margin-left:-0.046em;margin-right:0.05em;",[1870,4628],{"className":4629,"style":2003},[2002],[1870,4631,4633],{"className":4632},[2007,2008,2009,2010],[1870,4634,4366],{"className":4635},[1974,1978,2010],[1870,4637,2664],{"className":4638},[2663],[1870,4640,4642],{"className":4641},[1991],[1870,4643,4645],{"className":4644,"style":3329},[1995],[1870,4646],{},[1870,4648,1931],{"className":4649},[2109],[4195,4651],{},[1870,4653,4655,4673],{"className":4654},[1877],[1870,4656,4658],{"className":4657},[1881],[1883,4659,4660],{"xmlns":1885},[1888,4661,4662,4670],{},[1891,4663,4664],{},[3251,4665,4666,4668],{},[1897,4667,4375],{},[1897,4669,4366],{},[1954,4671,4672],{"encoding":1956},"S_t",[1870,4674,4676],{"className":4675,"ariaHidden":1930},[1961],[1870,4677,4679,4682],{"className":4678},[1965],[1870,4680],{"className":4681,"style":4487},[1969],[1870,4683,4685,4688],{"className":4684},[1974],[1870,4686,4375],{"className":4687,"style":4494},[1974,1978],[1870,4689,4691],{"className":4690},[1983],[1870,4692,4694,4714],{"className":4693},[1987,2604],[1870,4695,4697,4711],{"className":4696},[1991],[1870,4698,4700],{"className":4699,"style":4507},[1995],[1870,4701,4702,4705],{"style":4510},[1870,4703],{"className":4704,"style":2003},[2002],[1870,4706,4708],{"className":4707},[2007,2008,2009,2010],[1870,4709,4366],{"className":4710},[1974,1978,2010],[1870,4712,2664],{"className":4713},[2663],[1870,4715,4717],{"className":4716},[1991],[1870,4718,4720],{"className":4719,"style":3329},[1995],[1870,4721],{}," 为未受冲击的基准价格，",[1870,4724,4726,4744],{"className":4725},[1877],[1870,4727,4729],{"className":4728},[1881],[1883,4730,4731],{"xmlns":1885},[1888,4732,4733,4741],{},[1891,4734,4735],{},[3251,4736,4737,4739],{},[1897,4738,3460],{},[1897,4740,4366],{},[1954,4742,4743],{"encoding":1956},"v_t",[1870,4745,4747],{"className":4746,"ariaHidden":1930},[1961],[1870,4748,4750,4753],{"className":4749},[1965],[1870,4751],{"className":4752,"style":3402},[1969],[1870,4754,4756,4759],{"className":4755},[1974],[1870,4757,3460],{"className":4758,"style":2105},[1974,1978],[1870,4760,4762],{"className":4761},[1983],[1870,4763,4765,4785],{"className":4764},[1987,2604],[1870,4766,4768,4782],{"className":4767},[1991],[1870,4769,4771],{"className":4770,"style":4507},[1995],[1870,4772,4773,4776],{"style":3511},[1870,4774],{"className":4775,"style":2003},[2002],[1870,4777,4779],{"className":4778},[2007,2008,2009,2010],[1870,4780,4366],{"className":4781},[1974,1978,2010],[1870,4783,2664],{"className":4784},[2663],[1870,4786,4788],{"className":4787},[1991],[1870,4789,4791],{"className":4790,"style":3329},[1995],[1870,4792],{}," 为在时刻 ",[1870,4795,4797,4810],{"className":4796},[1877],[1870,4798,4800],{"className":4799},[1881],[1883,4801,4802],{"xmlns":1885},[1888,4803,4804,4808],{},[1891,4805,4806],{},[1897,4807,4366],{},[1954,4809,4366],{"encoding":1956},[1870,4811,4813],{"className":4812,"ariaHidden":1930},[1961],[1870,4814,4816,4820],{"className":4815},[1965],[1870,4817],{"className":4818,"style":4819},[1969],"height:0.6151em;",[1870,4821,4366],{"className":4822},[1974,1978]," 的交易速度，",[1870,4825,4827,4841],{"className":4826},[1877],[1870,4828,4830],{"className":4829},[1881],[1883,4831,4832],{"xmlns":1885},[1888,4833,4834,4838],{},[1891,4835,4836],{},[1897,4837,4382],{},[1954,4839,4840],{"encoding":1956},"\\eta",[1870,4842,4844],{"className":4843,"ariaHidden":1930},[1961],[1870,4845,4847,4850],{"className":4846},[1965],[1870,4848],{"className":4849,"style":2180},[1969],[1870,4851,4382],{"className":4852,"style":2105},[1974,1978]," 为临时冲击系数。",[1800,4855,4856,4857,5162,2154,5164,5193,5194,5269],{},"价格演化：",[1870,4858,4860],{"className":4859},[1873],[1870,4861,4863,4923],{"className":4862},[1877],[1870,4864,4866],{"className":4865},[1881],[1883,4867,4868],{"xmlns":1885,"display":1886},[1888,4869,4870,4920],{},[1891,4871,4872,4884,4886,4892,4894,4897,4900,4907,4909,4912,4918],{},[3251,4873,4874,4876],{},[1897,4875,4375],{},[1891,4877,4878,4880,4882],{},[1897,4879,4366],{},[1905,4881,1917],{},[2252,4883,3257],{},[1905,4885,1907],{},[3251,4887,4888,4890],{},[1897,4889,4375],{},[1897,4891,4366],{},[1905,4893,1917],{},[1897,4895,4896],{},"σ",[1897,4898,4899],{"mathvariant":2364},"Δ",[3251,4901,4902,4905],{},[1897,4903,4904],{},"W",[1897,4906,4366],{},[1905,4908,1917],{},[1897,4910,4911],{},"γ",[3251,4913,4914,4916],{},[1897,4915,3460],{},[1897,4917,4366],{},[1905,4919,1931],{"separator":1930},[1954,4921,4922],{"encoding":1956},"S_{t+1} = S_t + \\sigma \\Delta W_t + \\gamma v_t,",[1870,4924,4926,4992,5047,5109],{"className":4925,"ariaHidden":1930},[1961],[1870,4927,4929,4933,4983,4986,4989],{"className":4928},[1965],[1870,4930],{"className":4931,"style":4932},[1969],"height:0.8917em;vertical-align:-0.2083em;",[1870,4934,4936,4939],{"className":4935},[1974],[1870,4937,4375],{"className":4938,"style":4494},[1974,1978],[1870,4940,4942],{"className":4941},[1983],[1870,4943,4945,4974],{"className":4944},[1987,2604],[1870,4946,4948,4971],{"className":4947},[1991],[1870,4949,4951],{"className":4950,"style":3307},[1995],[1870,4952,4953,4956],{"style":4510},[1870,4954],{"className":4955,"style":2003},[2002],[1870,4957,4959],{"className":4958},[2007,2008,2009,2010],[1870,4960,4962,4965,4968],{"className":4961},[1974,2010],[1870,4963,4366],{"className":4964},[1974,1978,2010],[1870,4966,1917],{"className":4967},[2083,2010],[1870,4969,3257],{"className":4970},[1974,2010],[1870,4972,2664],{"className":4973},[2663],[1870,4975,4977],{"className":4976},[1991],[1870,4978,4981],{"className":4979,"style":4980},[1995],"height:0.2083em;",[1870,4982],{},[1870,4984],{"className":4985,"style":2025},[2024],[1870,4987,1907],{"className":4988},[2029],[1870,4990],{"className":4991,"style":2025},[2024],[1870,4993,4995,4998,5038,5041,5044],{"className":4994},[1965],[1870,4996],{"className":4997,"style":4487},[1969],[1870,4999,5001,5004],{"className":5000},[1974],[1870,5002,4375],{"className":5003,"style":4494},[1974,1978],[1870,5005,5007],{"className":5006},[1983],[1870,5008,5010,5030],{"className":5009},[1987,2604],[1870,5011,5013,5027],{"className":5012},[1991],[1870,5014,5016],{"className":5015,"style":4507},[1995],[1870,5017,5018,5021],{"style":4510},[1870,5019],{"className":5020,"style":2003},[2002],[1870,5022,5024],{"className":5023},[2007,2008,2009,2010],[1870,5025,4366],{"className":5026},[1974,1978,2010],[1870,5028,2664],{"className":5029},[2663],[1870,5031,5033],{"className":5032},[1991],[1870,5034,5036],{"className":5035,"style":3329},[1995],[1870,5037],{},[1870,5039],{"className":5040,"style":2079},[2024],[1870,5042,1917],{"className":5043},[2083],[1870,5045],{"className":5046,"style":2079},[2024],[1870,5048,5050,5053,5056,5059,5100,5103,5106],{"className":5049},[1965],[1870,5051],{"className":5052,"style":4487},[1969],[1870,5054,4896],{"className":5055,"style":2105},[1974,1978],[1870,5057,4899],{"className":5058},[1974],[1870,5060,5062,5065],{"className":5061},[1974],[1870,5063,4904],{"className":5064,"style":1979},[1974,1978],[1870,5066,5068],{"className":5067},[1983],[1870,5069,5071,5092],{"className":5070},[1987,2604],[1870,5072,5074,5089],{"className":5073},[1991],[1870,5075,5077],{"className":5076,"style":4507},[1995],[1870,5078,5080,5083],{"style":5079},"top:-2.55em;margin-left:-0.1389em;margin-right:0.05em;",[1870,5081],{"className":5082,"style":2003},[2002],[1870,5084,5086],{"className":5085},[2007,2008,2009,2010],[1870,5087,4366],{"className":5088},[1974,1978,2010],[1870,5090,2664],{"className":5091},[2663],[1870,5093,5095],{"className":5094},[1991],[1870,5096,5098],{"className":5097,"style":3329},[1995],[1870,5099],{},[1870,5101],{"className":5102,"style":2079},[2024],[1870,5104,1917],{"className":5105},[2083],[1870,5107],{"className":5108,"style":2079},[2024],[1870,5110,5112,5115,5119,5159],{"className":5111},[1965],[1870,5113],{"className":5114,"style":2180},[1969],[1870,5116,4911],{"className":5117,"style":5118},[1974,1978],"margin-right:0.0556em;",[1870,5120,5122,5125],{"className":5121},[1974],[1870,5123,3460],{"className":5124,"style":2105},[1974,1978],[1870,5126,5128],{"className":5127},[1983],[1870,5129,5131,5151],{"className":5130},[1987,2604],[1870,5132,5134,5148],{"className":5133},[1991],[1870,5135,5137],{"className":5136,"style":4507},[1995],[1870,5138,5139,5142],{"style":3511},[1870,5140],{"className":5141,"style":2003},[2002],[1870,5143,5145],{"className":5144},[2007,2008,2009,2010],[1870,5146,4366],{"className":5147},[1974,1978,2010],[1870,5149,2664],{"className":5150},[2663],[1870,5152,5154],{"className":5153},[1991],[1870,5155,5157],{"className":5156,"style":3329},[1995],[1870,5158],{},[1870,5160,1931],{"className":5161},[2109],[4195,5163],{},[1870,5165,5167,5181],{"className":5166},[1877],[1870,5168,5170],{"className":5169},[1881],[1883,5171,5172],{"xmlns":1885},[1888,5173,5174,5178],{},[1891,5175,5176],{},[1897,5177,4911],{},[1954,5179,5180],{"encoding":1956},"\\gamma",[1870,5182,5184],{"className":5183,"ariaHidden":1930},[1961],[1870,5185,5187,5190],{"className":5186},[1965],[1870,5188],{"className":5189,"style":2180},[1969],[1870,5191,4911],{"className":5192,"style":5118},[1974,1978]," 控制永久冲击，",[1870,5195,5197,5217],{"className":5196},[1877],[1870,5198,5200],{"className":5199},[1881],[1883,5201,5202],{"xmlns":1885},[1888,5203,5204,5214],{},[1891,5205,5206,5208],{},[1897,5207,4899],{"mathvariant":2364},[3251,5209,5210,5212],{},[1897,5211,4904],{},[1897,5213,4366],{},[1954,5215,5216],{"encoding":1956},"\\Delta W_t",[1870,5218,5220],{"className":5219,"ariaHidden":1930},[1961],[1870,5221,5223,5226,5229],{"className":5222},[1965],[1870,5224],{"className":5225,"style":4487},[1969],[1870,5227,4899],{"className":5228},[1974],[1870,5230,5232,5235],{"className":5231},[1974],[1870,5233,4904],{"className":5234,"style":1979},[1974,1978],[1870,5236,5238],{"className":5237},[1983],[1870,5239,5241,5261],{"className":5240},[1987,2604],[1870,5242,5244,5258],{"className":5243},[1991],[1870,5245,5247],{"className":5246,"style":4507},[1995],[1870,5248,5249,5252],{"style":5079},[1870,5250],{"className":5251,"style":2003},[2002],[1870,5253,5255],{"className":5254},[2007,2008,2009,2010],[1870,5256,4366],{"className":5257},[1974,1978,2010],[1870,5259,2664],{"className":5260},[2663],[1870,5262,5264],{"className":5263},[1991],[1870,5265,5267],{"className":5266,"style":3329},[1995],[1870,5268],{}," 是布朗运动增量（或其离散近似）。",[1793,5271,5272,5273,5355,5356,5438],{},"在离散时间、有限交易窗口 ",[1870,5274,5276,5303],{"className":5275},[1877],[1870,5277,5279],{"className":5278},[1881],[1883,5280,5281],{"xmlns":1885},[1888,5282,5283,5300],{},[1891,5284,5285,5287,5289,5291,5293,5295,5297],{},[1897,5286,4366],{},[1905,5288,1907],{},[2252,5290,2254],{},[1905,5292,1931],{"separator":1930},[1905,5294,1944],{},[1905,5296,1931],{"separator":1930},[1897,5298,5299],{},"T",[1954,5301,5302],{"encoding":1956},"t=0,\\dots,T",[1870,5304,5306,5324],{"className":5305,"ariaHidden":1930},[1961],[1870,5307,5309,5312,5315,5318,5321],{"className":5308},[1965],[1870,5310],{"className":5311,"style":4819},[1969],[1870,5313,4366],{"className":5314},[1974,1978],[1870,5316],{"className":5317,"style":2025},[2024],[1870,5319,1907],{"className":5320},[2029],[1870,5322],{"className":5323,"style":2025},[2024],[1870,5325,5327,5331,5334,5337,5340,5343,5346,5349,5352],{"className":5326},[1965],[1870,5328],{"className":5329,"style":5330},[1969],"height:0.8778em;vertical-align:-0.1944em;",[1870,5332,2254],{"className":5333},[1974],[1870,5335,1931],{"className":5336},[2109],[1870,5338],{"className":5339,"style":2113},[2024],[1870,5341,1944],{"className":5342},[2141],[1870,5344],{"className":5345,"style":2113},[2024],[1870,5347,1931],{"className":5348},[2109],[1870,5350],{"className":5351,"style":2113},[2024],[1870,5353,5299],{"className":5354,"style":1979},[1974,1978]," 的设定下，一个典型目标是选择交易路径 ",[1870,5357,5359,5383],{"className":5358},[1877],[1870,5360,5362],{"className":5361},[1881],[1883,5363,5364],{"xmlns":1885},[1888,5365,5366,5380],{},[1891,5367,5368,5371,5377],{},[1905,5369,5370],{"stretchy":1923},"{",[3251,5372,5373,5375],{},[1897,5374,3460],{},[1897,5376,4366],{},[1905,5378,5379],{"stretchy":1923},"}",[1954,5381,5382],{"encoding":1956},"\\{v_t\\}",[1870,5384,5386],{"className":5385,"ariaHidden":1930},[1961],[1870,5387,5389,5392,5395,5435],{"className":5388},[1965],[1870,5390],{"className":5391,"style":2093},[1969],[1870,5393,5370],{"className":5394},[2101],[1870,5396,5398,5401],{"className":5397},[1974],[1870,5399,3460],{"className":5400,"style":2105},[1974,1978],[1870,5402,5404],{"className":5403},[1983],[1870,5405,5407,5427],{"className":5406},[1987,2604],[1870,5408,5410,5424],{"className":5409},[1991],[1870,5411,5413],{"className":5412,"style":4507},[1995],[1870,5414,5415,5418],{"style":3511},[1870,5416],{"className":5417,"style":2003},[2002],[1870,5419,5421],{"className":5420},[2007,2008,2009,2010],[1870,5422,4366],{"className":5423},[1974,1978,2010],[1870,5425,2664],{"className":5426},[2663],[1870,5428,5430],{"className":5429},[1991],[1870,5431,5433],{"className":5432,"style":3329},[1995],[1870,5434],{},[1870,5436,5379],{"className":5437},[2148],"，在完成总交易量约束",[1870,5440,5442],{"className":5441},[1873],[1870,5443,5445,5484],{"className":5444},[1877],[1870,5446,5448],{"className":5447},[1881],[1883,5449,5450],{"xmlns":1885,"display":1886},[1888,5451,5452,5481],{},[1891,5453,5454,5470,5476,5478],{},[5455,5456,5457,5460,5468],"munderover",{},[1905,5458,5459],{},"∑",[1891,5461,5462,5464,5466],{},[1897,5463,4366],{},[1905,5465,1907],{},[2252,5467,2254],{},[1897,5469,5299],{},[3251,5471,5472,5474],{},[1897,5473,3460],{},[1897,5475,4366],{},[1905,5477,1907],{},[1897,5479,5480],{},"Q",[1954,5482,5483],{"encoding":1956},"\\sum_{t=0}^{T} v_t = Q",[1870,5485,5487,5623],{"className":5486,"ariaHidden":1930},[1961],[1870,5488,5490,5494,5571,5574,5614,5617,5620],{"className":5489},[1965],[1870,5491],{"className":5492,"style":5493},[1969],"height:3.0954em;vertical-align:-1.2671em;",[1870,5495,5499],{"className":5496},[5497,5498],"mop","op-limits",[1870,5500,5502,5562],{"className":5501},[1987,2604],[1870,5503,5505,5559],{"className":5504},[1991],[1870,5506,5509,5531,5544],{"className":5507,"style":5508},[1995],"height:1.8283em;",[1870,5510,5512,5516],{"style":5511},"top:-1.8829em;margin-left:0em;",[1870,5513],{"className":5514,"style":5515},[2002],"height:3.05em;",[1870,5517,5519],{"className":5518},[2007,2008,2009,2010],[1870,5520,5522,5525,5528],{"className":5521},[1974,2010],[1870,5523,4366],{"className":5524},[1974,1978,2010],[1870,5526,1907],{"className":5527},[2029,2010],[1870,5529,2254],{"className":5530},[1974,2010],[1870,5532,5534,5537],{"style":5533},"top:-3.05em;",[1870,5535],{"className":5536,"style":5515},[2002],[1870,5538,5539],{},[1870,5540,5459],{"className":5541},[5497,5542,5543],"op-symbol","large-op",[1870,5545,5547,5550],{"style":5546},"top:-4.3em;margin-left:0em;",[1870,5548],{"className":5549,"style":5515},[2002],[1870,5551,5553],{"className":5552},[2007,2008,2009,2010],[1870,5554,5556],{"className":5555},[1974,2010],[1870,5557,5299],{"className":5558,"style":1979},[1974,1978,2010],[1870,5560,2664],{"className":5561},[2663],[1870,5563,5565],{"className":5564},[1991],[1870,5566,5569],{"className":5567,"style":5568},[1995],"height:1.2671em;",[1870,5570],{},[1870,5572],{"className":5573,"style":2113},[2024],[1870,5575,5577,5580],{"className":5576},[1974],[1870,5578,3460],{"className":5579,"style":2105},[1974,1978],[1870,5581,5583],{"className":5582},[1983],[1870,5584,5586,5606],{"className":5585},[1987,2604],[1870,5587,5589,5603],{"className":5588},[1991],[1870,5590,5592],{"className":5591,"style":4507},[1995],[1870,5593,5594,5597],{"style":3511},[1870,5595],{"className":5596,"style":2003},[2002],[1870,5598,5600],{"className":5599},[2007,2008,2009,2010],[1870,5601,4366],{"className":5602},[1974,1978,2010],[1870,5604,2664],{"className":5605},[2663],[1870,5607,5609],{"className":5608},[1991],[1870,5610,5612],{"className":5611,"style":3329},[1995],[1870,5613],{},[1870,5615],{"className":5616,"style":2025},[2024],[1870,5618,1907],{"className":5619},[2029],[1870,5621],{"className":5622,"style":2025},[2024],[1870,5624,5626,5629],{"className":5625},[1965],[1870,5627],{"className":5628,"style":5330},[1969],[1870,5630,5480],{"className":5631},[1974,1978],[1793,5633,5634],{},"的前提下，最小化期望交易成本与成本方差的加权和：",[1870,5636,5638],{"className":5637},[1873],[1870,5639,5641,5740],{"className":5640},[1877],[1870,5642,5644],{"className":5643},[1881],[1883,5645,5646],{"xmlns":1885,"display":1886},[1888,5647,5648,5737],{},[1891,5649,5650,5673,5676,5680,5683,5686,5688,5690,5696,5698,5700,5703,5705,5708,5710,5713,5715,5717,5719,5721,5723,5729,5731,5733,5735],{},[5651,5652,5653,5661],"munder",{},[1891,5654,5655,5658],{},[1897,5656,5657],{},"min",[1905,5659,5660],{},"⁡",[1891,5662,5663,5665,5671],{},[1905,5664,5370],{"stretchy":1923},[3251,5666,5667,5669],{},[1897,5668,3460],{},[1897,5670,4366],{},[1905,5672,5379],{"stretchy":1923},[1901,5674,5675],{}," ",[1897,5677,5679],{"mathvariant":5678},"double-struck","E",[1905,5681,5682],{"stretchy":1923},"[",[1901,5684,5685],{},"Cost",[1905,5687,1924],{"stretchy":1923},[1905,5689,5370],{"stretchy":1923},[3251,5691,5692,5694],{},[1897,5693,3460],{},[1897,5695,4366],{},[1905,5697,5379],{"stretchy":1923},[1905,5699,1950],{"stretchy":1923},[1905,5701,5702],{"stretchy":1923},"]",[1905,5704,1917],{},[1897,5706,5707],{},"ϕ",[1901,5709,1947],{},[1897,5711,5712],{"mathvariant":2364},"Var",[1905,5714,5660],{},[1905,5716,1924],{"stretchy":1923},[1901,5718,5685],{},[1905,5720,1924],{"stretchy":1923},[1905,5722,5370],{"stretchy":1923},[3251,5724,5725,5727],{},[1897,5726,3460],{},[1897,5728,4366],{},[1905,5730,5379],{"stretchy":1923},[1905,5732,1950],{"stretchy":1923},[1905,5734,1950],{"stretchy":1923},[1905,5736,1931],{"separator":1930},[1954,5738,5739],{"encoding":1956},"\\min_{\\{v_t\\}} \\ \\mathbb{E}[\\text{Cost}(\\{v_t\\})] + \\phi \\, \\operatorname{Var}(\\text{Cost}(\\{v_t\\})),",[1870,5741,5743,5926],{"className":5742,"ariaHidden":1930},[1961],[1870,5744,5746,5750,5850,5853,5856,5860,5863,5869,5873,5913,5917,5920,5923],{"className":5745},[1965],[1870,5747],{"className":5748,"style":5749},[1969],"height:1.716em;vertical-align:-0.966em;",[1870,5751,5753],{"className":5752},[5497,5498],[1870,5754,5756,5841],{"className":5755},[1987,2604],[1870,5757,5759,5838],{"className":5758},[1991],[1870,5760,5763,5827],{"className":5761,"style":5762},[1995],"height:0.6679em;",[1870,5764,5766,5769],{"style":5765},"top:-2.309em;margin-left:0em;",[1870,5767],{"className":5768,"style":2618},[2002],[1870,5770,5772],{"className":5771},[2007,2008,2009,2010],[1870,5773,5775,5778,5824],{"className":5774},[1974,2010],[1870,5776,5370],{"className":5777},[2101,2010],[1870,5779,5781,5784],{"className":5780},[1974,2010],[1870,5782,3460],{"className":5783,"style":2105},[1974,1978,2010],[1870,5785,5787],{"className":5786},[1983],[1870,5788,5790,5815],{"className":5789},[1987,2604],[1870,5791,5793,5812],{"className":5792},[1991],[1870,5794,5797],{"className":5795,"style":5796},[1995],"height:0.2963em;",[1870,5798,5800,5804],{"style":5799},"top:-2.357em;margin-left:-0.0359em;margin-right:0.0714em;",[1870,5801],{"className":5802,"style":5803},[2002],"height:2.5em;",[1870,5805,5809],{"className":5806},[2007,5807,5808,2010],"reset-size3","size1",[1870,5810,4366],{"className":5811},[1974,1978,2010],[1870,5813,2664],{"className":5814},[2663],[1870,5816,5818],{"className":5817},[1991],[1870,5819,5822],{"className":5820,"style":5821},[1995],"height:0.143em;",[1870,5823],{},[1870,5825,5379],{"className":5826},[2148,2010],[1870,5828,5830,5833],{"style":5829},"top:-3em;",[1870,5831],{"className":5832,"style":2618},[2002],[1870,5834,5835],{},[1870,5836,5657],{"className":5837},[5497],[1870,5839,2664],{"className":5840},[2663],[1870,5842,5844],{"className":5843},[1991],[1870,5845,5848],{"className":5846,"style":5847},[1995],"height:0.966em;",[1870,5849],{},[1870,5851,5675],{"className":5852},[2024],[1870,5854],{"className":5855,"style":2113},[2024],[1870,5857,5679],{"className":5858},[1974,5859],"mathbb",[1870,5861,5682],{"className":5862},[2101],[1870,5864,5866],{"className":5865},[1974,2017],[1870,5867,5685],{"className":5868},[1974],[1870,5870,5872],{"className":5871},[2101],"({",[1870,5874,5876,5879],{"className":5875},[1974],[1870,5877,3460],{"className":5878,"style":2105},[1974,1978],[1870,5880,5882],{"className":5881},[1983],[1870,5883,5885,5905],{"className":5884},[1987,2604],[1870,5886,5888,5902],{"className":5887},[1991],[1870,5889,5891],{"className":5890,"style":4507},[1995],[1870,5892,5893,5896],{"style":3511},[1870,5894],{"className":5895,"style":2003},[2002],[1870,5897,5899],{"className":5898},[2007,2008,2009,2010],[1870,5900,4366],{"className":5901},[1974,1978,2010],[1870,5903,2664],{"className":5904},[2663],[1870,5906,5908],{"className":5907},[1991],[1870,5909,5911],{"className":5910,"style":3329},[1995],[1870,5912],{},[1870,5914,5916],{"className":5915},[2148],"})]",[1870,5918],{"className":5919,"style":2079},[2024],[1870,5921,1917],{"className":5922},[2083],[1870,5924],{"className":5925,"style":2079},[2024],[1870,5927,5929,5932,5935,5938,5941,5948,5951,5957,5960,6000,6004],{"className":5928},[1965],[1870,5930],{"className":5931,"style":2093},[1969],[1870,5933,5707],{"className":5934},[1974,1978],[1870,5936],{"className":5937,"style":2113},[2024],[1870,5939],{"className":5940,"style":2113},[2024],[1870,5942,5944],{"className":5943},[5497],[1870,5945,5712],{"className":5946},[1974,5947],"mathrm",[1870,5949,1924],{"className":5950},[2101],[1870,5952,5954],{"className":5953},[1974,2017],[1870,5955,5685],{"className":5956},[1974],[1870,5958,5872],{"className":5959},[2101],[1870,5961,5963,5966],{"className":5962},[1974],[1870,5964,3460],{"className":5965,"style":2105},[1974,1978],[1870,5967,5969],{"className":5968},[1983],[1870,5970,5972,5992],{"className":5971},[1987,2604],[1870,5973,5975,5989],{"className":5974},[1991],[1870,5976,5978],{"className":5977,"style":4507},[1995],[1870,5979,5980,5983],{"style":3511},[1870,5981],{"className":5982,"style":2003},[2002],[1870,5984,5986],{"className":5985},[2007,2008,2009,2010],[1870,5987,4366],{"className":5988},[1974,1978,2010],[1870,5990,2664],{"className":5991},[2663],[1870,5993,5995],{"className":5994},[1991],[1870,5996,5998],{"className":5997,"style":3329},[1995],[1870,5999],{},[1870,6001,6003],{"className":6002},[2148],"}))",[1870,6005,1931],{"className":6006},[2109],[1793,6008,6009],{},"这实质上是一个均值–方差型的最优控制问题。Almgren–Chriss 模型给出了在特定假设下的解析解，为实务执行算法设计提供了重要参考。",[1813,6011,6013],{"id":6012},"_4-执行策略twap-vwap-与-pov","4. 执行策略：TWAP, VWAP 与 POV",[1793,6015,6016],{},"在中低频量化策略中，常见的执行方式往往是将目标交易量在一段时间内“摊开”执行，以降低冲击和滑点。常见策略包括：",[1797,6018,6019,6130],{},[1800,6020,6021,4328,6024],{},[1837,6022,6023],{},"TWAP（Time-Weighted Average Price）",[1821,6025,6026,6127],{},[1800,6027,6028,6029,6057,6058,6086,6087,2317],{},"将总交易量 ",[1870,6030,6032,6045],{"className":6031},[1877],[1870,6033,6035],{"className":6034},[1881],[1883,6036,6037],{"xmlns":1885},[1888,6038,6039,6043],{},[1891,6040,6041],{},[1897,6042,5480],{},[1954,6044,5480],{"encoding":1956},[1870,6046,6048],{"className":6047,"ariaHidden":1930},[1961],[1870,6049,6051,6054],{"className":6050},[1965],[1870,6052],{"className":6053,"style":5330},[1969],[1870,6055,5480],{"className":6056},[1974,1978]," 在 ",[1870,6059,6061,6074],{"className":6060},[1877],[1870,6062,6064],{"className":6063},[1881],[1883,6065,6066],{"xmlns":1885},[1888,6067,6068,6072],{},[1891,6069,6070],{},[1897,6071,5299],{},[1954,6073,5299],{"encoding":1956},[1870,6075,6077],{"className":6076,"ariaHidden":1930},[1961],[1870,6078,6080,6083],{"className":6079},[1965],[1870,6081],{"className":6082,"style":2345},[1969],[1870,6084,5299],{"className":6085,"style":1979},[1974,1978]," 个时间片中平均分配，每个时间片交易 ",[1870,6088,6090,6109],{"className":6089},[1877],[1870,6091,6093],{"className":6092},[1881],[1883,6094,6095],{"xmlns":1885},[1888,6096,6097,6106],{},[1891,6098,6099,6101,6104],{},[1897,6100,5480],{},[1897,6102,6103],{"mathvariant":2364},"\u002F",[1897,6105,5299],{},[1954,6107,6108],{"encoding":1956},"Q\u002FT",[1870,6110,6112],{"className":6111,"ariaHidden":1930},[1961],[1870,6113,6115,6118,6121,6124],{"className":6114},[1965],[1870,6116],{"className":6117,"style":2093},[1969],[1870,6119,5480],{"className":6120},[1974,1978],[1870,6122,6103],{"className":6123},[1974],[1870,6125,5299],{"className":6126,"style":1979},[1974,1978],[1800,6128,6129],{},"不考虑市场成交量的时间分布，适合流动性较为均匀的品种。",[1800,6131,6132,4328,6135],{},[1837,6133,6134],{},"VWAP（Volume-Weighted Average Price）",[1821,6136,6137,6140,6143],{},[1800,6138,6139],{},"按照历史或实时的成交量曲线，将交易量分配到不同时间段；",[1800,6141,6142],{},"在市场活跃时多交易，在冷清时少交易；",[1800,6144,6145],{},"目标是使平均成交价格尽量接近市场的成交量加权平均价：",[1870,6147,6149],{"className":6148},[1873],[1870,6150,6152,6208],{"className":6151},[1877],[1870,6153,6155],{"className":6154},[1881],[1883,6156,6157],{"xmlns":1885,"display":1886},[1888,6158,6159,6205],{},[1891,6160,6161,6164,6166,6203],{},[1901,6162,6163],{},"VWAP",[1905,6165,1907],{},[2547,6167,6168,6189],{},[1891,6169,6170,6176,6182],{},[5651,6171,6172,6174],{},[1905,6173,5459],{},[1897,6175,4366],{},[3251,6177,6178,6180],{},[1897,6179,1899],{},[1897,6181,4366],{},[3251,6183,6184,6187],{},[1897,6185,6186],{},"V",[1897,6188,4366],{},[1891,6190,6191,6197],{},[5651,6192,6193,6195],{},[1905,6194,5459],{},[1897,6196,4366],{},[3251,6198,6199,6201],{},[1897,6200,6186],{},[1897,6202,4366],{},[1905,6204,1931],{"separator":1930},[1954,6206,6207],{"encoding":1956},"\\text{VWAP} = \\frac{\\sum_t P_t V_t}{\\sum_t V_t},",[1870,6209,6211,6232],{"className":6210,"ariaHidden":1930},[1961],[1870,6212,6214,6217,6223,6226,6229],{"className":6213},[1965],[1870,6215],{"className":6216,"style":2345},[1969],[1870,6218,6220],{"className":6219},[1974,2017],[1870,6221,6163],{"className":6222},[1974],[1870,6224],{"className":6225,"style":2025},[2024],[1870,6227,1907],{"className":6228},[2029],[1870,6230],{"className":6231,"style":2025},[2024],[1870,6233,6235,6239,6510],{"className":6234},[1965],[1870,6236],{"className":6237,"style":6238},[1969],"height:2.4254em;vertical-align:-0.9857em;",[1870,6240,6242,6245,6507],{"className":6241},[1974],[1870,6243],{"className":6244},[2101,2597],[1870,6246,6248],{"className":6247},[2547],[1870,6249,6251,6498],{"className":6250},[1987,2604],[1870,6252,6254,6495],{"className":6253},[1991],[1870,6255,6258,6355,6363],{"className":6256,"style":6257},[1995],"height:1.4397em;",[1870,6259,6260,6263],{"style":2947},[1870,6261],{"className":6262,"style":2618},[2002],[1870,6264,6266,6311,6314],{"className":6265},[1974],[1870,6267,6269,6274],{"className":6268},[5497],[1870,6270,5459],{"className":6271,"style":6273},[5497,5542,6272],"small-op","position:relative;top:0em;",[1870,6275,6277],{"className":6276},[1983],[1870,6278,6280,6302],{"className":6279},[1987,2604],[1870,6281,6283,6299],{"className":6282},[1991],[1870,6284,6287],{"className":6285,"style":6286},[1995],"height:0.1308em;",[1870,6288,6290,6293],{"style":6289},"top:-2.4003em;margin-left:0em;margin-right:0.05em;",[1870,6291],{"className":6292,"style":2003},[2002],[1870,6294,6296],{"className":6295},[2007,2008,2009,2010],[1870,6297,4366],{"className":6298},[1974,1978,2010],[1870,6300,2664],{"className":6301},[2663],[1870,6303,6305],{"className":6304},[1991],[1870,6306,6309],{"className":6307,"style":6308},[1995],"height:0.2997em;",[1870,6310],{},[1870,6312],{"className":6313,"style":2113},[2024],[1870,6315,6317,6320],{"className":6316},[1974],[1870,6318,6186],{"className":6319,"style":2079},[1974,1978],[1870,6321,6323],{"className":6322},[1983],[1870,6324,6326,6347],{"className":6325},[1987,2604],[1870,6327,6329,6344],{"className":6328},[1991],[1870,6330,6332],{"className":6331,"style":4507},[1995],[1870,6333,6335,6338],{"style":6334},"top:-2.55em;margin-left:-0.2222em;margin-right:0.05em;",[1870,6336],{"className":6337,"style":2003},[2002],[1870,6339,6341],{"className":6340},[2007,2008,2009,2010],[1870,6342,4366],{"className":6343},[1974,1978,2010],[1870,6345,2664],{"className":6346},[2663],[1870,6348,6350],{"className":6349},[1991],[1870,6351,6353],{"className":6352,"style":3329},[1995],[1870,6354],{},[1870,6356,6357,6360],{"style":2630},[1870,6358],{"className":6359,"style":2618},[2002],[1870,6361],{"className":6362,"style":2638},[2637],[1870,6364,6366,6369],{"style":6365},"top:-3.6897em;",[1870,6367],{"className":6368,"style":2618},[2002],[1870,6370,6372,6412,6415,6455],{"className":6371},[1974],[1870,6373,6375,6378],{"className":6374},[5497],[1870,6376,5459],{"className":6377,"style":6273},[5497,5542,6272],[1870,6379,6381],{"className":6380},[1983],[1870,6382,6384,6404],{"className":6383},[1987,2604],[1870,6385,6387,6401],{"className":6386},[1991],[1870,6388,6390],{"className":6389,"style":6286},[1995],[1870,6391,6392,6395],{"style":6289},[1870,6393],{"className":6394,"style":2003},[2002],[1870,6396,6398],{"className":6397},[2007,2008,2009,2010],[1870,6399,4366],{"className":6400},[1974,1978,2010],[1870,6402,2664],{"className":6403},[2663],[1870,6405,6407],{"className":6406},[1991],[1870,6408,6410],{"className":6409,"style":6308},[1995],[1870,6411],{},[1870,6413],{"className":6414,"style":2113},[2024],[1870,6416,6418,6421],{"className":6417},[1974],[1870,6419,1899],{"className":6420,"style":1979},[1974,1978],[1870,6422,6424],{"className":6423},[1983],[1870,6425,6427,6447],{"className":6426},[1987,2604],[1870,6428,6430,6444],{"className":6429},[1991],[1870,6431,6433],{"className":6432,"style":4507},[1995],[1870,6434,6435,6438],{"style":5079},[1870,6436],{"className":6437,"style":2003},[2002],[1870,6439,6441],{"className":6440},[2007,2008,2009,2010],[1870,6442,4366],{"className":6443},[1974,1978,2010],[1870,6445,2664],{"className":6446},[2663],[1870,6448,6450],{"className":6449},[1991],[1870,6451,6453],{"className":6452,"style":3329},[1995],[1870,6454],{},[1870,6456,6458,6461],{"className":6457},[1974],[1870,6459,6186],{"className":6460,"style":2079},[1974,1978],[1870,6462,6464],{"className":6463},[1983],[1870,6465,6467,6487],{"className":6466},[1987,2604],[1870,6468,6470,6484],{"className":6469},[1991],[1870,6471,6473],{"className":6472,"style":4507},[1995],[1870,6474,6475,6478],{"style":6334},[1870,6476],{"className":6477,"style":2003},[2002],[1870,6479,6481],{"className":6480},[2007,2008,2009,2010],[1870,6482,4366],{"className":6483},[1974,1978,2010],[1870,6485,2664],{"className":6486},[2663],[1870,6488,6490],{"className":6489},[1991],[1870,6491,6493],{"className":6492,"style":3329},[1995],[1870,6494],{},[1870,6496,2664],{"className":6497},[2663],[1870,6499,6501],{"className":6500},[1991],[1870,6502,6505],{"className":6503,"style":6504},[1995],"height:0.9857em;",[1870,6506],{},[1870,6508],{"className":6509},[2148,2597],[1870,6511,1931],{"className":6512},[2109],[6514,6515,6519],"pre",{"className":6516,"code":6518,"language":2017},[6517],"language-text"," 其中 $P_t$ 为成交价格，$V_t$ 为对应成交量。\n",[6520,6521,6518],"code",{"__ignoreMap":10},[1793,6523,6524,6525,4328],{},"3. ",[1837,6526,6527],{},"POV（Participation of Volume）",[1821,6529,6530,6593,6654],{},[1800,6531,6532,6533,6563,6564,6592],{},"设定一个参与率 ",[1870,6534,6536,6551],{"className":6535},[1877],[1870,6537,6539],{"className":6538},[1881],[1883,6540,6541],{"xmlns":1885},[1888,6542,6543,6548],{},[1891,6544,6545],{},[1897,6546,6547],{},"ρ",[1954,6549,6550],{"encoding":1956},"\\rho",[1870,6552,6554],{"className":6553,"ariaHidden":1930},[1961],[1870,6555,6557,6560],{"className":6556},[1965],[1870,6558],{"className":6559,"style":2180},[1969],[1870,6561,6547],{"className":6562},[1974,1978],"，在每个时间片中交易约 ",[1870,6565,6567,6580],{"className":6566},[1877],[1870,6568,6570],{"className":6569},[1881],[1883,6571,6572],{"xmlns":1885},[1888,6573,6574,6578],{},[1891,6575,6576],{},[1897,6577,6547],{},[1954,6579,6550],{"encoding":1956},[1870,6581,6583],{"className":6582,"ariaHidden":1930},[1961],[1870,6584,6586,6589],{"className":6585},[1965],[1870,6587],{"className":6588,"style":2180},[1969],[1870,6590,6547],{"className":6591},[1974,1978]," 倍的市场成交量；",[1800,6594,6595,6596,6653],{},"例如，",[1870,6597,6599,6621],{"className":6598},[1877],[1870,6600,6602],{"className":6601},[1881],[1883,6603,6604],{"xmlns":1885},[1888,6605,6606,6618],{},[1891,6607,6608,6610,6612,6615],{},[1897,6609,6547],{},[1905,6611,1907],{},[2252,6613,6614],{},"10",[1897,6616,6617],{"mathvariant":2364},"%",[1954,6619,6620],{"encoding":1956},"\\rho = 10\\%",[1870,6622,6624,6642],{"className":6623,"ariaHidden":1930},[1961],[1870,6625,6627,6630,6633,6636,6639],{"className":6626},[1965],[1870,6628],{"className":6629,"style":2180},[1969],[1870,6631,6547],{"className":6632},[1974,1978],[1870,6634],{"className":6635,"style":2025},[2024],[1870,6637,1907],{"className":6638},[2029],[1870,6640],{"className":6641,"style":2025},[2024],[1870,6643,6645,6649],{"className":6644},[1965],[1870,6646],{"className":6647,"style":6648},[1969],"height:0.8056em;vertical-align:-0.0556em;",[1870,6650,6652],{"className":6651},[1974],"10%"," 表示“占当期市场成交量的 10%”；",[1800,6655,6656],{},"对流动性变化有自适应性，但如果市场整体成交量极低，则可能导致执行不充分。",[1793,6658,6659],{},"在更高频和更复杂的环境中，执行策略还会考虑盘口结构、短期预测信号、对冲需求等，但上述三类已经足以覆盖多数日内执行任务的基本思想。",[1813,6661,6663],{"id":6662},"_5-在回测中嵌入执行模型","5. 在回测中嵌入执行模型",[1793,6665,6666],{},"对于一个已经在日度或分钟级别上设计好的交易策略，我们通常需要在回测中“嵌入”一个简化的执行模型，以评估更现实的绩效：",[1797,6668,6669,6679,6689,7055],{},[1800,6670,6671,1840,6674],{},[1837,6672,6673],{},"选择参考价格",[1821,6675,6676],{},[1800,6677,6678],{},"例如下一根 bar 的开盘价、收盘价，或高低价的某种组合；",[1800,6680,6681,1840,6684],{},[1837,6682,6683],{},"加上基础成本",[1821,6685,6686],{},[1800,6687,6688],{},"佣金 + 税费 + 半个价差；",[1800,6690,6691,1840,6694],{},[1837,6692,6693],{},"加上冲击成本",[1821,6695,6696],{},[1800,6697,6698,6699,6977,2154,6979,7011,7012,7054],{},"根据交易量占当期成交量的比例，使用线性或非线性函数估算冲击：",[1870,6700,6702],{"className":6701},[1873],[1870,6703,6705,6761],{"className":6704},[1877],[1870,6706,6708],{"className":6707},[1881],[1883,6709,6710],{"xmlns":1885,"display":1886},[1888,6711,6712,6758],{},[1891,6713,6714,6721,6723,6725,6727,6729,6732,6756],{},[3251,6715,6716,6718],{},[1897,6717,1920],{},[1901,6719,6720],{},"impact",[1905,6722,1924],{"stretchy":1923},[1897,6724,1927],{},[1905,6726,1950],{"stretchy":1923},[1905,6728,1907],{},[1897,6730,6731],{},"k",[1894,6733,6734,6753],{},[1891,6735,6736,6738,6751],{},[1905,6737,1924],{"fence":1930},[2547,6739,6740,6748],{},[1891,6741,6742,6744,6746],{},[1897,6743,2365],{"mathvariant":2364},[1897,6745,1927],{},[1897,6747,2365],{"mathvariant":2364},[1901,6749,6750],{},"ADV",[1905,6752,1950],{"fence":1930},[1897,6754,6755],{},"α",[1905,6757,1931],{"separator":1930},[1954,6759,6760],{"encoding":1956},"C_{\\text{impact}}(q) = k \\left( \\frac{|q|}{\\text{ADV}} \\right)^\\alpha,",[1870,6762,6764,6838],{"className":6763,"ariaHidden":1930},[1961],[1870,6765,6767,6771,6820,6823,6826,6829,6832,6835],{"className":6766},[1965],[1870,6768],{"className":6769,"style":6770},[1969],"height:1.0361em;vertical-align:-0.2861em;",[1870,6772,6774,6777],{"className":6773},[1974],[1870,6775,1920],{"className":6776,"style":2097},[1974,1978],[1870,6778,6780],{"className":6779},[1983],[1870,6781,6783,6811],{"className":6782},[1987,2604],[1870,6784,6786,6808],{"className":6785},[1991],[1870,6787,6790],{"className":6788,"style":6789},[1995],"height:0.3175em;",[1870,6791,6793,6796],{"style":6792},"top:-2.55em;margin-left:-0.0715em;margin-right:0.05em;",[1870,6794],{"className":6795,"style":2003},[2002],[1870,6797,6799],{"className":6798},[2007,2008,2009,2010],[1870,6800,6802],{"className":6801},[1974,2010],[1870,6803,6805],{"className":6804},[1974,2017,2010],[1870,6806,6720],{"className":6807},[1974,2010],[1870,6809,2664],{"className":6810},[2663],[1870,6812,6814],{"className":6813},[1991],[1870,6815,6818],{"className":6816,"style":6817},[1995],"height:0.2861em;",[1870,6819],{},[1870,6821,1924],{"className":6822},[2101],[1870,6824,1927],{"className":6825,"style":2105},[1974,1978],[1870,6827,1950],{"className":6828},[2148],[1870,6830],{"className":6831,"style":2025},[2024],[1870,6833,1907],{"className":6834},[2029],[1870,6836],{"className":6837,"style":2025},[2024],[1870,6839,6841,6845,6849,6852,6971,6974],{"className":6840},[1965],[1870,6842],{"className":6843,"style":6844},[1969],"height:2.4543em;vertical-align:-0.95em;",[1870,6846,6731],{"className":6847,"style":6848},[1974,1978],"margin-right:0.0315em;",[1870,6850],{"className":6851,"style":2113},[2024],[1870,6853,6855,6945],{"className":6854},[2141],[1870,6856,6858,6867,6939],{"className":6857},[2141],[1870,6859,6863],{"className":6860,"style":6862},[2101,6861],"delimcenter","top:0em;",[1870,6864,1924],{"className":6865},[6866,2009],"delimsizing",[1870,6868,6870,6873,6936],{"className":6869},[1974],[1870,6871],{"className":6872},[2101,2597],[1870,6874,6876],{"className":6875},[2547],[1870,6877,6879,6928],{"className":6878},[1987,2604],[1870,6880,6882,6925],{"className":6881},[1991],[1870,6883,6886,6900,6908],{"className":6884,"style":6885},[1995],"height:1.427em;",[1870,6887,6888,6891],{"style":2947},[1870,6889],{"className":6890,"style":2618},[2002],[1870,6892,6894],{"className":6893},[1974],[1870,6895,6897],{"className":6896},[1974,2017],[1870,6898,6750],{"className":6899},[1974],[1870,6901,6902,6905],{"style":2630},[1870,6903],{"className":6904,"style":2618},[2002],[1870,6906],{"className":6907,"style":2638},[2637],[1870,6909,6910,6913],{"style":2967},[1870,6911],{"className":6912,"style":2618},[2002],[1870,6914,6916,6919,6922],{"className":6915},[1974],[1870,6917,2365],{"className":6918},[1974],[1870,6920,1927],{"className":6921,"style":2105},[1974,1978],[1870,6923,2365],{"className":6924},[1974],[1870,6926,2664],{"className":6927},[2663],[1870,6929,6931],{"className":6930},[1991],[1870,6932,6934],{"className":6933,"style":2986},[1995],[1870,6935],{},[1870,6937],{"className":6938},[2148,2597],[1870,6940,6942],{"className":6941,"style":6862},[2148,6861],[1870,6943,1950],{"className":6944},[6866,2009],[1870,6946,6948],{"className":6947},[1983],[1870,6949,6951],{"className":6950},[1987],[1870,6952,6954],{"className":6953},[1991],[1870,6955,6958],{"className":6956,"style":6957},[1995],"height:1.5043em;",[1870,6959,6961,6964],{"style":6960},"top:-3.9029em;margin-right:0.05em;",[1870,6962],{"className":6963,"style":2003},[2002],[1870,6965,6967],{"className":6966},[2007,2008,2009,2010],[1870,6968,6755],{"className":6969,"style":6970},[1974,1978,2010],"margin-right:0.0037em;",[1870,6972],{"className":6973,"style":2113},[2024],[1870,6975,1931],{"className":6976},[2109],[4195,6978],{},[1870,6980,6982,6996],{"className":6981},[1877],[1870,6983,6985],{"className":6984},[1881],[1883,6986,6987],{"xmlns":1885},[1888,6988,6989,6993],{},[1891,6990,6991],{},[1901,6992,6750],{},[1954,6994,6995],{"encoding":1956},"\\text{ADV}",[1870,6997,6999],{"className":6998,"ariaHidden":1930},[1961],[1870,7000,7002,7005],{"className":7001},[1965],[1870,7003],{"className":7004,"style":2345},[1969],[1870,7006,7008],{"className":7007},[1974,2017],[1870,7009,6750],{"className":7010},[1974]," 为平均日成交量，",[1870,7013,7015,7033],{"className":7014},[1877],[1870,7016,7018],{"className":7017},[1881],[1883,7019,7020],{"xmlns":1885},[1888,7021,7022,7030],{},[1891,7023,7024,7026,7028],{},[1897,7025,6731],{},[1905,7027,1931],{"separator":1930},[1897,7029,6755],{},[1954,7031,7032],{"encoding":1956},"k, \\alpha",[1870,7034,7036],{"className":7035,"ariaHidden":1930},[1961],[1870,7037,7039,7042,7045,7048,7051],{"className":7038},[1965],[1870,7040],{"className":7041,"style":4166},[1969],[1870,7043,6731],{"className":7044,"style":6848},[1974,1978],[1870,7046,1931],{"className":7047},[2109],[1870,7049],{"className":7050,"style":2113},[2024],[1870,7052,6755],{"className":7053,"style":6970},[1974,1978]," 为经验\u002F估计参数；",[1800,7056,7057,1840,7060],{},[1837,7058,7059],{},"更新组合净值",[1821,7061,7062],{},[1800,7063,7064],{},"将执行价格与成本综合考虑，得到更“保守”的实际收益率。",[1793,7066,7067],{},"在研究导向的环境中，常见做法是：",[1821,7069,7070,7073,7076],{},[1800,7071,7072],{},"先用“理想成交价”（无成本）得到一个“上界”表现；",[1800,7074,7075],{},"再用“保守的成交模型”加入成本，得到更现实的表现区间；",[1800,7077,7078],{},"对策略的稳健性进行敏感性分析：当成本参数变化时，策略是否仍然有吸引力？",[1813,7080,7082],{"id":7081},"_6-微结构视角下的价格与信息","6. 微结构视角下的价格与信息",[1793,7084,7085],{},"市场微结构研究关注的是“在存在不同类型交易者、信息不对称、订单驱动机制时，价格是如何形成和演化的”。经典文献包括 Kyle (1985)、Glosten & Milgrom (1985)、Hasbrouck (1991) 等。",[1793,7087,7088],{},"在最简化的 Kyle 模型中：",[1821,7090,7091,7094],{},[1800,7092,7093],{},"存在信息交易者（有关于资产真实价值的私人信息）、噪声交易者和做市商；",[1800,7095,7096,7097,7125,7126,7253,2154,7255,7284],{},"做市商根据观察到的净订单流 ",[1870,7098,7100,7113],{"className":7099},[1877],[1870,7101,7103],{"className":7102},[1881],[1883,7104,7105],{"xmlns":1885},[1888,7106,7107,7111],{},[1891,7108,7109],{},[1897,7110,1927],{},[1954,7112,1927],{"encoding":1956},[1870,7114,7116],{"className":7115,"ariaHidden":1930},[1961],[1870,7117,7119,7122],{"className":7118},[1965],[1870,7120],{"className":7121,"style":2180},[1969],[1870,7123,1927],{"className":7124,"style":2105},[1974,1978]," 来更新对资产价值的估计，设置价格为：",[1870,7127,7129],{"className":7128},[1873],[1870,7130,7132,7162],{"className":7131},[1877],[1870,7133,7135],{"className":7134},[1881],[1883,7136,7137],{"xmlns":1885,"display":1886},[1888,7138,7139,7159],{},[1891,7140,7141,7143,7145,7151,7153,7155,7157],{},[1897,7142,1899],{},[1905,7144,1907],{},[3251,7146,7147,7149],{},[1897,7148,1899],{},[2252,7150,2254],{},[1905,7152,1917],{},[1897,7154,4044],{},[1897,7156,1927],{},[1905,7158,1931],{"separator":1930},[1954,7160,7161],{"encoding":1956},"P = P_0 + \\lambda q,",[1870,7163,7165,7183,7238],{"className":7164,"ariaHidden":1930},[1961],[1870,7166,7168,7171,7174,7177,7180],{"className":7167},[1965],[1870,7169],{"className":7170,"style":2345},[1969],[1870,7172,1899],{"className":7173,"style":1979},[1974,1978],[1870,7175],{"className":7176,"style":2025},[2024],[1870,7178,1907],{"className":7179},[2029],[1870,7181],{"className":7182,"style":2025},[2024],[1870,7184,7186,7189,7229,7232,7235],{"className":7185},[1965],[1870,7187],{"className":7188,"style":4487},[1969],[1870,7190,7192,7195],{"className":7191},[1974],[1870,7193,1899],{"className":7194,"style":1979},[1974,1978],[1870,7196,7198],{"className":7197},[1983],[1870,7199,7201,7221],{"className":7200},[1987,2604],[1870,7202,7204,7218],{"className":7203},[1991],[1870,7205,7207],{"className":7206,"style":3307},[1995],[1870,7208,7209,7212],{"style":5079},[1870,7210],{"className":7211,"style":2003},[2002],[1870,7213,7215],{"className":7214},[2007,2008,2009,2010],[1870,7216,2254],{"className":7217},[1974,2010],[1870,7219,2664],{"className":7220},[2663],[1870,7222,7224],{"className":7223},[1991],[1870,7225,7227],{"className":7226,"style":3329},[1995],[1870,7228],{},[1870,7230],{"className":7231,"style":2079},[2024],[1870,7233,1917],{"className":7234},[2083],[1870,7236],{"className":7237,"style":2079},[2024],[1870,7239,7241,7244,7247,7250],{"className":7240},[1965],[1870,7242],{"className":7243,"style":4166},[1969],[1870,7245,4044],{"className":7246},[1974,1978],[1870,7248,1927],{"className":7249,"style":2105},[1974,1978],[1870,7251,1931],{"className":7252},[2109],[4195,7254],{},[1870,7256,7258,7272],{"className":7257},[1877],[1870,7259,7261],{"className":7260},[1881],[1883,7262,7263],{"xmlns":1885},[1888,7264,7265,7269],{},[1891,7266,7267],{},[1897,7268,4044],{},[1954,7270,7271],{"encoding":1956},"\\lambda",[1870,7273,7275],{"className":7274,"ariaHidden":1930},[1961],[1870,7276,7278,7281],{"className":7277},[1965],[1870,7279],{"className":7280,"style":2488},[1969],[1870,7282,4044],{"className":7283},[1974,1978]," 反映了市场对订单流中“信息含量”的敏感度。",[1793,7286,7287],{},"在更精细的 Glosten–Milgrom 模型中，价差可以被分解为：",[1821,7289,7290,7293],{},[1800,7291,7292],{},"补偿不对称信息风险的部分；",[1800,7294,7295],{},"补偿订单处理与库存风险的部分。",[1793,7297,7298],{},"对量化研究者而言，这一视角的启示包括：",[1821,7300,7301,7304,7307],{},[1800,7302,7303],{},"大额主动交易本身会泄露信息，引起不利价格变动；",[1800,7305,7306],{},"某些订单流模式可以被视为“信号”，与价格后续变化相关；",[1800,7308,7309],{},"在构建执行策略和高频信号时，需要区分“真正的信息订单”和“噪声订单”。",[1813,7311,7313],{"id":7312},"_7-小结与后续方向","7. 小结与后续方向",[1793,7315,7316],{},"本章仅在较高层次上将“执行”与“微结构”嵌入量化研究的视角中：",[1821,7318,7319,7322,7325,7328,7331],{},[1800,7320,7321],{},"从资产定价的无摩擦假设出发，引入价差、流动性和价格冲击；",[1800,7323,7324],{},"给出线性和非线性的成本与价格冲击模型，并通过 Almgren–Chriss 模型的形式展示“最优执行”问题的典型结构；",[1800,7326,7327],{},"介绍基础执行策略（TWAP\u002FVWAP\u002FPOV）及其适用逻辑；",[1800,7329,7330],{},"讨论如何在回测中嵌入简化执行模型；",[1800,7332,7333],{},"简要触及微结构中的信息与价格形成问题，并指出若干经典文献线索。",[1793,7335,7336],{},"后续如果需要深入，可以将以下方向拆分成更细的笔记：",[1821,7338,7339,7342,7345],{},[1800,7340,7341],{},"高频订单簿数据的统计性质与建模；",[1800,7343,7344],{},"执行算法的最优控制问题（Almgren–Chriss 等模型的细化推导）；",[1800,7346,7347],{},"算法交易与高频市场微结构实证研究（Hasbrouck 等）。",[7349,7350],"hr",{},[1813,7352,7354],{"id":7353},"_8-自学手册把目标仓位变成可成交订单","8. 自学手册：把目标仓位变成可成交订单",[2455,7356,7358],{"id":7357},"_81-学习目标","8.1 学习目标",[1793,7360,7361],{},"学完本章后，你应当能够：",[1797,7363,7364,7367,7370,7373,7376],{},[1800,7365,7366],{},"区分显性成本、价差成本、冲击成本、延迟成本和机会成本；",[1800,7368,7369],{},"解释为什么回测中的目标权重不等于真实成交持仓；",[1800,7371,7372],{},"为中低频策略选择 TWAP、VWAP 或 POV 的基本执行逻辑；",[1800,7374,7375],{},"在回测中加入半价差和成交量占比驱动的冲击成本；",[1800,7377,7378],{},"评估执行质量相对于决策价格、VWAP 或到达价格的偏离。",[2455,7380,7382],{"id":7381},"_82-生产场景","8.2 生产场景",[1793,7384,7385],{},"组合模块在月初给出一批目标交易：买入 80 只股票、卖出 75 只股票，总换手 35%。如果你直接假设“下一开盘价全部成交”，回测可能高估策略收益。执行团队实际关心：",[1821,7387,7388,7391,7394,7397,7400],{},[1800,7389,7390],{},"每个订单占该股票日均成交量的多少？",[1800,7392,7393],{},"是否会穿透盘口或触发明显价格冲击？",[1800,7395,7396],{},"用 TWAP、VWAP 还是 POV 更适合当前流动性？",[1800,7398,7399],{},"未成交部分如何处理？",[1800,7401,7402],{},"实际成交价与研究阶段假设的成交价差多少？",[2455,7404,7406],{"id":7405},"_83-定义与工作流逻辑","8.3 定义与工作流逻辑",[7408,7409,7410,7426],"table",{},[7411,7412,7413],"thead",{},[7414,7415,7416,7420,7423],"tr",{},[7417,7418,7419],"th",{},"概念",[7417,7421,7422],{},"定义",[7417,7424,7425],{},"在研究中的用法",[7427,7428,7429,7441,7452,7463,7474],"tbody",{},[7414,7430,7431,7435,7438],{},[7432,7433,7434],"td",{},"决策价格",[7432,7436,7437],{},"生成订单时的参考价格",[7432,7439,7440],{},"计算 implementation shortfall",[7414,7442,7443,7446,7449],{},[7432,7444,7445],{},"半价差",[7432,7447,7448],{},"买卖价差的一半",[7432,7450,7451],{},"中低频基础成本近似",[7414,7453,7454,7457,7460],{},[7432,7455,7456],{},"冲击成本",[7432,7458,7459],{},"本方订单推动价格的不利变动",[7432,7461,7462],{},"随订单量\u002FADV 上升",[7414,7464,7465,7468,7471],{},[7432,7466,7467],{},"参与率",[7432,7469,7470],{},"本方成交量占市场成交量比例",[7432,7472,7473],{},"控制执行速度和市场影响",[7414,7475,7476,7478,7481],{},[7432,7477,2445],{},[7432,7479,7480],{},"未成交导致错过的收益或风险暴露",[7432,7482,7483],{},"评估限价或保守执行的代价",[1793,7485,7486],{},"执行工作流可简化为：",[1797,7488,7489,7564,7567,7570,7573,7576],{},[1800,7490,7491,7492,2317],{},"从目标权重和当前持仓计算订单数量 ",[1870,7493,7495,7514],{"className":7494},[1877],[1870,7496,7498],{"className":7497},[1881],[1883,7499,7500],{"xmlns":1885},[1888,7501,7502,7511],{},[1891,7503,7504],{},[3251,7505,7506,7508],{},[1897,7507,1927],{},[1897,7509,7510],{},"i",[1954,7512,7513],{"encoding":1956},"q_i",[1870,7515,7517],{"className":7516,"ariaHidden":1930},[1961],[1870,7518,7520,7523],{"className":7519},[1965],[1870,7521],{"className":7522,"style":2180},[1969],[1870,7524,7526,7529],{"className":7525},[1974],[1870,7527,1927],{"className":7528,"style":2105},[1974,1978],[1870,7530,7532],{"className":7531},[1983],[1870,7533,7535,7556],{"className":7534},[1987,2604],[1870,7536,7538,7553],{"className":7537},[1991],[1870,7539,7542],{"className":7540,"style":7541},[1995],"height:0.3117em;",[1870,7543,7544,7547],{"style":3511},[1870,7545],{"className":7546,"style":2003},[2002],[1870,7548,7550],{"className":7549},[2007,2008,2009,2010],[1870,7551,7510],{"className":7552},[1974,1978,2010],[1870,7554,2664],{"className":7555},[2663],[1870,7557,7559],{"className":7558},[1991],[1870,7560,7562],{"className":7561,"style":3329},[1995],[1870,7563],{},[1800,7565,7566],{},"按 ADV、价差、波动率和交易限制评估每个订单的难度；",[1800,7568,7569],{},"为不同流动性层级选择执行方式；",[1800,7571,7572],{},"分片发送订单并接收成交回报；",[1800,7574,7575],{},"计算成交均价、未成交量、滑点和 shortfall；",[1800,7577,7578],{},"将实际持仓回写给组合和监控系统。",[2455,7580,7582],{"id":7581},"_84-迷你案例成本敏感性检查","8.4 迷你案例：成本敏感性检查",[1793,7584,7585],{},"某股票当前价格 20，买卖价差 0.04，计划买入 100,000 股，ADV 为 2,000,000 股。一个简化成本估计可以是：",[1821,7587,7588,7650,7754,8109],{},[1800,7589,7590,7591,7649],{},"半价差成本：",[1870,7592,7594,7618],{"className":7593},[1877],[1870,7595,7597],{"className":7596},[1881],[1883,7598,7599],{"xmlns":1885},[1888,7600,7601,7615],{},[1891,7602,7603,7606,7608,7610,7612],{},[2252,7604,7605],{},"0.04",[1897,7607,6103],{"mathvariant":2364},[2252,7609,2559],{},[1905,7611,1907],{},[2252,7613,7614],{},"0.02",[1954,7616,7617],{"encoding":1956},"0.04\u002F2=0.02",[1870,7619,7621,7640],{"className":7620,"ariaHidden":1930},[1961],[1870,7622,7624,7627,7631,7634,7637],{"className":7623},[1965],[1870,7625],{"className":7626,"style":2093},[1969],[1870,7628,7630],{"className":7629},[1974],"0.04\u002F2",[1870,7632],{"className":7633,"style":2025},[2024],[1870,7635,1907],{"className":7636},[2029],[1870,7638],{"className":7639,"style":2025},[2024],[1870,7641,7643,7646],{"className":7642},[1965],[1870,7644],{"className":7645,"style":2313},[1969],[1870,7647,7614],{"className":7648},[1974],"，占价格 10 bps；",[1800,7651,7652,7653,2317],{},"参与 ADV 比例：",[1870,7654,7656,7695],{"className":7655},[1877],[1870,7657,7659],{"className":7658},[1881],[1883,7660,7661],{"xmlns":1885},[1888,7662,7663,7692],{},[1891,7664,7665,7668,7670,7673,7675,7677,7679,7681,7683,7685,7687,7690],{},[2252,7666,7667],{},"100",[1905,7669,1931],{"separator":1930},[2252,7671,7672],{},"000",[1897,7674,6103],{"mathvariant":2364},[2252,7676,2559],{},[1905,7678,1931],{"separator":1930},[2252,7680,7672],{},[1905,7682,1931],{"separator":1930},[2252,7684,7672],{},[1905,7686,1907],{},[2252,7688,7689],{},"5",[1897,7691,6617],{"mathvariant":2364},[1954,7693,7694],{"encoding":1956},"100,000\u002F2,000,000=5\\%",[1870,7696,7698,7744],{"className":7697,"ariaHidden":1930},[1961],[1870,7699,7701,7704,7707,7710,7713,7717,7720,7723,7726,7729,7732,7735,7738,7741],{"className":7700},[1965],[1870,7702],{"className":7703,"style":2093},[1969],[1870,7705,7667],{"className":7706},[1974],[1870,7708,1931],{"className":7709},[2109],[1870,7711],{"className":7712,"style":2113},[2024],[1870,7714,7716],{"className":7715},[1974],"000\u002F2",[1870,7718,1931],{"className":7719},[2109],[1870,7721],{"className":7722,"style":2113},[2024],[1870,7724,7672],{"className":7725},[1974],[1870,7727,1931],{"className":7728},[2109],[1870,7730],{"className":7731,"style":2113},[2024],[1870,7733,7672],{"className":7734},[1974],[1870,7736],{"className":7737,"style":2025},[2024],[1870,7739,1907],{"className":7740},[2029],[1870,7742],{"className":7743,"style":2025},[2024],[1870,7745,7747,7750],{"className":7746},[1965],[1870,7748],{"className":7749,"style":6648},[1969],[1870,7751,7753],{"className":7752},[1974],"5%",[1800,7755,7756,7757,7967,7968,8108],{},"若冲击函数为 ",[1870,7758,7760,7814],{"className":7759},[1877],[1870,7761,7763],{"className":7762},[1881],[1883,7764,7765],{"xmlns":1885},[1888,7766,7767,7811],{},[1891,7768,7769,7775,7777,7780,7783,7786,7788,7790,7792,7794,7796,7799,7802,7804],{},[3251,7770,7771,7773],{},[1897,7772,1920],{},[1901,7774,6720],{},[1905,7776,1907],{},[2252,7778,7779],{},"30",[1901,7781,7782],{},"bps",[1905,7784,7785],{},"×",[1905,7787,1924],{"stretchy":1923},[1897,7789,2365],{"mathvariant":2364},[1897,7791,1927],{},[1897,7793,2365],{"mathvariant":2364},[1897,7795,6103],{"mathvariant":2364},[1897,7797,7798],{},"A",[1897,7800,7801],{},"D",[1897,7803,6186],{},[1894,7805,7806,7808],{},[1905,7807,1950],{"stretchy":1923},[2252,7809,7810],{},"0.5",[1954,7812,7813],{"encoding":1956},"C_{\\text{impact}}=30\\text{bps}\\times(|q|\u002FADV)^{0.5}",[1870,7815,7817,7879,7903],{"className":7816,"ariaHidden":1930},[1961],[1870,7818,7820,7824,7870,7873,7876],{"className":7819},[1965],[1870,7821],{"className":7822,"style":7823},[1969],"height:0.9694em;vertical-align:-0.2861em;",[1870,7825,7827,7830],{"className":7826},[1974],[1870,7828,1920],{"className":7829,"style":2097},[1974,1978],[1870,7831,7833],{"className":7832},[1983],[1870,7834,7836,7862],{"className":7835},[1987,2604],[1870,7837,7839,7859],{"className":7838},[1991],[1870,7840,7842],{"className":7841,"style":6789},[1995],[1870,7843,7844,7847],{"style":6792},[1870,7845],{"className":7846,"style":2003},[2002],[1870,7848,7850],{"className":7849},[2007,2008,2009,2010],[1870,7851,7853],{"className":7852},[1974,2010],[1870,7854,7856],{"className":7855},[1974,2017,2010],[1870,7857,6720],{"className":7858},[1974,2010],[1870,7860,2664],{"className":7861},[2663],[1870,7863,7865],{"className":7864},[1991],[1870,7866,7868],{"className":7867,"style":6817},[1995],[1870,7869],{},[1870,7871],{"className":7872,"style":2025},[2024],[1870,7874,1907],{"className":7875},[2029],[1870,7877],{"className":7878,"style":2025},[2024],[1870,7880,7882,7885,7888,7894,7897,7900],{"className":7881},[1965],[1870,7883],{"className":7884,"style":4166},[1969],[1870,7886,7779],{"className":7887},[1974],[1870,7889,7891],{"className":7890},[1974,2017],[1870,7892,7782],{"className":7893},[1974],[1870,7895],{"className":7896,"style":2079},[2024],[1870,7898,7785],{"className":7899},[2083],[1870,7901],{"className":7902,"style":2079},[2024],[1870,7904,7906,7910,7913,7916,7919,7923,7926,7930,7933],{"className":7905},[1965],[1870,7907],{"className":7908,"style":7909},[1969],"height:1.0641em;vertical-align:-0.25em;",[1870,7911,1924],{"className":7912},[2101],[1870,7914,2365],{"className":7915},[1974],[1870,7917,1927],{"className":7918,"style":2105},[1974,1978],[1870,7920,7922],{"className":7921},[1974],"∣\u002F",[1870,7924,7798],{"className":7925},[1974,1978],[1870,7927,7801],{"className":7928,"style":7929},[1974,1978],"margin-right:0.0278em;",[1870,7931,6186],{"className":7932,"style":2079},[1974,1978],[1870,7934,7936,7939],{"className":7935},[2148],[1870,7937,1950],{"className":7938},[2148],[1870,7940,7942],{"className":7941},[1983],[1870,7943,7945],{"className":7944},[1987],[1870,7946,7948],{"className":7947},[1991],[1870,7949,7952],{"className":7950,"style":7951},[1995],"height:0.8141em;",[1870,7953,7955,7958],{"style":7954},"top:-3.063em;margin-right:0.05em;",[1870,7956],{"className":7957,"style":2003},[2002],[1870,7959,7961],{"className":7960},[2007,2008,2009,2010],[1870,7962,7964],{"className":7963},[1974,2010],[1870,7965,7810],{"className":7966},[1974,2010],"，则冲击约为 ",[1870,7969,7971,7998],{"className":7970},[1877],[1870,7972,7974],{"className":7973},[1881],[1883,7975,7976],{"xmlns":1885},[1888,7977,7978,7995],{},[1891,7979,7980,7982,7984,7990,7992],{},[2252,7981,7779],{},[1905,7983,7785],{},[7985,7986,7987],"msqrt",{},[2252,7988,7989],{},"0.05",[1905,7991,2820],{},[2252,7993,7994],{},"6.7",[1954,7996,7997],{"encoding":1956},"30\\times\\sqrt{0.05}\\approx 6.7",[1870,7999,8001,8020,8099],{"className":8000,"ariaHidden":1930},[1961],[1870,8002,8004,8008,8011,8014,8017],{"className":8003},[1965],[1870,8005],{"className":8006,"style":8007},[1969],"height:0.7278em;vertical-align:-0.0833em;",[1870,8009,7779],{"className":8010},[1974],[1870,8012],{"className":8013,"style":2079},[2024],[1870,8015,7785],{"className":8016},[2083],[1870,8018],{"className":8019,"style":2079},[2024],[1870,8021,8023,8027,8090,8093,8096],{"className":8022},[1965],[1870,8024],{"className":8025,"style":8026},[1969],"height:1.04em;vertical-align:-0.1328em;",[1870,8028,8031],{"className":8029},[1974,8030],"sqrt",[1870,8032,8034,8081],{"className":8033},[1987,2604],[1870,8035,8037,8078],{"className":8036},[1991],[1870,8038,8041,8055],{"className":8039,"style":8040},[1995],"height:0.9072em;",[1870,8042,8045,8048],{"className":8043,"style":5829},[8044],"svg-align",[1870,8046],{"className":8047,"style":2618},[2002],[1870,8049,8052],{"className":8050,"style":8051},[1974],"padding-left:0.833em;",[1870,8053,7989],{"className":8054},[1974],[1870,8056,8058,8061],{"style":8057},"top:-2.8672em;",[1870,8059],{"className":8060,"style":2618},[2002],[1870,8062,8066],{"className":8063,"style":8065},[8064],"hide-tail","min-width:0.853em;height:1.08em;",[8067,8068,8074],"svg",{"xmlns":8069,"width":8070,"height":8071,"viewBox":8072,"preserveAspectRatio":8073},"http:\u002F\u002Fwww.w3.org\u002F2000\u002Fsvg","400em","1.08em","0 0 400000 1080","xMinYMin slice",[8075,8076],"path",{"d":8077},"M95,702\nc-2.7,0,-7.17,-2.7,-13.5,-8c-5.8,-5.3,-9.5,-10,-9.5,-14\nc0,-2,0.3,-3.3,1,-4c1.3,-2.7,23.83,-20.7,67.5,-54\nc44.2,-33.3,65.8,-50.3,66.5,-51c1.3,-1.3,3,-2,5,-2c4.7,0,8.7,3.3,12,10\ns173,378,173,378c0.7,0,35.3,-71,104,-213c68.7,-142,137.5,-285,206.5,-429\nc69,-144,104.5,-217.7,106.5,-221\nl0 -0\nc5.3,-9.3,12,-14,20,-14\nH400000v40H845.2724\ns-225.272,467,-225.272,467s-235,486,-235,486c-2.7,4.7,-9,7,-19,7\nc-6,0,-10,-1,-12,-3s-194,-422,-194,-422s-65,47,-65,47z\nM834 80h400000v40h-400000z",[1870,8079,2664],{"className":8080},[2663],[1870,8082,8084],{"className":8083},[1991],[1870,8085,8088],{"className":8086,"style":8087},[1995],"height:0.1328em;",[1870,8089],{},[1870,8091],{"className":8092,"style":2025},[2024],[1870,8094,2820],{"className":8095},[2029],[1870,8097],{"className":8098,"style":2025},[2024],[1870,8100,8102,8105],{"className":8101},[1965],[1870,8103],{"className":8104,"style":2313},[1969],[1870,8106,7994],{"className":8107},[1974]," bps；",[1800,8110,8111],{},"加上佣金和税费后，单边成本可能接近 20 bps。",[1793,8113,8114],{},"如果策略月度预期 alpha 只有 25 bps，而该股票需要频繁换手，那么它在成本后可能已经没有吸引力。执行模型的价值就在于提前暴露这种“纸面 alpha”。",[8116,8117],"pyodide",{"code64":8118,"layout":8119,"locale":7,"title":8120},"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","vertical","分解 implementation shortfall",[1793,8122,8123,8124,8127],{},"静态结果：90% 成交，成交滑点 4,200、显性费用约 361、未成交机会成本 1,000，总 shortfall 为 ",[1837,8125,8126],{},"27.8 bps","。对于买单，成交价格高于决策价和未成交后价格上涨都构成损失。若收盘价下跌，机会成本可以为负；报告应保留分项，而不是只给一个平均滑点。",[2455,8129,8131],{"id":8130},"_85-常见错误与研究陷阱","8.5 常见错误与研究陷阱",[1821,8133,8134,8140,8146,8152,8158],{},[1800,8135,8136,8139],{},[1837,8137,8138],{},"把成交价设为信号价","：信号生成和真实成交之间存在时间和价格差，尤其在开盘或高波动时段。",[1800,8141,8142,8145],{},[1837,8143,8144],{},"所有资产使用同一成本","：大盘高流动性股票和小盘冷门股票的价差、深度和冲击差异巨大。",[1800,8147,8148,8151],{},[1837,8149,8150],{},"忽略部分成交","：限价单和低参与率策略可能无法完成目标交易，实际持仓偏离回测。",[1800,8153,8154,8157],{},[1837,8155,8156],{},"成本参数只用样本均值","：危机时价差和冲击会非线性放大，平均成本会低估尾部风险。",[1800,8159,8160,8163],{},[1837,8161,8162],{},"执行算法与信号期限不匹配","：短期限信号若执行太慢，alpha 会在成交前衰减。",[2455,8165,8167],{"id":8166},"_86-自测题与答案提示","8.6 自测题与答案提示",[1797,8169,8170,8173,8176,8179],{},[1800,8171,8172],{},"为什么大额订单的成本通常不是线性增长？\n答案提示：订单会消耗多档深度并泄露信息，冲击随参与率和市场状态非线性上升。",[1800,8174,8175],{},"VWAP 与 POV 的核心区别是什么？\n答案提示：VWAP按预期成交量曲线分配交易量；POV按实时市场成交量保持固定参与率。",[1800,8177,8178],{},"implementation shortfall 衡量什么？\n答案提示：衡量实际成交相对决策价格的损失，综合反映滑点、延迟和显性费用。",[1800,8180,8181],{},"为什么执行质量需要进入策略复盘？\n答案提示：实盘收益偏离回测可能来自信号失效，也可能来自成本模型低估或执行算法失效。",[2455,8183,8185],{"id":8184},"_87-小结与过渡","8.7 小结与过渡",[1793,8187,8188],{},"执行层把组合目标暴露在真实市场摩擦之下。价差、冲击、成交延迟和未成交都会改变策略收益，因此执行模型必须从研究阶段就进入回测。下一章会进入策略上线后的监控与迭代：当订单真正进入市场后，如何判断策略、执行和系统仍然按设计运行。",[7349,8190],{},[1793,8192,8193,4328],{},[1837,8194,8195],{},"参考文献（节选）",[1821,8197,8198,8205,8211,8217],{},[1800,8199,8200,8201],{},"Kyle, A. S. (1985). \"Continuous auctions and insider trading.\" ",[8202,8203,8204],"em",{},"Econometrica.",[1800,8206,8207,8208],{},"Glosten, L. R., & Milgrom, P. R. (1985). \"Bid, ask and transaction prices in a specialist market with heterogeneously informed traders.\" ",[8202,8209,8210],{},"Journal of Financial Economics.",[1800,8212,8213,8214],{},"Almgren, R., & Chriss, N. (2000). \"Optimal execution of portfolio transactions.\" ",[8202,8215,8216],{},"Journal of Risk.",[1800,8218,8219,8220,8223,8224],{},"Hasbrouck, J. (1991). ",[8202,8221,8222],{},"Measuring the Information Content of Stock Trades."," ",[8202,8225,8226],{},"Journal of Finance.",{"title":10,"searchDepth":8228,"depth":8228,"links":8229},2,[8230,8231,8236,8237,8238,8239,8240,8241],{"id":1815,"depth":8228,"text":1816},{"id":2452,"depth":8228,"text":2453,"children":8232},[8233,8235],{"id":2457,"depth":8234,"text":2458},3,{"id":3196,"depth":8234,"text":3197},{"id":4001,"depth":8228,"text":4002},{"id":6012,"depth":8228,"text":6013},{"id":6662,"depth":8228,"text":6663},{"id":7081,"depth":8228,"text":7082},{"id":7312,"depth":8228,"text":7313},{"id":7353,"depth":8228,"text":7354,"children":8242},[8243,8244,8245,8246,8247,8248,8249],{"id":7357,"depth":8234,"text":7358},{"id":7381,"depth":8234,"text":7382},{"id":7405,"depth":8234,"text":7406},{"id":7581,"depth":8234,"text":7582},{"id":8130,"depth":8234,"text":8131},{"id":8166,"depth":8234,"text":8167},{"id":8184,"depth":8234,"text":8185},"将目标权重转换为订单，分解价差、延迟、冲击、机会成本与容量限制。","md",{"sidebar":8253},{"order":8254},5,true,{"title":1759,"description":8250},"zxQOTVYXozdMC3rLBQihoiTRAQOpBJRJmepglTTeKhg",[8259,8261],{"title":1755,"path":1756,"stem":1757,"description":8260,"children":-1},"在估计误差、风险暴露、换手、流动性和容量约束下把 alpha 分数转化为组合。",{"title":1763,"path":1764,"stem":1765,"description":8262,"children":-1},"把研究原型转化为可监控、可回滚的生产系统，并识别绩效、风险和数据漂移。",1785754759278]