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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":1775,"body":1785,"description":7642,"extension":7643,"features":1782,"hero":1782,"layout":1782,"locale":1782,"meta":7644,"navigation":1782,"path":1776,"published":7471,"seo":7647,"stem":1777,"__hash__":7648},"docs\u002Fzh\u002Fquant\u002F09-case-study.md",{"type":1786,"value":1787,"toc":7597},"minimark",[1788,1792,1801,1807,1812,1817,1824,1856,1860,1913,1917,1921,1948,2064,2068,2071,2085,2088,2120,2124,2128,2131,2297,2301,2757,2761,2764,3514,3517,3521,3525,3590,3793,3796,3804,3807,3815,3819,3822,3836,3839,3844,3848,3852,3915,4248,4419,4751,4755,4758,5320,5353,5913,5916,5920,5994,6780,6876,6880,6884,7127,7131,7148,7151,7162,7166,7177,7181,7185,7196,7200,7222,7226,7229,7249,7252,7255,7259,7263,7266,7283,7287,7290,7313,7316,7320,7453,7457,7460,7536,7540,7572,7576,7590,7594],[1789,1790,1775],"h1",{"id":1791},"案例研究多因子股票-alpha-策略全流程",[1793,1794,1795,1796,1800],"p",{},"本章通过一个",[1797,1798,1799],"strong",{},"横截面多因子股票策略","的完整案例，把前面各章的内容串联起来，展示从数据、因子构建与筛选，到回测、组合、执行与监控的端到端工作流。为简化叙述，我们以“日频 A 股\u002F美股多因子选股策略”为例，不依赖特定市场细节。",[1802,1803,1804],"blockquote",{},[1793,1805,1806],{},"提示：本章更像是“研究日志 + 设计文档”，而不是代码教程。具体编程实现可以根据你在工程栈中的实际工具（Python、R、C++ 等）落地。",[1808,1809,1811],"h2",{"id":1810},"_1-问题设定与策略框架","1. 问题设定与策略框架",[1813,1814,1816],"h3",{"id":1815},"_11-研究问题","1.1 研究问题",[1793,1818,1819,1820,1823],{},"我们希望构建一条",[1797,1821,1822],{},"中频横截面股票多因子 alpha 策略","，基本设定：",[1825,1826,1827,1831,1834,1837],"ul",{},[1828,1829,1830],"li",{},"投资标的：某一股票市场的全体可投资股票（例如成分股 + 流动性过滤后的股票池）；",[1828,1832,1833],{},"调仓频率：月度（每月末根据因子信号调仓）；",[1828,1835,1836],{},"目标：构建相对于市值加权基准指数具有正信息比率的多空组合；",[1828,1838,1839,1840],{},"约束：\n",[1825,1841,1842,1845,1848],{},[1828,1843,1844],{},"总杠杆不超过 1.5 倍；",[1828,1846,1847],{},"行业中性、市值中性；",[1828,1849,1850,1851,1855],{},"个股权重在 ",[1852,1853,1854],"span",{},"-2%, 2%"," 区间。",[1813,1857,1859],{"id":1858},"_12-与前面章节的对应关系","1.2 与前面章节的对应关系",[1825,1861,1862,1870,1876,1882,1888,1894,1900,1906],{},[1828,1863,1864,1865,1869],{},"数据与预处理：对应 ",[1866,1867,1868],"code",{},"01-research-data.md","；",[1828,1871,1872,1873,1869],{},"因子构建与筛选：对应 ",[1866,1874,1875],{},"02-factor-and-signals.md",[1828,1877,1878,1879,1869],{},"建模与回测：对应 ",[1866,1880,1881],{},"03-modeling-and-backtest.md",[1828,1883,1884,1885,1869],{},"组合与风险：对应 ",[1866,1886,1887],{},"04-portfolio-and-risk.md",[1828,1889,1890,1891,1869],{},"执行与微结构：对应 ",[1866,1892,1893],{},"05-execution-and-microstructure.md",[1828,1895,1896,1897,1869],{},"上线与监控：对应 ",[1866,1898,1899],{},"06-production-and-monitoring.md",[1828,1901,1902,1903,1869],{},"工程栈：对应 ",[1866,1904,1905],{},"07-engineering-stack.md",[1828,1907,1908,1909,1912],{},"计量方法：对应 ",[1866,1910,1911],{},"08-econometric-methods.md","。",[1808,1914,1916],{"id":1915},"_2-数据与标的池构建","2. 数据与标的池构建",[1813,1918,1920],{"id":1919},"_21-标的池定义","2.1 标的池定义",[1825,1922,1923,1926,1934],{},[1828,1924,1925],{},"时间区间：2008-01-01 至 2024-12-31；",[1828,1927,1928,1929],{},"初始标的池：\n",[1825,1930,1931],{},[1828,1932,1933],{},"对应市场的全部上市股票；",[1828,1935,1936,1937],{},"过滤规则：\n",[1825,1938,1939,1942,1945],{},[1828,1940,1941],{},"剔除上市不足 12 个月的股票（因子回溯窗口需要至少 12 个月数据）；",[1828,1943,1944],{},"剔除价格长期低于某一阈值（例如 1 元\u002F1 美元）的“壳股”；",[1828,1946,1947],{},"剔除最近 20 个交易日中有超过一半停牌的股票。",[1793,1949,1950,1951,1954,1955,2063],{},"过滤后得到",[1797,1952,1953],{},"可投资股票池"," ",[1852,1956,1959,1989],{"className":1957},[1958],"katex",[1852,1960,1963],{"className":1961},[1962],"katex-mathml",[1964,1965,1967],"math",{"xmlns":1966},"http:\u002F\u002Fwww.w3.org\u002F1998\u002FMath\u002FMathML",[1968,1969,1970,1984],"semantics",{},[1971,1972,1973],"mrow",{},[1974,1975,1976,1981],"msub",{},[1977,1978,1980],"mi",{"mathvariant":1979},"script","U",[1977,1982,1983],{},"t",[1985,1986,1988],"annotation",{"encoding":1987},"application\u002Fx-tex","\\mathcal{U}_t",[1852,1990,1994],{"className":1991,"ariaHidden":1993},[1992],"katex-html","true",[1852,1995,1998,2003],{"className":1996},[1997],"base",[1852,1999],{"className":2000,"style":2002},[2001],"strut","height:0.8333em;vertical-align:-0.15em;",[1852,2004,2007,2012],{"className":2005},[2006],"mord",[1852,2008,1980],{"className":2009,"style":2011},[2006,2010],"mathcal","margin-right:0.0993em;",[1852,2013,2016],{"className":2014},[2015],"msupsub",[1852,2017,2021,2054],{"className":2018},[2019,2020],"vlist-t","vlist-t2",[1852,2022,2025,2049],{"className":2023},[2024],"vlist-r",[1852,2026,2030],{"className":2027,"style":2029},[2028],"vlist","height:0.2806em;",[1852,2031,2033,2038],{"style":2032},"top:-2.55em;margin-left:-0.0993em;margin-right:0.05em;",[1852,2034],{"className":2035,"style":2037},[2036],"pstrut","height:2.7em;",[1852,2039,2045],{"className":2040},[2041,2042,2043,2044],"sizing","reset-size6","size3","mtight",[1852,2046,1983],{"className":2047},[2006,2048,2044],"mathnormal",[1852,2050,2053],{"className":2051},[2052],"vlist-s","​",[1852,2055,2057],{"className":2056},[2024],[1852,2058,2061],{"className":2059,"style":2060},[2028],"height:0.15em;",[1852,2062],{},"。这一过程在实务中往往与指数成分和交易规则紧密相关，需要与实际市场细则对齐。",[1813,2065,2067],{"id":2066},"_22-数据准备与清洗","2.2 数据准备与清洗",[1793,2069,2070],{},"需要的数据包括：",[1825,2072,2073,2076,2079,2082],{},[1828,2074,2075],{},"日度行情：收盘价、成交量、成交额等；",[1828,2077,2078],{},"财务数据：季度\u002F年度财报、财务指标；",[1828,2080,2081],{},"行业分类：每只股票在每个时点的行业归属；",[1828,2083,2084],{},"宏观\u002F其他辅助数据（可选）。",[1793,2086,2087],{},"清洗步骤：",[2089,2090,2091,2094,2106,2117],"ol",{},[1828,2092,2093],{},"对日度价格进行前复权或总回报调整，统一处理分红、拆并股；",[1828,2095,2096,2097,2100,2101],{},"对财务数据按",[1797,2098,2099],{},"可获得时间","对齐：\n",[1825,2102,2103],{},[1828,2104,2105],{},"例如财报在披露日之后才可用于构建因子；",[1828,2107,2108,2109],{},"对缺失值、异常值进行处理（参见第 01 章）：\n",[1825,2110,2111,2114],{},[1828,2112,2113],{},"缺失值：根据业务逻辑决定是删除样本、前值填充还是分组填充；",[1828,2115,2116],{},"异常值：使用分位数去极值或标准差截断；",[1828,2118,2119],{},"构建统一的交易日历与截面数据结构，保证每个调仓日能看到完整的横截面信息。",[1808,2121,2123],{"id":2122},"_3-候选因子构建","3. 候选因子构建",[1813,2125,2127],{"id":2126},"_31-经典财务因子","3.1 经典财务因子",[1793,2129,2130],{},"我们先构造几类最基础的财务因子（横截面上在第 2 章已有介绍）：",[2089,2132,2133,2271,2284],{},[1828,2134,2135,2138,2139],{},[1797,2136,2137],{},"估值因子（Value）","：\n",[1825,2140,2141,2229],{},[1828,2142,2143,2228],{},[1852,2144,2146,2177],{"className":2145},[1958],[1852,2147,2149],{"className":2148},[1962],[1964,2150,2151],{"xmlns":1966},[1968,2152,2153,2174],{},[1971,2154,2155,2158],{},[1977,2156,2157],{},"P",[2159,2160,2161,2164],"msup",{},[1977,2162,2163],{},"E",[1971,2165,2166,2170],{},[2167,2168,2169],"mo",{},"−",[2171,2172,2173],"mn",{},"1",[1985,2175,2176],{"encoding":1987},"PE^{-1}",[1852,2178,2180],{"className":2179,"ariaHidden":1993},[1992],[1852,2181,2183,2187,2191],{"className":2182},[1997],[1852,2184],{"className":2185,"style":2186},[2001],"height:0.8141em;",[1852,2188,2157],{"className":2189,"style":2190},[2006,2048],"margin-right:0.1389em;",[1852,2192,2194,2198],{"className":2193},[2006],[1852,2195,2163],{"className":2196,"style":2197},[2006,2048],"margin-right:0.0576em;",[1852,2199,2201],{"className":2200},[2015],[1852,2202,2204],{"className":2203},[2019],[1852,2205,2207],{"className":2206},[2024],[1852,2208,2210],{"className":2209,"style":2186},[2028],[1852,2211,2213,2216],{"style":2212},"top:-3.063em;margin-right:0.05em;",[1852,2214],{"className":2215,"style":2037},[2036],[1852,2217,2219],{"className":2218},[2041,2042,2043,2044],[1852,2220,2222,2225],{"className":2221},[2006,2044],[1852,2223,2169],{"className":2224},[2006,2044],[1852,2226,2173],{"className":2227},[2006,2044],"：市盈率倒数（盈利收益率）；",[1828,2230,2231,2270],{},[1852,2232,2234,2252],{"className":2233},[1958],[1852,2235,2237],{"className":2236},[1962],[1964,2238,2239],{"xmlns":1966},[1968,2240,2241,2249],{},[1971,2242,2243,2246],{},[1977,2244,2245],{},"B",[1977,2247,2248],{},"M",[1985,2250,2251],{"encoding":1987},"BM",[1852,2253,2255],{"className":2254,"ariaHidden":1993},[1992],[1852,2256,2258,2262,2266],{"className":2257},[1997],[1852,2259],{"className":2260,"style":2261},[2001],"height:0.6833em;",[1852,2263,2245],{"className":2264,"style":2265},[2006,2048],"margin-right:0.0502em;",[1852,2267,2248],{"className":2268,"style":2269},[2006,2048],"margin-right:0.109em;","：账面市值比；",[1828,2272,2273,2138,2276],{},[1797,2274,2275],{},"质量因子（Quality）",[1825,2277,2278,2281],{},[1828,2279,2280],{},"ROE（净资产收益率）；",[1828,2282,2283],{},"毛利率与净利率；",[1828,2285,2286,2138,2289],{},[1797,2287,2288],{},"成长因子（Growth）",[1825,2290,2291,2294],{},[1828,2292,2293],{},"过去 3 年营业收入 CAGR；",[1828,2295,2296],{},"过去 3 年净利润 CAGR。",[1813,2298,2300],{"id":2299},"_32-价格行为与技术因子","3.2 价格行为与技术因子",[2089,2302,2303,2734,2744],{},[1828,2304,2305,2308,2309],{},[1797,2306,2307],{},"动量（Momentum）","：",[1825,2310,2311],{},[1828,2312,2313,2314],{},"12-2 月动量：",[1852,2315,2318],{"className":2316},[2317],"katex-display",[1852,2319,2321,2430],{"className":2320},[1958],[1852,2322,2324],{"className":2323},[1962],[1964,2325,2327],{"xmlns":1966,"display":2326},"block",[1968,2328,2329,2427],{},[1971,2330,2331,2333,2336,2350,2354,2357,2360,2362,2365,2368,2400,2402,2404,2407,2420,2422,2424],{},[1977,2332,2248],{},[1977,2334,2335],{},"O",[1974,2337,2338,2340],{},[1977,2339,2248],{},[1971,2341,2342,2345,2347],{},[2171,2343,2344],{},"12",[2167,2346,2169],{},[2171,2348,2349],{},"2",[2167,2351,2353],{"stretchy":2352},"false","(",[1977,2355,2356],{},"i",[2167,2358,2359],{"separator":1993},",",[1977,2361,1983],{},[2167,2363,2364],{"stretchy":2352},")",[2167,2366,2367],{},"=",[2369,2370,2371,2374,2390],"munderover",{},[2167,2372,2373],{},"∏",[1971,2375,2376,2379,2381,2383,2385,2387],{},[1977,2377,2378],{},"τ",[2167,2380,2367],{},[1977,2382,1983],{},[2167,2384,2169],{},[2171,2386,2344],{},[1977,2388,2389],{},"m",[1971,2391,2392,2394,2396,2398],{},[1977,2393,1983],{},[2167,2395,2169],{},[2171,2397,2349],{},[1977,2399,2389],{},[2167,2401,2353],{"stretchy":2352},[2171,2403,2173],{},[2167,2405,2406],{},"+",[1974,2408,2409,2412],{},[1977,2410,2411],{},"r",[1971,2413,2414,2416,2418],{},[1977,2415,2356],{},[2167,2417,2359],{"separator":1993},[1977,2419,2378],{},[2167,2421,2364],{"stretchy":2352},[2167,2423,2169],{},[2171,2425,2426],{},"1.",[1985,2428,2429],{"encoding":1987},"MOM_{12-2}(i,t) = \\prod_{\\tau=t-12m}^{t-2m} (1 + r_{i,\\tau}) - 1.",[1852,2431,2433,2534,2653,2724],{"className":2432,"ariaHidden":1993},[1992],[1852,2434,2436,2440,2443,2447,2500,2504,2507,2511,2516,2519,2523,2527,2531],{"className":2435},[1997],[1852,2437],{"className":2438,"style":2439},[2001],"height:1em;vertical-align:-0.25em;",[1852,2441,2248],{"className":2442,"style":2269},[2006,2048],[1852,2444,2335],{"className":2445,"style":2446},[2006,2048],"margin-right:0.0278em;",[1852,2448,2450,2453],{"className":2449},[2006],[1852,2451,2248],{"className":2452,"style":2269},[2006,2048],[1852,2454,2456],{"className":2455},[2015],[1852,2457,2459,2491],{"className":2458},[2019,2020],[1852,2460,2462,2488],{"className":2461},[2024],[1852,2463,2466],{"className":2464,"style":2465},[2028],"height:0.3011em;",[1852,2467,2469,2472],{"style":2468},"top:-2.55em;margin-left:-0.109em;margin-right:0.05em;",[1852,2470],{"className":2471,"style":2037},[2036],[1852,2473,2475],{"className":2474},[2041,2042,2043,2044],[1852,2476,2478,2481,2485],{"className":2477},[2006,2044],[1852,2479,2344],{"className":2480},[2006,2044],[1852,2482,2169],{"className":2483},[2484,2044],"mbin",[1852,2486,2349],{"className":2487},[2006,2044],[1852,2489,2053],{"className":2490},[2052],[1852,2492,2494],{"className":2493},[2024],[1852,2495,2498],{"className":2496,"style":2497},[2028],"height:0.2083em;",[1852,2499],{},[1852,2501,2353],{"className":2502},[2503],"mopen",[1852,2505,2356],{"className":2506},[2006,2048],[1852,2508,2359],{"className":2509},[2510],"mpunct",[1852,2512],{"className":2513,"style":2515},[2514],"mspace","margin-right:0.1667em;",[1852,2517,1983],{"className":2518},[2006,2048],[1852,2520,2364],{"className":2521},[2522],"mclose",[1852,2524],{"className":2525,"style":2526},[2514],"margin-right:0.2778em;",[1852,2528,2367],{"className":2529},[2530],"mrel",[1852,2532],{"className":2533,"style":2526},[2514],[1852,2535,2537,2541,2637,2640,2643,2647,2650],{"className":2536},[1997],[1852,2538],{"className":2539,"style":2540},[2001],"height:3.1266em;vertical-align:-1.3254em;",[1852,2542,2546],{"className":2543},[2544,2545],"mop","op-limits",[1852,2547,2549,2628],{"className":2548},[2019,2020],[1852,2550,2552,2625],{"className":2551},[2024],[1852,2553,2556,2588,2601],{"className":2554,"style":2555},[2028],"height:1.8011em;",[1852,2557,2559,2563],{"style":2558},"top:-1.8829em;margin-left:0em;",[1852,2560],{"className":2561,"style":2562},[2036],"height:3.05em;",[1852,2564,2566],{"className":2565},[2041,2042,2043,2044],[1852,2567,2569,2573,2576,2579,2582,2585],{"className":2568},[2006,2044],[1852,2570,2378],{"className":2571,"style":2572},[2006,2048,2044],"margin-right:0.1132em;",[1852,2574,2367],{"className":2575},[2530,2044],[1852,2577,1983],{"className":2578},[2006,2048,2044],[1852,2580,2169],{"className":2581},[2484,2044],[1852,2583,2344],{"className":2584},[2006,2044],[1852,2586,2389],{"className":2587},[2006,2048,2044],[1852,2589,2591,2594],{"style":2590},"top:-3.05em;",[1852,2592],{"className":2593,"style":2562},[2036],[1852,2595,2596],{},[1852,2597,2373],{"className":2598},[2544,2599,2600],"op-symbol","large-op",[1852,2602,2604,2607],{"style":2603},"top:-4.3em;margin-left:0em;",[1852,2605],{"className":2606,"style":2562},[2036],[1852,2608,2610],{"className":2609},[2041,2042,2043,2044],[1852,2611,2613,2616,2619,2622],{"className":2612},[2006,2044],[1852,2614,1983],{"className":2615},[2006,2048,2044],[1852,2617,2169],{"className":2618},[2484,2044],[1852,2620,2349],{"className":2621},[2006,2044],[1852,2623,2389],{"className":2624},[2006,2048,2044],[1852,2626,2053],{"className":2627},[2052],[1852,2629,2631],{"className":2630},[2024],[1852,2632,2635],{"className":2633,"style":2634},[2028],"height:1.3254em;",[1852,2636],{},[1852,2638,2353],{"className":2639},[2503],[1852,2641,2173],{"className":2642},[2006],[1852,2644],{"className":2645,"style":2646},[2514],"margin-right:0.2222em;",[1852,2648,2406],{"className":2649},[2484],[1852,2651],{"className":2652,"style":2646},[2514],[1852,2654,2656,2660,2712,2715,2718,2721],{"className":2655},[1997],[1852,2657],{"className":2658,"style":2659},[2001],"height:1.0361em;vertical-align:-0.2861em;",[1852,2661,2663,2666],{"className":2662},[2006],[1852,2664,2411],{"className":2665,"style":2446},[2006,2048],[1852,2667,2669],{"className":2668},[2015],[1852,2670,2672,2703],{"className":2671},[2019,2020],[1852,2673,2675,2700],{"className":2674},[2024],[1852,2676,2679],{"className":2677,"style":2678},[2028],"height:0.3117em;",[1852,2680,2682,2685],{"style":2681},"top:-2.55em;margin-left:-0.0278em;margin-right:0.05em;",[1852,2683],{"className":2684,"style":2037},[2036],[1852,2686,2688],{"className":2687},[2041,2042,2043,2044],[1852,2689,2691,2694,2697],{"className":2690},[2006,2044],[1852,2692,2356],{"className":2693},[2006,2048,2044],[1852,2695,2359],{"className":2696},[2510,2044],[1852,2698,2378],{"className":2699,"style":2572},[2006,2048,2044],[1852,2701,2053],{"className":2702},[2052],[1852,2704,2706],{"className":2705},[2024],[1852,2707,2710],{"className":2708,"style":2709},[2028],"height:0.2861em;",[1852,2711],{},[1852,2713,2364],{"className":2714},[2522],[1852,2716],{"className":2717,"style":2646},[2514],[1852,2719,2169],{"className":2720},[2484],[1852,2722],{"className":2723,"style":2646},[2514],[1852,2725,2727,2731],{"className":2726},[1997],[1852,2728],{"className":2729,"style":2730},[2001],"height:0.6444em;",[1852,2732,2426],{"className":2733},[2006],[1828,2735,2736,2308,2739],{},[1797,2737,2738],{},"波动率（Volatility）",[1825,2740,2741],{},[1828,2742,2743],{},"过去 3 个月日度收益标准差；",[1828,2745,2746,2308,2749],{},[1797,2747,2748],{},"成交量\u002F流动性因子",[1825,2750,2751,2754],{},[1828,2752,2753],{},"过去 3 个月平均换手率；",[1828,2755,2756],{},"Amihud illiquidity 指标的变体（用成交量和价差构造）。",[1813,2758,2760],{"id":2759},"_33-因子标准化与中性化","3.3 因子标准化与中性化",[1793,2762,2763],{},"在每个调仓截面（例如每月末）：",[2089,2765,2766,2769,2772],{},[1828,2767,2768],{},"对每个因子先做去极值（如按 1%~99% 分位数剪裁）；",[1828,2770,2771],{},"对每个因子做横截面 z-score 标准化；",[1828,2773,2774,2775,3424,3427,3428,3513],{},"对每个因子做行业与市值中性化（用回归残差替代原始因子值）：",[1852,2776,2778],{"className":2777},[2317],[1852,2779,2781,2924],{"className":2780},[1958],[1852,2782,2784],{"className":2783},[1962],[1964,2785,2786],{"xmlns":1966,"display":2326},[1968,2787,2788,2921],{},[1971,2789,2790,2803,2805,2812,2814,2821,2824,2827,2829,2831,2844,2846,2848,2857,2870,2873,2876,2879,2882,2885,2887,2889,2904,2906,2919],{},[1974,2791,2792,2795],{},[1977,2793,2794],{},"x",[1971,2796,2797,2799,2801],{},[1977,2798,2356],{},[2167,2800,2359],{"separator":1993},[1977,2802,1983],{},[2167,2804,2367],{},[1974,2806,2807,2810],{},[1977,2808,2809],{},"α",[1977,2811,1983],{},[2167,2813,2406],{},[1974,2815,2816,2819],{},[1977,2817,2818],{},"β",[1977,2820,1983],{},[1977,2822,2823],{},"ln",[2167,2825,2826],{},"⁡",[2167,2828,2353],{"stretchy":2352},[1977,2830,2248],{},[1974,2832,2833,2836],{},[1977,2834,2835],{},"V",[1971,2837,2838,2840,2842],{},[1977,2839,2356],{},[2167,2841,2359],{"separator":1993},[1977,2843,1983],{},[2167,2845,2364],{"stretchy":2352},[2167,2847,2406],{},[2849,2850,2851,2854],"munder",{},[2167,2852,2853],{},"∑",[1977,2855,2856],{},"k",[1974,2858,2859,2862],{},[1977,2860,2861],{},"γ",[1971,2863,2864,2866,2868],{},[1977,2865,2856],{},[2167,2867,2359],{"separator":1993},[1977,2869,1983],{},[1977,2871,2872],{},"I",[1977,2874,2875],{},"n",[1977,2877,2878],{},"d",[1977,2880,2881],{},"u",[1977,2883,2884],{},"s",[1977,2886,1983],{},[1977,2888,2411],{},[1974,2890,2891,2894],{},[1977,2892,2893],{},"y",[1971,2895,2896,2898,2900,2902],{},[1977,2897,2356],{},[1977,2899,2856],{},[2167,2901,2359],{"separator":1993},[1977,2903,1983],{},[2167,2905,2406],{},[1974,2907,2908,2911],{},[1977,2909,2910],{},"ϵ",[1971,2912,2913,2915,2917],{},[1977,2914,2356],{},[2167,2916,2359],{"separator":1993},[1977,2918,1983],{},[2167,2920,2359],{"separator":1993},[1985,2922,2923],{"encoding":1987},"x_{i,t} = \\alpha_t + \\beta_t \\ln(MV_{i,t}) + \\sum_k \\gamma_{k,t} Industry_{ik,t} + \\epsilon_{i,t},",[1852,2925,2927,2993,3051,3173,3366],{"className":2926,"ariaHidden":1993},[1992],[1852,2928,2930,2934,2984,2987,2990],{"className":2929},[1997],[1852,2931],{"className":2932,"style":2933},[2001],"height:0.7167em;vertical-align:-0.2861em;",[1852,2935,2937,2940],{"className":2936},[2006],[1852,2938,2794],{"className":2939},[2006,2048],[1852,2941,2943],{"className":2942},[2015],[1852,2944,2946,2976],{"className":2945},[2019,2020],[1852,2947,2949,2973],{"className":2948},[2024],[1852,2950,2952],{"className":2951,"style":2678},[2028],[1852,2953,2955,2958],{"style":2954},"top:-2.55em;margin-left:0em;margin-right:0.05em;",[1852,2956],{"className":2957,"style":2037},[2036],[1852,2959,2961],{"className":2960},[2041,2042,2043,2044],[1852,2962,2964,2967,2970],{"className":2963},[2006,2044],[1852,2965,2356],{"className":2966},[2006,2048,2044],[1852,2968,2359],{"className":2969},[2510,2044],[1852,2971,1983],{"className":2972},[2006,2048,2044],[1852,2974,2053],{"className":2975},[2052],[1852,2977,2979],{"className":2978},[2024],[1852,2980,2982],{"className":2981,"style":2709},[2028],[1852,2983],{},[1852,2985],{"className":2986,"style":2526},[2514],[1852,2988,2367],{"className":2989},[2530],[1852,2991],{"className":2992,"style":2526},[2514],[1852,2994,2996,3000,3042,3045,3048],{"className":2995},[1997],[1852,2997],{"className":2998,"style":2999},[2001],"height:0.7333em;vertical-align:-0.15em;",[1852,3001,3003,3007],{"className":3002},[2006],[1852,3004,2809],{"className":3005,"style":3006},[2006,2048],"margin-right:0.0037em;",[1852,3008,3010],{"className":3009},[2015],[1852,3011,3013,3034],{"className":3012},[2019,2020],[1852,3014,3016,3031],{"className":3015},[2024],[1852,3017,3019],{"className":3018,"style":2029},[2028],[1852,3020,3022,3025],{"style":3021},"top:-2.55em;margin-left:-0.0037em;margin-right:0.05em;",[1852,3023],{"className":3024,"style":2037},[2036],[1852,3026,3028],{"className":3027},[2041,2042,2043,2044],[1852,3029,1983],{"className":3030},[2006,2048,2044],[1852,3032,2053],{"className":3033},[2052],[1852,3035,3037],{"className":3036},[2024],[1852,3038,3040],{"className":3039,"style":2060},[2028],[1852,3041],{},[1852,3043],{"className":3044,"style":2646},[2514],[1852,3046,2406],{"className":3047},[2484],[1852,3049],{"className":3050,"style":2646},[2514],[1852,3052,3054,3057,3099,3102,3105,3108,3111,3161,3164,3167,3170],{"className":3053},[1997],[1852,3055],{"className":3056,"style":2659},[2001],[1852,3058,3060,3064],{"className":3059},[2006],[1852,3061,2818],{"className":3062,"style":3063},[2006,2048],"margin-right:0.0528em;",[1852,3065,3067],{"className":3066},[2015],[1852,3068,3070,3091],{"className":3069},[2019,2020],[1852,3071,3073,3088],{"className":3072},[2024],[1852,3074,3076],{"className":3075,"style":2029},[2028],[1852,3077,3079,3082],{"style":3078},"top:-2.55em;margin-left:-0.0528em;margin-right:0.05em;",[1852,3080],{"className":3081,"style":2037},[2036],[1852,3083,3085],{"className":3084},[2041,2042,2043,2044],[1852,3086,1983],{"className":3087},[2006,2048,2044],[1852,3089,2053],{"className":3090},[2052],[1852,3092,3094],{"className":3093},[2024],[1852,3095,3097],{"className":3096,"style":2060},[2028],[1852,3098],{},[1852,3100],{"className":3101,"style":2515},[2514],[1852,3103,2823],{"className":3104},[2544],[1852,3106,2353],{"className":3107},[2503],[1852,3109,2248],{"className":3110,"style":2269},[2006,2048],[1852,3112,3114,3117],{"className":3113},[2006],[1852,3115,2835],{"className":3116,"style":2646},[2006,2048],[1852,3118,3120],{"className":3119},[2015],[1852,3121,3123,3153],{"className":3122},[2019,2020],[1852,3124,3126,3150],{"className":3125},[2024],[1852,3127,3129],{"className":3128,"style":2678},[2028],[1852,3130,3132,3135],{"style":3131},"top:-2.55em;margin-left:-0.2222em;margin-right:0.05em;",[1852,3133],{"className":3134,"style":2037},[2036],[1852,3136,3138],{"className":3137},[2041,2042,2043,2044],[1852,3139,3141,3144,3147],{"className":3140},[2006,2044],[1852,3142,2356],{"className":3143},[2006,2048,2044],[1852,3145,2359],{"className":3146},[2510,2044],[1852,3148,1983],{"className":3149},[2006,2048,2044],[1852,3151,2053],{"className":3152},[2052],[1852,3154,3156],{"className":3155},[2024],[1852,3157,3159],{"className":3158,"style":2709},[2028],[1852,3160],{},[1852,3162,2364],{"className":3163},[2522],[1852,3165],{"className":3166,"style":2646},[2514],[1852,3168,2406],{"className":3169},[2484],[1852,3171],{"className":3172,"style":2646},[2514],[1852,3174,3176,3180,3228,3231,3283,3287,3290,3293,3296,3299,3302,3305,3357,3360,3363],{"className":3175},[1997],[1852,3177],{"className":3178,"style":3179},[2001],"height:2.3521em;vertical-align:-1.3021em;",[1852,3181,3183],{"className":3182},[2544,2545],[1852,3184,3186,3219],{"className":3185},[2019,2020],[1852,3187,3189,3216],{"className":3188},[2024],[1852,3190,3193,3206],{"className":3191,"style":3192},[2028],"height:1.05em;",[1852,3194,3196,3199],{"style":3195},"top:-1.8479em;margin-left:0em;",[1852,3197],{"className":3198,"style":2562},[2036],[1852,3200,3202],{"className":3201},[2041,2042,2043,2044],[1852,3203,2856],{"className":3204,"style":3205},[2006,2048,2044],"margin-right:0.0315em;",[1852,3207,3208,3211],{"style":2590},[1852,3209],{"className":3210,"style":2562},[2036],[1852,3212,3213],{},[1852,3214,2853],{"className":3215},[2544,2599,2600],[1852,3217,2053],{"className":3218},[2052],[1852,3220,3222],{"className":3221},[2024],[1852,3223,3226],{"className":3224,"style":3225},[2028],"height:1.3021em;",[1852,3227],{},[1852,3229],{"className":3230,"style":2515},[2514],[1852,3232,3234,3238],{"className":3233},[2006],[1852,3235,2861],{"className":3236,"style":3237},[2006,2048],"margin-right:0.0556em;",[1852,3239,3241],{"className":3240},[2015],[1852,3242,3244,3275],{"className":3243},[2019,2020],[1852,3245,3247,3272],{"className":3246},[2024],[1852,3248,3251],{"className":3249,"style":3250},[2028],"height:0.3361em;",[1852,3252,3254,3257],{"style":3253},"top:-2.55em;margin-left:-0.0556em;margin-right:0.05em;",[1852,3255],{"className":3256,"style":2037},[2036],[1852,3258,3260],{"className":3259},[2041,2042,2043,2044],[1852,3261,3263,3266,3269],{"className":3262},[2006,2044],[1852,3264,2856],{"className":3265,"style":3205},[2006,2048,2044],[1852,3267,2359],{"className":3268},[2510,2044],[1852,3270,1983],{"className":3271},[2006,2048,2044],[1852,3273,2053],{"className":3274},[2052],[1852,3276,3278],{"className":3277},[2024],[1852,3279,3281],{"className":3280,"style":2709},[2028],[1852,3282],{},[1852,3284,2872],{"className":3285,"style":3286},[2006,2048],"margin-right:0.0785em;",[1852,3288,2875],{"className":3289},[2006,2048],[1852,3291,2878],{"className":3292},[2006,2048],[1852,3294,2881],{"className":3295},[2006,2048],[1852,3297,2884],{"className":3298},[2006,2048],[1852,3300,1983],{"className":3301},[2006,2048],[1852,3303,2411],{"className":3304,"style":2446},[2006,2048],[1852,3306,3308,3312],{"className":3307},[2006],[1852,3309,2893],{"className":3310,"style":3311},[2006,2048],"margin-right:0.0359em;",[1852,3313,3315],{"className":3314},[2015],[1852,3316,3318,3349],{"className":3317},[2019,2020],[1852,3319,3321,3346],{"className":3320},[2024],[1852,3322,3324],{"className":3323,"style":3250},[2028],[1852,3325,3327,3330],{"style":3326},"top:-2.55em;margin-left:-0.0359em;margin-right:0.05em;",[1852,3328],{"className":3329,"style":2037},[2036],[1852,3331,3333],{"className":3332},[2041,2042,2043,2044],[1852,3334,3336,3340,3343],{"className":3335},[2006,2044],[1852,3337,3339],{"className":3338,"style":3205},[2006,2048,2044],"ik",[1852,3341,2359],{"className":3342},[2510,2044],[1852,3344,1983],{"className":3345},[2006,2048,2044],[1852,3347,2053],{"className":3348},[2052],[1852,3350,3352],{"className":3351},[2024],[1852,3353,3355],{"className":3354,"style":2709},[2028],[1852,3356],{},[1852,3358],{"className":3359,"style":2646},[2514],[1852,3361,2406],{"className":3362},[2484],[1852,3364],{"className":3365,"style":2646},[2514],[1852,3367,3369,3372,3421],{"className":3368},[1997],[1852,3370],{"className":3371,"style":2933},[2001],[1852,3373,3375,3378],{"className":3374},[2006],[1852,3376,2910],{"className":3377},[2006,2048],[1852,3379,3381],{"className":3380},[2015],[1852,3382,3384,3413],{"className":3383},[2019,2020],[1852,3385,3387,3410],{"className":3386},[2024],[1852,3388,3390],{"className":3389,"style":2678},[2028],[1852,3391,3392,3395],{"style":2954},[1852,3393],{"className":3394,"style":2037},[2036],[1852,3396,3398],{"className":3397},[2041,2042,2043,2044],[1852,3399,3401,3404,3407],{"className":3400},[2006,2044],[1852,3402,2356],{"className":3403},[2006,2048,2044],[1852,3405,2359],{"className":3406},[2510,2044],[1852,3408,1983],{"className":3409},[2006,2048,2044],[1852,3411,2053],{"className":3412},[2052],[1852,3414,3416],{"className":3415},[2024],[1852,3417,3419],{"className":3418,"style":2709},[2028],[1852,3420],{},[1852,3422,2359],{"className":3423},[2510],[3425,3426],"br",{},"取 ",[1852,3429,3431,3455],{"className":3430},[1958],[1852,3432,3434],{"className":3433},[1962],[1964,3435,3436],{"xmlns":1966},[1968,3437,3438,3452],{},[1971,3439,3440],{},[1974,3441,3442,3444],{},[1977,3443,2910],{},[1971,3445,3446,3448,3450],{},[1977,3447,2356],{},[2167,3449,2359],{"separator":1993},[1977,3451,1983],{},[1985,3453,3454],{"encoding":1987},"\\epsilon_{i,t}",[1852,3456,3458],{"className":3457,"ariaHidden":1993},[1992],[1852,3459,3461,3464],{"className":3460},[1997],[1852,3462],{"className":3463,"style":2933},[2001],[1852,3465,3467,3470],{"className":3466},[2006],[1852,3468,2910],{"className":3469},[2006,2048],[1852,3471,3473],{"className":3472},[2015],[1852,3474,3476,3505],{"className":3475},[2019,2020],[1852,3477,3479,3502],{"className":3478},[2024],[1852,3480,3482],{"className":3481,"style":2678},[2028],[1852,3483,3484,3487],{"style":2954},[1852,3485],{"className":3486,"style":2037},[2036],[1852,3488,3490],{"className":3489},[2041,2042,2043,2044],[1852,3491,3493,3496,3499],{"className":3492},[2006,2044],[1852,3494,2356],{"className":3495},[2006,2048,2044],[1852,3497,2359],{"className":3498},[2510,2044],[1852,3500,1983],{"className":3501},[2006,2048,2044],[1852,3503,2053],{"className":3504},[2052],[1852,3506,3508],{"className":3507},[2024],[1852,3509,3511],{"className":3510,"style":2709},[2028],[1852,3512],{}," 作为“净化后的因子”。",[1793,3515,3516],{},"得到一个包含十几个候选因子的初始因子库。",[1808,3518,3520],{"id":3519},"_4-单因子检验与因子筛选","4. 单因子检验与因子筛选",[1813,3522,3524],{"id":3523},"_41-截面预测检验ic-分组","4.1 截面预测检验（IC \u002F 分组）",[1793,3526,3527,3528,3559,3560,3589],{},"对每个因子 ",[1852,3529,3531,3545],{"className":3530},[1958],[1852,3532,3534],{"className":3533},[1962],[1964,3535,3536],{"xmlns":1966},[1968,3537,3538,3543],{},[1971,3539,3540],{},[1977,3541,3542],{},"f",[1985,3544,3542],{"encoding":1987},[1852,3546,3548],{"className":3547,"ariaHidden":1993},[1992],[1852,3549,3551,3555],{"className":3550},[1997],[1852,3552],{"className":3553,"style":3554},[2001],"height:0.8889em;vertical-align:-0.1944em;",[1852,3556,3542],{"className":3557,"style":3558},[2006,2048],"margin-right:0.1076em;","，在每个调仓截面 ",[1852,3561,3563,3576],{"className":3562},[1958],[1852,3564,3566],{"className":3565},[1962],[1964,3567,3568],{"xmlns":1966},[1968,3569,3570,3574],{},[1971,3571,3572],{},[1977,3573,1983],{},[1985,3575,1983],{"encoding":1987},[1852,3577,3579],{"className":3578,"ariaHidden":1993},[1992],[1852,3580,3582,3586],{"className":3581},[1997],[1852,3583],{"className":3584,"style":3585},[2001],"height:0.6151em;",[1852,3587,1983],{"className":3588},[2006,2048]," 进行：",[2089,3591,3592,3779],{},[1828,3593,3594,3595,3682,3683,3778],{},"计算因子值 ",[1852,3596,3598,3622],{"className":3597},[1958],[1852,3599,3601],{"className":3600},[1962],[1964,3602,3603],{"xmlns":1966},[1968,3604,3605,3619],{},[1971,3606,3607],{},[1974,3608,3609,3611],{},[1977,3610,3542],{},[1971,3612,3613,3615,3617],{},[1977,3614,2356],{},[2167,3616,2359],{"separator":1993},[1977,3618,1983],{},[1985,3620,3621],{"encoding":1987},"f_{i,t}",[1852,3623,3625],{"className":3624,"ariaHidden":1993},[1992],[1852,3626,3628,3632],{"className":3627},[1997],[1852,3629],{"className":3630,"style":3631},[2001],"height:0.9805em;vertical-align:-0.2861em;",[1852,3633,3635,3638],{"className":3634},[2006],[1852,3636,3542],{"className":3637,"style":3558},[2006,2048],[1852,3639,3641],{"className":3640},[2015],[1852,3642,3644,3674],{"className":3643},[2019,2020],[1852,3645,3647,3671],{"className":3646},[2024],[1852,3648,3650],{"className":3649,"style":2678},[2028],[1852,3651,3653,3656],{"style":3652},"top:-2.55em;margin-left:-0.1076em;margin-right:0.05em;",[1852,3654],{"className":3655,"style":2037},[2036],[1852,3657,3659],{"className":3658},[2041,2042,2043,2044],[1852,3660,3662,3665,3668],{"className":3661},[2006,2044],[1852,3663,2356],{"className":3664},[2006,2048,2044],[1852,3666,2359],{"className":3667},[2510,2044],[1852,3669,1983],{"className":3670},[2006,2048,2044],[1852,3672,2053],{"className":3673},[2052],[1852,3675,3677],{"className":3676},[2024],[1852,3678,3680],{"className":3679,"style":2709},[2028],[1852,3681],{}," 与下期收益 ",[1852,3684,3686,3714],{"className":3685},[1958],[1852,3687,3689],{"className":3688},[1962],[1964,3690,3691],{"xmlns":1966},[1968,3692,3693,3711],{},[1971,3694,3695],{},[1974,3696,3697,3699],{},[1977,3698,2411],{},[1971,3700,3701,3703,3705,3707,3709],{},[1977,3702,2356],{},[2167,3704,2359],{"separator":1993},[1977,3706,1983],{},[2167,3708,2406],{},[2171,3710,2173],{},[1985,3712,3713],{"encoding":1987},"r_{i,t+1}",[1852,3715,3717],{"className":3716,"ariaHidden":1993},[1992],[1852,3718,3720,3723],{"className":3719},[1997],[1852,3721],{"className":3722,"style":2933},[2001],[1852,3724,3726,3729],{"className":3725},[2006],[1852,3727,2411],{"className":3728,"style":2446},[2006,2048],[1852,3730,3732],{"className":3731},[2015],[1852,3733,3735,3770],{"className":3734},[2019,2020],[1852,3736,3738,3767],{"className":3737},[2024],[1852,3739,3741],{"className":3740,"style":2678},[2028],[1852,3742,3743,3746],{"style":2681},[1852,3744],{"className":3745,"style":2037},[2036],[1852,3747,3749],{"className":3748},[2041,2042,2043,2044],[1852,3750,3752,3755,3758,3761,3764],{"className":3751},[2006,2044],[1852,3753,2356],{"className":3754},[2006,2048,2044],[1852,3756,2359],{"className":3757},[2510,2044],[1852,3759,1983],{"className":3760},[2006,2048,2044],[1852,3762,2406],{"className":3763},[2484,2044],[1852,3765,2173],{"className":3766},[2006,2044],[1852,3768,2053],{"className":3769},[2052],[1852,3771,3773],{"className":3772},[2024],[1852,3774,3776],{"className":3775,"style":2709},[2028],[1852,3777],{}," 的 Rank IC；",[1828,3780,3781,3782],{},"按因子排序，将股票分成 5 组（Q1~Q5），构建：\n",[1825,3783,3784,3787,3790],{},[1828,3785,3786],{},"多头组合：Q5；",[1828,3788,3789],{},"空头组合：Q1；",[1828,3791,3792],{},"多空组合：Q5-Q1，计算其平均收益与 t 统计。",[1793,3794,3795],{},"我们得到：",[1825,3797,3798,3801],{},[1828,3799,3800],{},"Rank IC 的时间序列以及平均值、标准差、信息比率；",[1828,3802,3803],{},"多空组合的年化收益、波动与夏普。",[1793,3805,3806],{},"筛选规则示例：",[1825,3808,3809,3812],{},[1828,3810,3811],{},"月度 Rank IC 稳定在 0.04~0.07 以上的因子进入下一阶段；",[1828,3813,3814],{},"多空组合年化夏普 > 0.7 且在各子样本期中表现不显著退化。",[1813,3816,3818],{"id":3817},"_42-鲁棒性与冗余检验简要","4.2 鲁棒性与冗余检验（简要）",[1793,3820,3821],{},"对通过初筛的因子，执行第 02 章第 7 节中描述的后续阶段：",[1825,3823,3824,3827,3830,3833],{},[1828,3825,3826],{},"子样本分段检验（例如金融危机前\u002F后、不同行情阶段）；",[1828,3828,3829],{},"行业内 IC 检查不同板块的泛化能力；",[1828,3831,3832],{},"与已有 Value\u002FSize\u002FMomentum 因子及内部因子库相关性与回归检验；",[1828,3834,3835],{},"简单容量和成本敏感性检查（例如剔除过度依赖小盘且成本敏感的因子）。",[1793,3837,3838],{},"最终留下 5~8 个“可投因子”，例如：",[1825,3840,3841],{},[1828,3842,3843],{},"估值（Value）、质量（Quality）、动量（Momentum）、盈利成长（Earnings Growth）、流动性因子（Liquidity）等。",[1808,3845,3847],{"id":3846},"_5-多因子信号与组合构建","5. 多因子信号与组合构建",[1813,3849,3851],{"id":3850},"_51-多因子打分模型","5.1 多因子打分模型",[1793,3853,3854,3855,3883,3884,3914],{},"在每个调仓日 ",[1852,3856,3858,3871],{"className":3857},[1958],[1852,3859,3861],{"className":3860},[1962],[1964,3862,3863],{"xmlns":1966},[1968,3864,3865,3869],{},[1971,3866,3867],{},[1977,3868,1983],{},[1985,3870,1983],{"encoding":1987},[1852,3872,3874],{"className":3873,"ariaHidden":1993},[1992],[1852,3875,3877,3880],{"className":3876},[1997],[1852,3878],{"className":3879,"style":3585},[2001],[1852,3881,1983],{"className":3882},[2006,2048],"，对通过筛选的 ",[1852,3885,3887,3901],{"className":3886},[1958],[1852,3888,3890],{"className":3889},[1962],[1964,3891,3892],{"xmlns":1966},[1968,3893,3894,3899],{},[1971,3895,3896],{},[1977,3897,3898],{},"K",[1985,3900,3898],{"encoding":1987},[1852,3902,3904],{"className":3903,"ariaHidden":1993},[1992],[1852,3905,3907,3910],{"className":3906},[1997],[1852,3908],{"className":3909,"style":2261},[2001],[1852,3911,3898],{"className":3912,"style":3913},[2006,2048],"margin-right:0.0715em;"," 个因子构建线性打分：",[1852,3916,3918],{"className":3917},[2317],[1852,3919,3921,3998],{"className":3920},[1958],[1852,3922,3924],{"className":3923},[1962],[1964,3925,3926],{"xmlns":1966,"display":2326},[1968,3927,3928,3995],{},[1971,3929,3930,3933,3936,3939,3941,3954,3956,3970,3977,3993],{},[1977,3931,3932],{},"S",[1977,3934,3935],{},"c",[1977,3937,3938],{},"o",[1977,3940,2411],{},[1974,3942,3943,3946],{},[1977,3944,3945],{},"e",[1971,3947,3948,3950,3952],{},[1977,3949,2356],{},[2167,3951,2359],{"separator":1993},[1977,3953,1983],{},[2167,3955,2367],{},[2369,3957,3958,3960,3968],{},[2167,3959,2853],{},[1971,3961,3962,3964,3966],{},[1977,3963,2856],{},[2167,3965,2367],{},[2171,3967,2173],{},[1977,3969,3898],{},[1974,3971,3972,3975],{},[1977,3973,3974],{},"w",[1977,3976,2856],{},[1974,3978,3979,3981],{},[1977,3980,3542],{},[1971,3982,3983,3985,3987,3989,3991],{},[1977,3984,2856],{},[2167,3986,2359],{"separator":1993},[1977,3988,2356],{},[2167,3990,2359],{"separator":1993},[1977,3992,1983],{},[2167,3994,2359],{"separator":1993},[1985,3996,3997],{"encoding":1987},"Score_{i,t} = \\sum_{k=1}^K w_k f_{k,i,t},",[1852,3999,4001,4073],{"className":4000,"ariaHidden":1993},[1992],[1852,4002,4004,4008,4011,4015,4064,4067,4070],{"className":4003},[1997],[1852,4005],{"className":4006,"style":4007},[2001],"height:0.9694em;vertical-align:-0.2861em;",[1852,4009,3932],{"className":4010,"style":2197},[2006,2048],[1852,4012,4014],{"className":4013,"style":2446},[2006,2048],"cor",[1852,4016,4018,4021],{"className":4017},[2006],[1852,4019,3945],{"className":4020},[2006,2048],[1852,4022,4024],{"className":4023},[2015],[1852,4025,4027,4056],{"className":4026},[2019,2020],[1852,4028,4030,4053],{"className":4029},[2024],[1852,4031,4033],{"className":4032,"style":2678},[2028],[1852,4034,4035,4038],{"style":2954},[1852,4036],{"className":4037,"style":2037},[2036],[1852,4039,4041],{"className":4040},[2041,2042,2043,2044],[1852,4042,4044,4047,4050],{"className":4043},[2006,2044],[1852,4045,2356],{"className":4046},[2006,2048,2044],[1852,4048,2359],{"className":4049},[2510,2044],[1852,4051,1983],{"className":4052},[2006,2048,2044],[1852,4054,2053],{"className":4055},[2052],[1852,4057,4059],{"className":4058},[2024],[1852,4060,4062],{"className":4061,"style":2709},[2028],[1852,4063],{},[1852,4065],{"className":4066,"style":2526},[2514],[1852,4068,2367],{"className":4069},[2530],[1852,4071],{"className":4072,"style":2526},[2514],[1852,4074,4076,4080,4145,4148,4190,4245],{"className":4075},[1997],[1852,4077],{"className":4078,"style":4079},[2001],"height:3.1304em;vertical-align:-1.3021em;",[1852,4081,4083],{"className":4082},[2544,2545],[1852,4084,4086,4137],{"className":4085},[2019,2020],[1852,4087,4089,4134],{"className":4088},[2024],[1852,4090,4093,4113,4123],{"className":4091,"style":4092},[2028],"height:1.8283em;",[1852,4094,4095,4098],{"style":3195},[1852,4096],{"className":4097,"style":2562},[2036],[1852,4099,4101],{"className":4100},[2041,2042,2043,2044],[1852,4102,4104,4107,4110],{"className":4103},[2006,2044],[1852,4105,2856],{"className":4106,"style":3205},[2006,2048,2044],[1852,4108,2367],{"className":4109},[2530,2044],[1852,4111,2173],{"className":4112},[2006,2044],[1852,4114,4115,4118],{"style":2590},[1852,4116],{"className":4117,"style":2562},[2036],[1852,4119,4120],{},[1852,4121,2853],{"className":4122},[2544,2599,2600],[1852,4124,4125,4128],{"style":2603},[1852,4126],{"className":4127,"style":2562},[2036],[1852,4129,4131],{"className":4130},[2041,2042,2043,2044],[1852,4132,3898],{"className":4133,"style":3913},[2006,2048,2044],[1852,4135,2053],{"className":4136},[2052],[1852,4138,4140],{"className":4139},[2024],[1852,4141,4143],{"className":4142,"style":3225},[2028],[1852,4144],{},[1852,4146],{"className":4147,"style":2515},[2514],[1852,4149,4151,4155],{"className":4150},[2006],[1852,4152,3974],{"className":4153,"style":4154},[2006,2048],"margin-right:0.0269em;",[1852,4156,4158],{"className":4157},[2015],[1852,4159,4161,4182],{"className":4160},[2019,2020],[1852,4162,4164,4179],{"className":4163},[2024],[1852,4165,4167],{"className":4166,"style":3250},[2028],[1852,4168,4170,4173],{"style":4169},"top:-2.55em;margin-left:-0.0269em;margin-right:0.05em;",[1852,4171],{"className":4172,"style":2037},[2036],[1852,4174,4176],{"className":4175},[2041,2042,2043,2044],[1852,4177,2856],{"className":4178,"style":3205},[2006,2048,2044],[1852,4180,2053],{"className":4181},[2052],[1852,4183,4185],{"className":4184},[2024],[1852,4186,4188],{"className":4187,"style":2060},[2028],[1852,4189],{},[1852,4191,4193,4196],{"className":4192},[2006],[1852,4194,3542],{"className":4195,"style":3558},[2006,2048],[1852,4197,4199],{"className":4198},[2015],[1852,4200,4202,4237],{"className":4201},[2019,2020],[1852,4203,4205,4234],{"className":4204},[2024],[1852,4206,4208],{"className":4207,"style":3250},[2028],[1852,4209,4210,4213],{"style":3652},[1852,4211],{"className":4212,"style":2037},[2036],[1852,4214,4216],{"className":4215},[2041,2042,2043,2044],[1852,4217,4219,4222,4225,4228,4231],{"className":4218},[2006,2044],[1852,4220,2856],{"className":4221,"style":3205},[2006,2048,2044],[1852,4223,2359],{"className":4224},[2510,2044],[1852,4226,2356],{"className":4227},[2006,2048,2044],[1852,4229,2359],{"className":4230},[2510,2044],[1852,4232,1983],{"className":4233},[2006,2048,2044],[1852,4235,2053],{"className":4236},[2052],[1852,4238,4240],{"className":4239},[2024],[1852,4241,4243],{"className":4242,"style":2709},[2028],[1852,4244],{},[1852,4246,2359],{"className":4247},[2510],[1793,4249,4250,4251,4346,4347,4418],{},"其中 ",[1852,4252,4254,4282],{"className":4253},[1958],[1852,4255,4257],{"className":4256},[1962],[1964,4258,4259],{"xmlns":1966},[1968,4260,4261,4279],{},[1971,4262,4263],{},[1974,4264,4265,4267],{},[1977,4266,3542],{},[1971,4268,4269,4271,4273,4275,4277],{},[1977,4270,2856],{},[2167,4272,2359],{"separator":1993},[1977,4274,2356],{},[2167,4276,2359],{"separator":1993},[1977,4278,1983],{},[1985,4280,4281],{"encoding":1987},"f_{k,i,t}",[1852,4283,4285],{"className":4284,"ariaHidden":1993},[1992],[1852,4286,4288,4291],{"className":4287},[1997],[1852,4289],{"className":4290,"style":3631},[2001],[1852,4292,4294,4297],{"className":4293},[2006],[1852,4295,3542],{"className":4296,"style":3558},[2006,2048],[1852,4298,4300],{"className":4299},[2015],[1852,4301,4303,4338],{"className":4302},[2019,2020],[1852,4304,4306,4335],{"className":4305},[2024],[1852,4307,4309],{"className":4308,"style":3250},[2028],[1852,4310,4311,4314],{"style":3652},[1852,4312],{"className":4313,"style":2037},[2036],[1852,4315,4317],{"className":4316},[2041,2042,2043,2044],[1852,4318,4320,4323,4326,4329,4332],{"className":4319},[2006,2044],[1852,4321,2856],{"className":4322,"style":3205},[2006,2048,2044],[1852,4324,2359],{"className":4325},[2510,2044],[1852,4327,2356],{"className":4328},[2006,2048,2044],[1852,4330,2359],{"className":4331},[2510,2044],[1852,4333,1983],{"className":4334},[2006,2048,2044],[1852,4336,2053],{"className":4337},[2052],[1852,4339,4341],{"className":4340},[2024],[1852,4342,4344],{"className":4343,"style":2709},[2028],[1852,4345],{}," 为标准化且中性化后的因子值。",[1852,4348,4350,4368],{"className":4349},[1958],[1852,4351,4353],{"className":4352},[1962],[1964,4354,4355],{"xmlns":1966},[1968,4356,4357,4365],{},[1971,4358,4359],{},[1974,4360,4361,4363],{},[1977,4362,3974],{},[1977,4364,2856],{},[1985,4366,4367],{"encoding":1987},"w_k",[1852,4369,4371],{"className":4370,"ariaHidden":1993},[1992],[1852,4372,4374,4378],{"className":4373},[1997],[1852,4375],{"className":4376,"style":4377},[2001],"height:0.5806em;vertical-align:-0.15em;",[1852,4379,4381,4384],{"className":4380},[2006],[1852,4382,3974],{"className":4383,"style":4154},[2006,2048],[1852,4385,4387],{"className":4386},[2015],[1852,4388,4390,4410],{"className":4389},[2019,2020],[1852,4391,4393,4407],{"className":4392},[2024],[1852,4394,4396],{"className":4395,"style":3250},[2028],[1852,4397,4398,4401],{"style":4169},[1852,4399],{"className":4400,"style":2037},[2036],[1852,4402,4404],{"className":4403},[2041,2042,2043,2044],[1852,4405,2856],{"className":4406,"style":3205},[2006,2048,2044],[1852,4408,2053],{"className":4409},[2052],[1852,4411,4413],{"className":4412},[2024],[1852,4414,4416],{"className":4415,"style":2060},[2028],[1852,4417],{}," 的设定方式：",[1825,4420,4421,4526,4748],{},[1828,4422,4423,4424,1869],{},"简单等权：",[1852,4425,4427,4455],{"className":4426},[1958],[1852,4428,4430],{"className":4429},[1962],[1964,4431,4432],{"xmlns":1966},[1968,4433,4434,4452],{},[1971,4435,4436,4442,4444,4446,4450],{},[1974,4437,4438,4440],{},[1977,4439,3974],{},[1977,4441,2856],{},[2167,4443,2367],{},[2171,4445,2173],{},[1977,4447,4449],{"mathvariant":4448},"normal","\u002F",[1977,4451,3898],{},[1985,4453,4454],{"encoding":1987},"w_k = 1\u002FK",[1852,4456,4458,4513],{"className":4457,"ariaHidden":1993},[1992],[1852,4459,4461,4464,4504,4507,4510],{"className":4460},[1997],[1852,4462],{"className":4463,"style":4377},[2001],[1852,4465,4467,4470],{"className":4466},[2006],[1852,4468,3974],{"className":4469,"style":4154},[2006,2048],[1852,4471,4473],{"className":4472},[2015],[1852,4474,4476,4496],{"className":4475},[2019,2020],[1852,4477,4479,4493],{"className":4478},[2024],[1852,4480,4482],{"className":4481,"style":3250},[2028],[1852,4483,4484,4487],{"style":4169},[1852,4485],{"className":4486,"style":2037},[2036],[1852,4488,4490],{"className":4489},[2041,2042,2043,2044],[1852,4491,2856],{"className":4492,"style":3205},[2006,2048,2044],[1852,4494,2053],{"className":4495},[2052],[1852,4497,4499],{"className":4498},[2024],[1852,4500,4502],{"className":4501,"style":2060},[2028],[1852,4503],{},[1852,4505],{"className":4506,"style":2526},[2514],[1852,4508,2367],{"className":4509},[2530],[1852,4511],{"className":4512,"style":2526},[2514],[1852,4514,4516,4519,4523],{"className":4515},[1997],[1852,4517],{"className":4518,"style":2439},[2001],[1852,4520,4522],{"className":4521},[2006],"1\u002F",[1852,4524,3898],{"className":4525,"style":3913},[2006,2048],[1828,4527,4528,4529,4671,4672,4747],{},"基于 IC 的权重：",[1852,4530,4532,4562],{"className":4531},[1958],[1852,4533,4535],{"className":4534},[1962],[1964,4536,4537],{"xmlns":1966},[1968,4538,4539,4559],{},[1971,4540,4541,4547,4550,4552],{},[1974,4542,4543,4545],{},[1977,4544,3974],{},[1977,4546,2856],{},[2167,4548,4549],{},"∝",[1977,4551,2872],{},[1974,4553,4554,4557],{},[1977,4555,4556],{},"R",[1977,4558,2856],{},[1985,4560,4561],{"encoding":1987},"w_k \\propto IR_k",[1852,4563,4565,4620],{"className":4564,"ariaHidden":1993},[1992],[1852,4566,4568,4571,4611,4614,4617],{"className":4567},[1997],[1852,4569],{"className":4570,"style":4377},[2001],[1852,4572,4574,4577],{"className":4573},[2006],[1852,4575,3974],{"className":4576,"style":4154},[2006,2048],[1852,4578,4580],{"className":4579},[2015],[1852,4581,4583,4603],{"className":4582},[2019,2020],[1852,4584,4586,4600],{"className":4585},[2024],[1852,4587,4589],{"className":4588,"style":3250},[2028],[1852,4590,4591,4594],{"style":4169},[1852,4592],{"className":4593,"style":2037},[2036],[1852,4595,4597],{"className":4596},[2041,2042,2043,2044],[1852,4598,2856],{"className":4599,"style":3205},[2006,2048,2044],[1852,4601,2053],{"className":4602},[2052],[1852,4604,4606],{"className":4605},[2024],[1852,4607,4609],{"className":4608,"style":2060},[2028],[1852,4610],{},[1852,4612],{"className":4613,"style":2526},[2514],[1852,4615,4549],{"className":4616},[2530],[1852,4618],{"className":4619,"style":2526},[2514],[1852,4621,4623,4626,4629],{"className":4622},[1997],[1852,4624],{"className":4625,"style":2002},[2001],[1852,4627,2872],{"className":4628,"style":3286},[2006,2048],[1852,4630,4632,4636],{"className":4631},[2006],[1852,4633,4556],{"className":4634,"style":4635},[2006,2048],"margin-right:0.0077em;",[1852,4637,4639],{"className":4638},[2015],[1852,4640,4642,4663],{"className":4641},[2019,2020],[1852,4643,4645,4660],{"className":4644},[2024],[1852,4646,4648],{"className":4647,"style":3250},[2028],[1852,4649,4651,4654],{"style":4650},"top:-2.55em;margin-left:-0.0077em;margin-right:0.05em;",[1852,4652],{"className":4653,"style":2037},[2036],[1852,4655,4657],{"className":4656},[2041,2042,2043,2044],[1852,4658,2856],{"className":4659,"style":3205},[2006,2048,2044],[1852,4661,2053],{"className":4662},[2052],[1852,4664,4666],{"className":4665},[2024],[1852,4667,4669],{"className":4668,"style":2060},[2028],[1852,4670],{},"，其中 ",[1852,4673,4675,4695],{"className":4674},[1958],[1852,4676,4678],{"className":4677},[1962],[1964,4679,4680],{"xmlns":1966},[1968,4681,4682,4692],{},[1971,4683,4684,4686],{},[1977,4685,2872],{},[1974,4687,4688,4690],{},[1977,4689,4556],{},[1977,4691,2856],{},[1985,4693,4694],{"encoding":1987},"IR_k",[1852,4696,4698],{"className":4697,"ariaHidden":1993},[1992],[1852,4699,4701,4704,4707],{"className":4700},[1997],[1852,4702],{"className":4703,"style":2002},[2001],[1852,4705,2872],{"className":4706,"style":3286},[2006,2048],[1852,4708,4710,4713],{"className":4709},[2006],[1852,4711,4556],{"className":4712,"style":4635},[2006,2048],[1852,4714,4716],{"className":4715},[2015],[1852,4717,4719,4739],{"className":4718},[2019,2020],[1852,4720,4722,4736],{"className":4721},[2024],[1852,4723,4725],{"className":4724,"style":3250},[2028],[1852,4726,4727,4730],{"style":4650},[1852,4728],{"className":4729,"style":2037},[2036],[1852,4731,4733],{"className":4732},[2041,2042,2043,2044],[1852,4734,2856],{"className":4735,"style":3205},[2006,2048,2044],[1852,4737,2053],{"className":4738},[2052],[1852,4740,4742],{"className":4741},[2024],[1852,4743,4745],{"className":4744,"style":2060},[2028],[1852,4746],{}," 是因子历史 Rank IC 信息比率；",[1828,4749,4750],{},"基于回归或优化估计的权重（如横截面回归系数）。",[1813,4752,4754],{"id":4753},"_52-从打分到目标权重","5.2 从打分到目标权重",[1793,4756,4757],{},"定义目标持仓权重为打分的单调函数：",[1852,4759,4761],{"className":4760},[2317],[1852,4762,4764,4890],{"className":4763},[1958],[1852,4765,4767],{"className":4766},[1962],[1964,4768,4769],{"xmlns":1966,"display":2326},[1968,4770,4771,4887],{},[1971,4772,4773,4791,4793,4885],{},[1974,4774,4775,4783],{},[4776,4777,4778,4780],"mover",{"accent":1993},[1977,4779,3974],{},[2167,4781,4782],{},"~",[1971,4784,4785,4787,4789],{},[1977,4786,2356],{},[2167,4788,2359],{"separator":1993},[1977,4790,1983],{},[2167,4792,2367],{},[4794,4795,4796,4833],"mfrac",{},[1971,4797,4798,4801,4803,4805,4808,4811,4813,4815,4817,4819,4831],{},[1977,4799,4800],{},"exp",[2167,4802,2826],{},[2167,4804,2353],{"stretchy":2352},[1977,4806,4807],{},"η",[2167,4809,4810],{},"⋅",[1977,4812,3932],{},[1977,4814,3935],{},[1977,4816,3938],{},[1977,4818,2411],{},[1974,4820,4821,4823],{},[1977,4822,3945],{},[1971,4824,4825,4827,4829],{},[1977,4826,2356],{},[2167,4828,2359],{"separator":1993},[1977,4830,1983],{},[2167,4832,2364],{"stretchy":2352},[1971,4834,4835,4853,4855,4857,4859,4861,4863,4865,4867,4869,4871,4883],{},[2849,4836,4837,4839],{},[2167,4838,2853],{},[1971,4840,4841,4844,4847],{},[1977,4842,4843],{},"j",[2167,4845,4846],{},"∈",[1974,4848,4849,4851],{},[1977,4850,1980],{"mathvariant":1979},[1977,4852,1983],{},[1977,4854,4800],{},[2167,4856,2826],{},[2167,4858,2353],{"stretchy":2352},[1977,4860,4807],{},[2167,4862,4810],{},[1977,4864,3932],{},[1977,4866,3935],{},[1977,4868,3938],{},[1977,4870,2411],{},[1974,4872,4873,4875],{},[1977,4874,3945],{},[1971,4876,4877,4879,4881],{},[1977,4878,4843],{},[2167,4880,2359],{"separator":1993},[1977,4882,1983],{},[2167,4884,2364],{"stretchy":2352},[2167,4886,2359],{"separator":1993},[1985,4888,4889],{"encoding":1987},"\\tilde{w}_{i,t} = \\frac{\\exp(\\eta \\cdot Score_{i,t})}{\\sum_{j \\in \\mathcal{U}_t} \\exp(\\eta \\cdot Score_{j,t})},",[1852,4891,4893,4993],{"className":4892,"ariaHidden":1993},[1992],[1852,4894,4896,4900,4984,4987,4990],{"className":4895},[1997],[1852,4897],{"className":4898,"style":4899},[2001],"height:0.954em;vertical-align:-0.2861em;",[1852,4901,4903,4941],{"className":4902},[2006],[1852,4904,4907],{"className":4905},[2006,4906],"accent",[1852,4908,4910],{"className":4909},[2019],[1852,4911,4913],{"className":4912},[2024],[1852,4914,4917,4927],{"className":4915,"style":4916},[2028],"height:0.6679em;",[1852,4918,4920,4924],{"style":4919},"top:-3em;",[1852,4921],{"className":4922,"style":4923},[2036],"height:3em;",[1852,4925,3974],{"className":4926,"style":4154},[2006,2048],[1852,4928,4930,4933],{"style":4929},"top:-3.35em;",[1852,4931],{"className":4932,"style":4923},[2036],[1852,4934,4938],{"className":4935,"style":4937},[4936],"accent-body","left:-0.1667em;",[1852,4939,4782],{"className":4940},[2006],[1852,4942,4944],{"className":4943},[2015],[1852,4945,4947,4976],{"className":4946},[2019,2020],[1852,4948,4950,4973],{"className":4949},[2024],[1852,4951,4953],{"className":4952,"style":2678},[2028],[1852,4954,4955,4958],{"style":4169},[1852,4956],{"className":4957,"style":2037},[2036],[1852,4959,4961],{"className":4960},[2041,2042,2043,2044],[1852,4962,4964,4967,4970],{"className":4963},[2006,2044],[1852,4965,2356],{"className":4966},[2006,2048,2044],[1852,4968,2359],{"className":4969},[2510,2044],[1852,4971,1983],{"className":4972},[2006,2048,2044],[1852,4974,2053],{"className":4975},[2052],[1852,4977,4979],{"className":4978},[2024],[1852,4980,4982],{"className":4981,"style":2709},[2028],[1852,4983],{},[1852,4985],{"className":4986,"style":2526},[2514],[1852,4988,2367],{"className":4989},[2530],[1852,4991],{"className":4992,"style":2526},[2514],[1852,4994,4996,5000,5317],{"className":4995},[1997],[1852,4997],{"className":4998,"style":4999},[2001],"height:2.5488em;vertical-align:-1.1218em;",[1852,5001,5003,5007,5314],{"className":5002},[2006],[1852,5004],{"className":5005},[2503,5006],"nulldelimiter",[1852,5008,5010],{"className":5009},[4794],[1852,5011,5013,5305],{"className":5012},[2019,2020],[1852,5014,5016,5302],{"className":5015},[2024],[1852,5017,5020,5206,5217],{"className":5018,"style":5019},[2028],"height:1.427em;",[1852,5021,5023,5026],{"style":5022},"top:-2.314em;",[1852,5024],{"className":5025,"style":4923},[2036],[1852,5027,5029,5127,5130,5133,5136,5139,5142,5145,5148,5151,5154,5203],{"className":5028},[2006],[1852,5030,5032,5037],{"className":5031},[2544],[1852,5033,2853],{"className":5034,"style":5036},[2544,2599,5035],"small-op","position:relative;top:0em;",[1852,5038,5040],{"className":5039},[2015],[1852,5041,5043,5118],{"className":5042},[2019,2020],[1852,5044,5046,5115],{"className":5045},[2024],[1852,5047,5050],{"className":5048,"style":5049},[2028],"height:0.1786em;",[1852,5051,5053,5056],{"style":5052},"top:-2.4003em;margin-left:0em;margin-right:0.05em;",[1852,5054],{"className":5055,"style":2037},[2036],[1852,5057,5059],{"className":5058},[2041,2042,2043,2044],[1852,5060,5062,5066,5069],{"className":5061},[2006,2044],[1852,5063,4843],{"className":5064,"style":5065},[2006,2048,2044],"margin-right:0.0572em;",[1852,5067,4846],{"className":5068},[2530,2044],[1852,5070,5072,5075],{"className":5071},[2006,2044],[1852,5073,1980],{"className":5074,"style":2011},[2006,2010,2044],[1852,5076,5078],{"className":5077},[2015],[1852,5079,5081,5106],{"className":5080},[2019,2020],[1852,5082,5084,5103],{"className":5083},[2024],[1852,5085,5088],{"className":5086,"style":5087},[2028],"height:0.2963em;",[1852,5089,5091,5095],{"style":5090},"top:-2.357em;margin-left:-0.0993em;margin-right:0.0714em;",[1852,5092],{"className":5093,"style":5094},[2036],"height:2.5em;",[1852,5096,5100],{"className":5097},[2041,5098,5099,2044],"reset-size3","size1",[1852,5101,1983],{"className":5102},[2006,2048,2044],[1852,5104,2053],{"className":5105},[2052],[1852,5107,5109],{"className":5108},[2024],[1852,5110,5113],{"className":5111,"style":5112},[2028],"height:0.143em;",[1852,5114],{},[1852,5116,2053],{"className":5117},[2052],[1852,5119,5121],{"className":5120},[2024],[1852,5122,5125],{"className":5123,"style":5124},[2028],"height:0.4358em;",[1852,5126],{},[1852,5128],{"className":5129,"style":2515},[2514],[1852,5131,4800],{"className":5132},[2544],[1852,5134,2353],{"className":5135},[2503],[1852,5137,4807],{"className":5138,"style":3311},[2006,2048],[1852,5140],{"className":5141,"style":2646},[2514],[1852,5143,4810],{"className":5144},[2484],[1852,5146],{"className":5147,"style":2646},[2514],[1852,5149,3932],{"className":5150,"style":2197},[2006,2048],[1852,5152,4014],{"className":5153,"style":2446},[2006,2048],[1852,5155,5157,5160],{"className":5156},[2006],[1852,5158,3945],{"className":5159},[2006,2048],[1852,5161,5163],{"className":5162},[2015],[1852,5164,5166,5195],{"className":5165},[2019,2020],[1852,5167,5169,5192],{"className":5168},[2024],[1852,5170,5172],{"className":5171,"style":2678},[2028],[1852,5173,5174,5177],{"style":2954},[1852,5175],{"className":5176,"style":2037},[2036],[1852,5178,5180],{"className":5179},[2041,2042,2043,2044],[1852,5181,5183,5186,5189],{"className":5182},[2006,2044],[1852,5184,4843],{"className":5185,"style":5065},[2006,2048,2044],[1852,5187,2359],{"className":5188},[2510,2044],[1852,5190,1983],{"className":5191},[2006,2048,2044],[1852,5193,2053],{"className":5194},[2052],[1852,5196,5198],{"className":5197},[2024],[1852,5199,5201],{"className":5200,"style":2709},[2028],[1852,5202],{},[1852,5204,2364],{"className":5205},[2522],[1852,5207,5209,5212],{"style":5208},"top:-3.23em;",[1852,5210],{"className":5211,"style":4923},[2036],[1852,5213],{"className":5214,"style":5216},[5215],"frac-line","border-bottom-width:0.04em;",[1852,5218,5220,5223],{"style":5219},"top:-3.677em;",[1852,5221],{"className":5222,"style":4923},[2036],[1852,5224,5226,5229,5232,5235,5238,5241,5244,5247,5250,5299],{"className":5225},[2006],[1852,5227,4800],{"className":5228},[2544],[1852,5230,2353],{"className":5231},[2503],[1852,5233,4807],{"className":5234,"style":3311},[2006,2048],[1852,5236],{"className":5237,"style":2646},[2514],[1852,5239,4810],{"className":5240},[2484],[1852,5242],{"className":5243,"style":2646},[2514],[1852,5245,3932],{"className":5246,"style":2197},[2006,2048],[1852,5248,4014],{"className":5249,"style":2446},[2006,2048],[1852,5251,5253,5256],{"className":5252},[2006],[1852,5254,3945],{"className":5255},[2006,2048],[1852,5257,5259],{"className":5258},[2015],[1852,5260,5262,5291],{"className":5261},[2019,2020],[1852,5263,5265,5288],{"className":5264},[2024],[1852,5266,5268],{"className":5267,"style":2678},[2028],[1852,5269,5270,5273],{"style":2954},[1852,5271],{"className":5272,"style":2037},[2036],[1852,5274,5276],{"className":5275},[2041,2042,2043,2044],[1852,5277,5279,5282,5285],{"className":5278},[2006,2044],[1852,5280,2356],{"className":5281},[2006,2048,2044],[1852,5283,2359],{"className":5284},[2510,2044],[1852,5286,1983],{"className":5287},[2006,2048,2044],[1852,5289,2053],{"className":5290},[2052],[1852,5292,5294],{"className":5293},[2024],[1852,5295,5297],{"className":5296,"style":2709},[2028],[1852,5298],{},[1852,5300,2364],{"className":5301},[2522],[1852,5303,2053],{"className":5304},[2052],[1852,5306,5308],{"className":5307},[2024],[1852,5309,5312],{"className":5310,"style":5311},[2028],"height:1.1218em;",[1852,5313],{},[1852,5315],{"className":5316},[2522,5006],[1852,5318,2359],{"className":5319},[2510],[1793,5321,4250,5322,5352],{},[1852,5323,5325,5339],{"className":5324},[1958],[1852,5326,5328],{"className":5327},[1962],[1964,5329,5330],{"xmlns":1966},[1968,5331,5332,5336],{},[1971,5333,5334],{},[1977,5335,4807],{},[1985,5337,5338],{"encoding":1987},"\\eta",[1852,5340,5342],{"className":5341,"ariaHidden":1993},[1992],[1852,5343,5345,5349],{"className":5344},[1997],[1852,5346],{"className":5347,"style":5348},[2001],"height:0.625em;vertical-align:-0.1944em;",[1852,5350,4807],{"className":5351,"style":3311},[2006,2048]," 控制打分对权重的敏感度。为构建多空组合：",[1825,5354,5355,5358],{},[1828,5356,5357],{},"取最高分的前 30% 作为多头候选，最低 30% 作为空头候选；",[1828,5359,5360,5361],{},"在多头和空头内部各自归一化权重，使得多头和空头总权重绝对值相等：",[1852,5362,5364],{"className":5363},[2317],[1852,5365,5367,5490],{"className":5366},[1958],[1852,5368,5370],{"className":5369},[1962],[1964,5371,5372],{"xmlns":1966,"display":2326},[1968,5373,5374,5487],{},[1971,5375,5376,5400,5423,5425,5427,5429,5432,5457,5481,5483,5485],{},[2849,5377,5378,5380],{},[2167,5379,2853],{},[1971,5381,5382,5384,5386,5389,5391,5393],{},[1977,5383,2356],{},[2167,5385,4846],{},[1977,5387,5388],{},"L",[1977,5390,3938],{},[1977,5392,2875],{},[1974,5394,5395,5398],{},[1977,5396,5397],{},"g",[1977,5399,1983],{},[5401,5402,5403,5405,5413],"msubsup",{},[1977,5404,3974],{},[1971,5406,5407,5409,5411],{},[1977,5408,2356],{},[2167,5410,2359],{"separator":1993},[1977,5412,1983],{},[1971,5414,5415,5417,5419,5421],{},[1977,5416,5388],{},[1977,5418,3938],{},[1977,5420,2875],{},[1977,5422,5397],{},[2167,5424,2367],{},[2171,5426,2173],{},[2167,5428,2359],{"separator":1993},[2514,5430],{"width":5431},"1em",[2849,5433,5434,5436],{},[2167,5435,2853],{},[1971,5437,5438,5440,5442,5444,5447,5449,5451],{},[1977,5439,2356],{},[2167,5441,4846],{},[1977,5443,3932],{},[1977,5445,5446],{},"h",[1977,5448,3938],{},[1977,5450,2411],{},[1974,5452,5453,5455],{},[1977,5454,1983],{},[1977,5456,1983],{},[5401,5458,5459,5461,5469],{},[1977,5460,3974],{},[1971,5462,5463,5465,5467],{},[1977,5464,2356],{},[2167,5466,2359],{"separator":1993},[1977,5468,1983],{},[1971,5470,5471,5473,5475,5477,5479],{},[1977,5472,3932],{},[1977,5474,5446],{},[1977,5476,3938],{},[1977,5478,2411],{},[1977,5480,1983],{},[2167,5482,2367],{},[2167,5484,2169],{},[2171,5486,2426],{},[1985,5488,5489],{"encoding":1987},"\\sum_{i \\in Long_t} w_{i,t}^{Long} = 1, \\quad \\sum_{i \\in Short_t} w_{i,t}^{Short} = -1.",[1852,5491,5493,5690,5900],{"className":5492,"ariaHidden":1993},[1992],[1852,5494,5496,5500,5602,5605,5681,5684,5687],{"className":5495},[1997],[1852,5497],{"className":5498,"style":5499},[2001],"height:2.4804em;vertical-align:-1.4304em;",[1852,5501,5503],{"className":5502},[2544,2545],[1852,5504,5506,5593],{"className":5505},[2019,2020],[1852,5507,5509,5590],{"className":5508},[2024],[1852,5510,5512,5580],{"className":5511,"style":3192},[2028],[1852,5513,5515,5518],{"style":5514},"top:-1.8557em;margin-left:0em;",[1852,5516],{"className":5517,"style":2562},[2036],[1852,5519,5521],{"className":5520},[2041,2042,2043,2044],[1852,5522,5524,5527,5530,5533,5536,5539],{"className":5523},[2006,2044],[1852,5525,2356],{"className":5526},[2006,2048,2044],[1852,5528,4846],{"className":5529},[2530,2044],[1852,5531,5388],{"className":5532},[2006,2048,2044],[1852,5534,3938],{"className":5535},[2006,2048,2044],[1852,5537,2875],{"className":5538},[2006,2048,2044],[1852,5540,5542,5545],{"className":5541},[2006,2044],[1852,5543,5397],{"className":5544,"style":3311},[2006,2048,2044],[1852,5546,5548],{"className":5547},[2015],[1852,5549,5551,5572],{"className":5550},[2019,2020],[1852,5552,5554,5569],{"className":5553},[2024],[1852,5555,5557],{"className":5556,"style":5087},[2028],[1852,5558,5560,5563],{"style":5559},"top:-2.357em;margin-left:-0.0359em;margin-right:0.0714em;",[1852,5561],{"className":5562,"style":5094},[2036],[1852,5564,5566],{"className":5565},[2041,5098,5099,2044],[1852,5567,1983],{"className":5568},[2006,2048,2044],[1852,5570,2053],{"className":5571},[2052],[1852,5573,5575],{"className":5574},[2024],[1852,5576,5578],{"className":5577,"style":5112},[2028],[1852,5579],{},[1852,5581,5582,5585],{"style":2590},[1852,5583],{"className":5584,"style":2562},[2036],[1852,5586,5587],{},[1852,5588,2853],{"className":5589},[2544,2599,2600],[1852,5591,2053],{"className":5592},[2052],[1852,5594,5596],{"className":5595},[2024],[1852,5597,5600],{"className":5598,"style":5599},[2028],"height:1.4304em;",[1852,5601],{},[1852,5603],{"className":5604,"style":2515},[2514],[1852,5606,5608,5611],{"className":5607},[2006],[1852,5609,3974],{"className":5610,"style":4154},[2006,2048],[1852,5612,5614],{"className":5613},[2015],[1852,5615,5617,5672],{"className":5616},[2019,2020],[1852,5618,5620,5669],{"className":5619},[2024],[1852,5621,5624,5645],{"className":5622,"style":5623},[2028],"height:0.9592em;",[1852,5625,5627,5630],{"style":5626},"top:-2.4231em;margin-left:-0.0269em;margin-right:0.05em;",[1852,5628],{"className":5629,"style":2037},[2036],[1852,5631,5633],{"className":5632},[2041,2042,2043,2044],[1852,5634,5636,5639,5642],{"className":5635},[2006,2044],[1852,5637,2356],{"className":5638},[2006,2048,2044],[1852,5640,2359],{"className":5641},[2510,2044],[1852,5643,1983],{"className":5644},[2006,2048,2044],[1852,5646,5648,5651],{"style":5647},"top:-3.1809em;margin-right:0.05em;",[1852,5649],{"className":5650,"style":2037},[2036],[1852,5652,5654],{"className":5653},[2041,2042,2043,2044],[1852,5655,5657,5660,5663,5666],{"className":5656},[2006,2044],[1852,5658,5388],{"className":5659},[2006,2048,2044],[1852,5661,3938],{"className":5662},[2006,2048,2044],[1852,5664,2875],{"className":5665},[2006,2048,2044],[1852,5667,5397],{"className":5668,"style":3311},[2006,2048,2044],[1852,5670,2053],{"className":5671},[2052],[1852,5673,5675],{"className":5674},[2024],[1852,5676,5679],{"className":5677,"style":5678},[2028],"height:0.413em;",[1852,5680],{},[1852,5682],{"className":5683,"style":2526},[2514],[1852,5685,2367],{"className":5686},[2530],[1852,5688],{"className":5689,"style":2526},[2514],[1852,5691,5693,5697,5700,5703,5707,5710,5812,5815,5891,5894,5897],{"className":5692},[1997],[1852,5694],{"className":5695,"style":5696},[2001],"height:2.4522em;vertical-align:-1.4022em;",[1852,5698,2173],{"className":5699},[2006],[1852,5701,2359],{"className":5702},[2510],[1852,5704],{"className":5705,"style":5706},[2514],"margin-right:1em;",[1852,5708],{"className":5709,"style":2515},[2514],[1852,5711,5713],{"className":5712},[2544,2545],[1852,5714,5716,5803],{"className":5715},[2019,2020],[1852,5717,5719,5800],{"className":5718},[2024],[1852,5720,5722,5790],{"className":5721,"style":3192},[2028],[1852,5723,5724,5727],{"style":3195},[1852,5725],{"className":5726,"style":2562},[2036],[1852,5728,5730],{"className":5729},[2041,2042,2043,2044],[1852,5731,5733,5736,5739,5742,5745,5749],{"className":5732},[2006,2044],[1852,5734,2356],{"className":5735},[2006,2048,2044],[1852,5737,4846],{"className":5738},[2530,2044],[1852,5740,3932],{"className":5741,"style":2197},[2006,2048,2044],[1852,5743,5446],{"className":5744},[2006,2048,2044],[1852,5746,5748],{"className":5747,"style":2446},[2006,2048,2044],"or",[1852,5750,5752,5755],{"className":5751},[2006,2044],[1852,5753,1983],{"className":5754},[2006,2048,2044],[1852,5756,5758],{"className":5757},[2015],[1852,5759,5761,5782],{"className":5760},[2019,2020],[1852,5762,5764,5779],{"className":5763},[2024],[1852,5765,5767],{"className":5766,"style":5087},[2028],[1852,5768,5770,5773],{"style":5769},"top:-2.357em;margin-left:0em;margin-right:0.0714em;",[1852,5771],{"className":5772,"style":5094},[2036],[1852,5774,5776],{"className":5775},[2041,5098,5099,2044],[1852,5777,1983],{"className":5778},[2006,2048,2044],[1852,5780,2053],{"className":5781},[2052],[1852,5783,5785],{"className":5784},[2024],[1852,5786,5788],{"className":5787,"style":5112},[2028],[1852,5789],{},[1852,5791,5792,5795],{"style":2590},[1852,5793],{"className":5794,"style":2562},[2036],[1852,5796,5797],{},[1852,5798,2853],{"className":5799},[2544,2599,2600],[1852,5801,2053],{"className":5802},[2052],[1852,5804,5806],{"className":5805},[2024],[1852,5807,5810],{"className":5808,"style":5809},[2028],"height:1.4022em;",[1852,5811],{},[1852,5813],{"className":5814,"style":2515},[2514],[1852,5816,5818,5821],{"className":5817},[2006],[1852,5819,3974],{"className":5820,"style":4154},[2006,2048],[1852,5822,5824],{"className":5823},[2015],[1852,5825,5827,5882],{"className":5826},[2019,2020],[1852,5828,5830,5879],{"className":5829},[2024],[1852,5831,5834,5855],{"className":5832,"style":5833},[2028],"height:0.8991em;",[1852,5835,5837,5840],{"style":5836},"top:-2.453em;margin-left:-0.0269em;margin-right:0.05em;",[1852,5838],{"className":5839,"style":2037},[2036],[1852,5841,5843],{"className":5842},[2041,2042,2043,2044],[1852,5844,5846,5849,5852],{"className":5845},[2006,2044],[1852,5847,2356],{"className":5848},[2006,2048,2044],[1852,5850,2359],{"className":5851},[2510,2044],[1852,5853,1983],{"className":5854},[2006,2048,2044],[1852,5856,5858,5861],{"style":5857},"top:-3.113em;margin-right:0.05em;",[1852,5859],{"className":5860,"style":2037},[2036],[1852,5862,5864],{"className":5863},[2041,2042,2043,2044],[1852,5865,5867,5870,5873,5876],{"className":5866},[2006,2044],[1852,5868,3932],{"className":5869,"style":2197},[2006,2048,2044],[1852,5871,5446],{"className":5872},[2006,2048,2044],[1852,5874,5748],{"className":5875,"style":2446},[2006,2048,2044],[1852,5877,1983],{"className":5878},[2006,2048,2044],[1852,5880,2053],{"className":5881},[2052],[1852,5883,5885],{"className":5884},[2024],[1852,5886,5889],{"className":5887,"style":5888},[2028],"height:0.3831em;",[1852,5890],{},[1852,5892],{"className":5893,"style":2526},[2514],[1852,5895,2367],{"className":5896},[2530],[1852,5898],{"className":5899,"style":2526},[2514],[1852,5901,5903,5907,5910],{"className":5902},[1997],[1852,5904],{"className":5905,"style":5906},[2001],"height:0.7278em;vertical-align:-0.0833em;",[1852,5908,2169],{"className":5909},[2006],[1852,5911,2426],{"className":5912},[2006],[1793,5914,5915],{},"组合整体杠杆可设为 1（或在风险预算允许下提高到 1.5）。",[1813,5917,5919],{"id":5918},"_53-加上风险与约束","5.3 加上风险与约束",[1793,5921,5922,5923,5993],{},"在构建最终权重 ",[1852,5924,5926,5944],{"className":5925},[1958],[1852,5927,5929],{"className":5928},[1962],[1964,5930,5931],{"xmlns":1966},[1968,5932,5933,5941],{},[1971,5934,5935],{},[1974,5936,5937,5939],{},[1977,5938,3974],{},[1977,5940,1983],{},[1985,5942,5943],{"encoding":1987},"w_t",[1852,5945,5947],{"className":5946,"ariaHidden":1993},[1992],[1852,5948,5950,5953],{"className":5949},[1997],[1852,5951],{"className":5952,"style":4377},[2001],[1852,5954,5956,5959],{"className":5955},[2006],[1852,5957,3974],{"className":5958,"style":4154},[2006,2048],[1852,5960,5962],{"className":5961},[2015],[1852,5963,5965,5985],{"className":5964},[2019,2020],[1852,5966,5968,5982],{"className":5967},[2024],[1852,5969,5971],{"className":5970,"style":2029},[2028],[1852,5972,5973,5976],{"style":4169},[1852,5974],{"className":5975,"style":2037},[2036],[1852,5977,5979],{"className":5978},[2041,2042,2043,2044],[1852,5980,1983],{"className":5981},[2006,2048,2044],[1852,5983,2053],{"className":5984},[2052],[1852,5986,5988],{"className":5987},[2024],[1852,5989,5991],{"className":5990,"style":2060},[2028],[1852,5992],{}," 时，需要叠加风险约束（参见第 04 章）：",[1825,5995,5996,6206,6393,6547],{},[1828,5997,5998,5999,6203,6205],{},"行业中性：",[1852,6000,6002],{"className":6001},[2317],[1852,6003,6005,6055],{"className":6004},[1958],[1852,6006,6008],{"className":6007},[1962],[1964,6009,6010],{"xmlns":1966,"display":2326},[1968,6011,6012,6052],{},[1971,6013,6014,6039,6045,6047,6050],{},[5401,6015,6016,6018,6036],{},[1977,6017,2245],{},[1971,6019,6020,6022,6024,6026,6028,6030,6032,6034],{},[1977,6021,2872],{},[1977,6023,2875],{},[1977,6025,2878],{},[1977,6027,2881],{},[1977,6029,2884],{},[1977,6031,1983],{},[1977,6033,2411],{},[1977,6035,2893],{},[1977,6037,6038],{"mathvariant":4448},"⊤",[1974,6040,6041,6043],{},[1977,6042,3974],{},[1977,6044,1983],{},[2167,6046,2367],{},[2171,6048,6049],{},"0",[2167,6051,2359],{"separator":1993},[1985,6053,6054],{"encoding":1987},"B_{Industry}^\\top w_t = 0,",[1852,6056,6058,6190],{"className":6057,"ariaHidden":1993},[1992],[1852,6059,6061,6065,6141,6181,6184,6187],{"className":6060},[1997],[1852,6062],{"className":6063,"style":6064},[2001],"height:1.2822em;vertical-align:-0.3831em;",[1852,6066,6068,6071],{"className":6067},[2006],[1852,6069,2245],{"className":6070,"style":2265},[2006,2048],[1852,6072,6074],{"className":6073},[2015],[1852,6075,6077,6133],{"className":6076},[2019,2020],[1852,6078,6080,6130],{"className":6079},[2024],[1852,6081,6083,6119],{"className":6082,"style":5833},[2028],[1852,6084,6086,6089],{"style":6085},"top:-2.453em;margin-left:-0.0502em;margin-right:0.05em;",[1852,6087],{"className":6088,"style":2037},[2036],[1852,6090,6092],{"className":6091},[2041,2042,2043,2044],[1852,6093,6095,6098,6101,6104,6107,6110,6113,6116],{"className":6094},[2006,2044],[1852,6096,2872],{"className":6097,"style":3286},[2006,2048,2044],[1852,6099,2875],{"className":6100},[2006,2048,2044],[1852,6102,2878],{"className":6103},[2006,2048,2044],[1852,6105,2881],{"className":6106},[2006,2048,2044],[1852,6108,2884],{"className":6109},[2006,2048,2044],[1852,6111,1983],{"className":6112},[2006,2048,2044],[1852,6114,2411],{"className":6115,"style":2446},[2006,2048,2044],[1852,6117,2893],{"className":6118,"style":3311},[2006,2048,2044],[1852,6120,6121,6124],{"style":5857},[1852,6122],{"className":6123,"style":2037},[2036],[1852,6125,6127],{"className":6126},[2041,2042,2043,2044],[1852,6128,6038],{"className":6129},[2006,2044],[1852,6131,2053],{"className":6132},[2052],[1852,6134,6136],{"className":6135},[2024],[1852,6137,6139],{"className":6138,"style":5888},[2028],[1852,6140],{},[1852,6142,6144,6147],{"className":6143},[2006],[1852,6145,3974],{"className":6146,"style":4154},[2006,2048],[1852,6148,6150],{"className":6149},[2015],[1852,6151,6153,6173],{"className":6152},[2019,2020],[1852,6154,6156,6170],{"className":6155},[2024],[1852,6157,6159],{"className":6158,"style":2029},[2028],[1852,6160,6161,6164],{"style":4169},[1852,6162],{"className":6163,"style":2037},[2036],[1852,6165,6167],{"className":6166},[2041,2042,2043,2044],[1852,6168,1983],{"className":6169},[2006,2048,2044],[1852,6171,2053],{"className":6172},[2052],[1852,6174,6176],{"className":6175},[2024],[1852,6177,6179],{"className":6178,"style":2060},[2028],[1852,6180],{},[1852,6182],{"className":6183,"style":2526},[2514],[1852,6185,2367],{"className":6186},[2530],[1852,6188],{"className":6189,"style":2526},[2514],[1852,6191,6193,6197,6200],{"className":6192},[1997],[1852,6194],{"className":6195,"style":6196},[2001],"height:0.8389em;vertical-align:-0.1944em;",[1852,6198,6049],{"className":6199},[2006],[1852,6201,2359],{"className":6202},[2510],[3425,6204],{},"即各行业权重与基准相同或总和为 0；",[1828,6207,6208,6209],{},"市值中性：",[1852,6210,6212],{"className":6211},[2317],[1852,6213,6215,6257],{"className":6214},[1958],[1852,6216,6218],{"className":6217},[1962],[1964,6219,6220],{"xmlns":1966,"display":2326},[1968,6221,6222,6254],{},[1971,6223,6224,6241,6247,6249,6251],{},[5401,6225,6226,6228,6239],{},[1977,6227,2245],{},[1971,6229,6230,6232,6234,6237],{},[1977,6231,3932],{},[1977,6233,2356],{},[1977,6235,6236],{},"z",[1977,6238,3945],{},[1977,6240,6038],{"mathvariant":4448},[1974,6242,6243,6245],{},[1977,6244,3974],{},[1977,6246,1983],{},[2167,6248,2367],{},[2171,6250,6049],{},[2167,6252,6253],{"separator":1993},";",[1985,6255,6256],{"encoding":1987},"B_{Size}^\\top w_t = 0;",[1852,6258,6260,6381],{"className":6259,"ariaHidden":1993},[1992],[1852,6261,6263,6267,6332,6372,6375,6378],{"className":6262},[1997],[1852,6264],{"className":6265,"style":6266},[2001],"height:1.1461em;vertical-align:-0.247em;",[1852,6268,6270,6273],{"className":6269},[2006],[1852,6271,2245],{"className":6272,"style":2265},[2006,2048],[1852,6274,6276],{"className":6275},[2015],[1852,6277,6279,6323],{"className":6278},[2019,2020],[1852,6280,6282,6320],{"className":6281},[2024],[1852,6283,6285,6309],{"className":6284,"style":5833},[2028],[1852,6286,6287,6290],{"style":6085},[1852,6288],{"className":6289,"style":2037},[2036],[1852,6291,6293],{"className":6292},[2041,2042,2043,2044],[1852,6294,6296,6299,6302,6306],{"className":6295},[2006,2044],[1852,6297,3932],{"className":6298,"style":2197},[2006,2048,2044],[1852,6300,2356],{"className":6301},[2006,2048,2044],[1852,6303,6236],{"className":6304,"style":6305},[2006,2048,2044],"margin-right:0.044em;",[1852,6307,3945],{"className":6308},[2006,2048,2044],[1852,6310,6311,6314],{"style":5857},[1852,6312],{"className":6313,"style":2037},[2036],[1852,6315,6317],{"className":6316},[2041,2042,2043,2044],[1852,6318,6038],{"className":6319},[2006,2044],[1852,6321,2053],{"className":6322},[2052],[1852,6324,6326],{"className":6325},[2024],[1852,6327,6330],{"className":6328,"style":6329},[2028],"height:0.247em;",[1852,6331],{},[1852,6333,6335,6338],{"className":6334},[2006],[1852,6336,3974],{"className":6337,"style":4154},[2006,2048],[1852,6339,6341],{"className":6340},[2015],[1852,6342,6344,6364],{"className":6343},[2019,2020],[1852,6345,6347,6361],{"className":6346},[2024],[1852,6348,6350],{"className":6349,"style":2029},[2028],[1852,6351,6352,6355],{"style":4169},[1852,6353],{"className":6354,"style":2037},[2036],[1852,6356,6358],{"className":6357},[2041,2042,2043,2044],[1852,6359,1983],{"className":6360},[2006,2048,2044],[1852,6362,2053],{"className":6363},[2052],[1852,6365,6367],{"className":6366},[2024],[1852,6368,6370],{"className":6369,"style":2060},[2028],[1852,6371],{},[1852,6373],{"className":6374,"style":2526},[2514],[1852,6376,2367],{"className":6377},[2530],[1852,6379],{"className":6380,"style":2526},[2514],[1852,6382,6384,6387,6390],{"className":6383},[1997],[1852,6385],{"className":6386,"style":6196},[2001],[1852,6388,6049],{"className":6389},[2006],[1852,6391,6253],{"className":6392},[2510],[1828,6394,6395,6396,1869],{},"个股权重限制：",[1852,6397,6399,6448],{"className":6398},[1958],[1852,6400,6402],{"className":6401},[1962],[1964,6403,6404],{"xmlns":1966},[1968,6405,6406,6445],{},[1971,6407,6408,6420,6422,6425,6427,6429,6432,6434,6438,6440,6442],{},[1974,6409,6410,6412],{},[1977,6411,3974],{},[1971,6413,6414,6416,6418],{},[1977,6415,2356],{},[2167,6417,2359],{"separator":1993},[1977,6419,1983],{},[2167,6421,4846],{},[2167,6423,6424],{"stretchy":2352},"[",[2167,6426,2169],{},[2171,6428,2349],{},[1977,6430,6431],{"mathvariant":4448},"%",[2167,6433,2359],{"separator":1993},[6435,6436,6437],"mtext",{}," ",[2171,6439,2349],{},[1977,6441,6431],{"mathvariant":4448},[2167,6443,6444],{"stretchy":2352},"]",[1985,6446,6447],{"encoding":1987},"w_{i,t} \\in [-2\\%, \\ 2\\%]",[1852,6449,6451,6516],{"className":6450,"ariaHidden":1993},[1992],[1852,6452,6454,6458,6507,6510,6513],{"className":6453},[1997],[1852,6455],{"className":6456,"style":6457},[2001],"height:0.8252em;vertical-align:-0.2861em;",[1852,6459,6461,6464],{"className":6460},[2006],[1852,6462,3974],{"className":6463,"style":4154},[2006,2048],[1852,6465,6467],{"className":6466},[2015],[1852,6468,6470,6499],{"className":6469},[2019,2020],[1852,6471,6473,6496],{"className":6472},[2024],[1852,6474,6476],{"className":6475,"style":2678},[2028],[1852,6477,6478,6481],{"style":4169},[1852,6479],{"className":6480,"style":2037},[2036],[1852,6482,6484],{"className":6483},[2041,2042,2043,2044],[1852,6485,6487,6490,6493],{"className":6486},[2006,2044],[1852,6488,2356],{"className":6489},[2006,2048,2044],[1852,6491,2359],{"className":6492},[2510,2044],[1852,6494,1983],{"className":6495},[2006,2048,2044],[1852,6497,2053],{"className":6498},[2052],[1852,6500,6502],{"className":6501},[2024],[1852,6503,6505],{"className":6504,"style":2709},[2028],[1852,6506],{},[1852,6508],{"className":6509,"style":2526},[2514],[1852,6511,4846],{"className":6512},[2530],[1852,6514],{"className":6515,"style":2526},[2514],[1852,6517,6519,6522,6525,6528,6532,6535,6538,6541,6544],{"className":6518},[1997],[1852,6520],{"className":6521,"style":2439},[2001],[1852,6523,6424],{"className":6524},[2503],[1852,6526,2169],{"className":6527},[2006],[1852,6529,6531],{"className":6530},[2006],"2%",[1852,6533,2359],{"className":6534},[2510],[1852,6536,6437],{"className":6537},[2514],[1852,6539],{"className":6540,"style":2515},[2514],[1852,6542,6531],{"className":6543},[2006],[1852,6545,6444],{"className":6546},[2522],[1828,6548,6549,6550,6779],{},"总杠杆限制：",[1852,6551,6553,6600],{"className":6552},[1958],[1852,6554,6556],{"className":6555},[1962],[1964,6557,6558],{"xmlns":1966},[1968,6559,6560,6597],{},[1971,6561,6562,6568,6571,6583,6585,6588],{},[1974,6563,6564,6566],{},[2167,6565,2853],{},[1977,6567,2356],{},[1977,6569,6570],{"mathvariant":4448},"∣",[1974,6572,6573,6575],{},[1977,6574,3974],{},[1971,6576,6577,6579,6581],{},[1977,6578,2356],{},[2167,6580,2359],{"separator":1993},[1977,6582,1983],{},[1977,6584,6570],{"mathvariant":4448},[2167,6586,6587],{},"≤",[1974,6589,6590,6592,6595],{},[1977,6591,5388],{},[1977,6593,6594],{},"max",[2167,6596,2826],{},[1985,6598,6599],{"encoding":1987},"\\sum_i |w_{i,t}| \\le L_{\\max}",[1852,6601,6603,6719],{"className":6602,"ariaHidden":1993},[1992],[1852,6604,6606,6610,6652,6655,6658,6707,6710,6713,6716],{"className":6605},[1997],[1852,6607],{"className":6608,"style":6609},[2001],"height:1.0497em;vertical-align:-0.2997em;",[1852,6611,6613,6616],{"className":6612},[2544],[1852,6614,2853],{"className":6615,"style":5036},[2544,2599,5035],[1852,6617,6619],{"className":6618},[2015],[1852,6620,6622,6643],{"className":6621},[2019,2020],[1852,6623,6625,6640],{"className":6624},[2024],[1852,6626,6629],{"className":6627,"style":6628},[2028],"height:0.162em;",[1852,6630,6631,6634],{"style":5052},[1852,6632],{"className":6633,"style":2037},[2036],[1852,6635,6637],{"className":6636},[2041,2042,2043,2044],[1852,6638,2356],{"className":6639},[2006,2048,2044],[1852,6641,2053],{"className":6642},[2052],[1852,6644,6646],{"className":6645},[2024],[1852,6647,6650],{"className":6648,"style":6649},[2028],"height:0.2997em;",[1852,6651],{},[1852,6653],{"className":6654,"style":2515},[2514],[1852,6656,6570],{"className":6657},[2006],[1852,6659,6661,6664],{"className":6660},[2006],[1852,6662,3974],{"className":6663,"style":4154},[2006,2048],[1852,6665,6667],{"className":6666},[2015],[1852,6668,6670,6699],{"className":6669},[2019,2020],[1852,6671,6673,6696],{"className":6672},[2024],[1852,6674,6676],{"className":6675,"style":2678},[2028],[1852,6677,6678,6681],{"style":4169},[1852,6679],{"className":6680,"style":2037},[2036],[1852,6682,6684],{"className":6683},[2041,2042,2043,2044],[1852,6685,6687,6690,6693],{"className":6686},[2006,2044],[1852,6688,2356],{"className":6689},[2006,2048,2044],[1852,6691,2359],{"className":6692},[2510,2044],[1852,6694,1983],{"className":6695},[2006,2048,2044],[1852,6697,2053],{"className":6698},[2052],[1852,6700,6702],{"className":6701},[2024],[1852,6703,6705],{"className":6704,"style":2709},[2028],[1852,6706],{},[1852,6708,6570],{"className":6709},[2006],[1852,6711],{"className":6712,"style":2526},[2514],[1852,6714,6587],{"className":6715},[2530],[1852,6717],{"className":6718,"style":2526},[2514],[1852,6720,6722,6725],{"className":6721},[1997],[1852,6723],{"className":6724,"style":2002},[2001],[1852,6726,6728,6731],{"className":6727},[2006],[1852,6729,5388],{"className":6730},[2006,2048],[1852,6732,6734],{"className":6733},[2015],[1852,6735,6737,6771],{"className":6736},[2019,2020],[1852,6738,6740,6768],{"className":6739},[2024],[1852,6741,6744],{"className":6742,"style":6743},[2028],"height:0.1514em;",[1852,6745,6746,6749],{"style":2954},[1852,6747],{"className":6748,"style":2037},[2036],[1852,6750,6752],{"className":6751},[2041,2042,2043,2044],[1852,6753,6755],{"className":6754},[2006,2044],[1852,6756,6758,6761,6765],{"className":6757},[2544,2044],[1852,6759,2389],{"className":6760},[2044],[1852,6762,6764],{"className":6763},[2044],"a",[1852,6766,2794],{"className":6767},[2044],[1852,6769,2053],{"className":6770},[2052],[1852,6772,6774],{"className":6773},[2024],[1852,6775,6777],{"className":6776,"style":2060},[2028],[1852,6778],{},"（如 1.5）。",[1793,6781,6782,6783,6813,6814,1912],{},"该问题可以表述为带约束的均值–方差优化或简单的二次规划，由风险模型提供协方差矩阵 ",[1852,6784,6786,6801],{"className":6785},[1958],[1852,6787,6789],{"className":6788},[1962],[1964,6790,6791],{"xmlns":1966},[1968,6792,6793,6798],{},[1971,6794,6795],{},[1977,6796,6797],{"mathvariant":4448},"Σ",[1985,6799,6800],{"encoding":1987},"\\Sigma",[1852,6802,6804],{"className":6803,"ariaHidden":1993},[1992],[1852,6805,6807,6810],{"className":6806},[1997],[1852,6808],{"className":6809,"style":2261},[2001],[1852,6811,6797],{"className":6812},[2006],"，由因子信号提供预期超额收益向量 ",[1852,6815,6817,6836],{"className":6816},[1958],[1852,6818,6820],{"className":6819},[1962],[1964,6821,6822],{"xmlns":1966},[1968,6823,6824,6833],{},[1971,6825,6826],{},[2159,6827,6828,6831],{},[1977,6829,6830],{},"μ",[1977,6832,3945],{},[1985,6834,6835],{"encoding":1987},"\\mu^e",[1852,6837,6839],{"className":6838,"ariaHidden":1993},[1992],[1852,6840,6842,6846],{"className":6841},[1997],[1852,6843],{"className":6844,"style":6845},[2001],"height:0.8588em;vertical-align:-0.1944em;",[1852,6847,6849,6852],{"className":6848},[2006],[1852,6850,6830],{"className":6851},[2006,2048],[1852,6853,6855],{"className":6854},[2015],[1852,6856,6858],{"className":6857},[2019],[1852,6859,6861],{"className":6860},[2024],[1852,6862,6865],{"className":6863,"style":6864},[2028],"height:0.6644em;",[1852,6866,6867,6870],{"style":2212},[1852,6868],{"className":6869,"style":2037},[2036],[1852,6871,6873],{"className":6872},[2041,2042,2043,2044],[1852,6874,3945],{"className":6875},[2006,2048,2044],[1808,6877,6879],{"id":6878},"_6-回测与绩效评估","6. 回测与绩效评估",[1813,6881,6883],{"id":6882},"_61-回测设定","6.1 回测设定",[1825,6885,6886,6889,6892,7116],{},[1828,6887,6888],{},"调仓频率：每月末；",[1828,6890,6891],{},"交易价格：下一交易日的开盘价或 VWAP；",[1828,6893,6894,6895],{},"成本模型：\n",[1825,6896,6897,6900],{},[1828,6898,6899],{},"佣金 + 税费 + 半个价差；",[1828,6901,6902,6903,1869],{},"冲击成本函数 ",[1852,6904,6906,6972],{"className":6905},[1958],[1852,6907,6909],{"className":6908},[1962],[1964,6910,6911],{"xmlns":1966},[1968,6912,6913,6969],{},[1971,6914,6915,6934,6936,6939,6941,6943,6945,6947,6949,6951,6953,6955,6958,6961,6963],{},[1974,6916,6917,6920],{},[1977,6918,6919],{},"C",[1971,6921,6922,6924,6926,6928,6930,6932],{},[1977,6923,2356],{},[1977,6925,2389],{},[1977,6927,1793],{},[1977,6929,6764],{},[1977,6931,3935],{},[1977,6933,1983],{},[2167,6935,2353],{"stretchy":2352},[1977,6937,6938],{},"q",[2167,6940,2364],{"stretchy":2352},[2167,6942,2367],{},[1977,6944,2856],{},[2167,6946,2353],{"stretchy":2352},[1977,6948,6570],{"mathvariant":4448},[1977,6950,6938],{},[1977,6952,6570],{"mathvariant":4448},[1977,6954,4449],{"mathvariant":4448},[1977,6956,6957],{},"A",[1977,6959,6960],{},"D",[1977,6962,2835],{},[2159,6964,6965,6967],{},[2167,6966,2364],{"stretchy":2352},[1977,6968,2809],{},[1985,6970,6971],{"encoding":1987},"C_{impact}(q) = k (|q| \u002F ADV)^\\alpha",[1852,6973,6975,7056],{"className":6974,"ariaHidden":1993},[1992],[1852,6976,6978,6981,7038,7041,7044,7047,7050,7053],{"className":6977},[1997],[1852,6979],{"className":6980,"style":2659},[2001],[1852,6982,6984,6987],{"className":6983},[2006],[1852,6985,6919],{"className":6986,"style":3913},[2006,2048],[1852,6988,6990],{"className":6989},[2015],[1852,6991,6993,7030],{"className":6992},[2019,2020],[1852,6994,6996,7027],{"className":6995},[2024],[1852,6997,6999],{"className":6998,"style":2678},[2028],[1852,7000,7002,7005],{"style":7001},"top:-2.55em;margin-left:-0.0715em;margin-right:0.05em;",[1852,7003],{"className":7004,"style":2037},[2036],[1852,7006,7008],{"className":7007},[2041,2042,2043,2044],[1852,7009,7011,7015,7018,7021,7024],{"className":7010},[2006,2044],[1852,7012,7014],{"className":7013},[2006,2048,2044],"im",[1852,7016,1793],{"className":7017},[2006,2048,2044],[1852,7019,6764],{"className":7020},[2006,2048,2044],[1852,7022,3935],{"className":7023},[2006,2048,2044],[1852,7025,1983],{"className":7026},[2006,2048,2044],[1852,7028,2053],{"className":7029},[2052],[1852,7031,7033],{"className":7032},[2024],[1852,7034,7036],{"className":7035,"style":2709},[2028],[1852,7037],{},[1852,7039,2353],{"className":7040},[2503],[1852,7042,6938],{"className":7043,"style":3311},[2006,2048],[1852,7045,2364],{"className":7046},[2522],[1852,7048],{"className":7049,"style":2526},[2514],[1852,7051,2367],{"className":7052},[2530],[1852,7054],{"className":7055,"style":2526},[2514],[1852,7057,7059,7062,7065,7068,7071,7074,7078,7081,7084,7087],{"className":7058},[1997],[1852,7060],{"className":7061,"style":2439},[2001],[1852,7063,2856],{"className":7064,"style":3205},[2006,2048],[1852,7066,2353],{"className":7067},[2503],[1852,7069,6570],{"className":7070},[2006],[1852,7072,6938],{"className":7073,"style":3311},[2006,2048],[1852,7075,7077],{"className":7076},[2006],"∣\u002F",[1852,7079,6957],{"className":7080},[2006,2048],[1852,7082,6960],{"className":7083,"style":2446},[2006,2048],[1852,7085,2835],{"className":7086,"style":2646},[2006,2048],[1852,7088,7090,7093],{"className":7089},[2522],[1852,7091,2364],{"className":7092},[2522],[1852,7094,7096],{"className":7095},[2015],[1852,7097,7099],{"className":7098},[2019],[1852,7100,7102],{"className":7101},[2024],[1852,7103,7105],{"className":7104,"style":6864},[2028],[1852,7106,7107,7110],{"style":2212},[1852,7108],{"className":7109,"style":2037},[2036],[1852,7111,7113],{"className":7112},[2041,2042,2043,2044],[1852,7114,2809],{"className":7115,"style":3006},[2006,2048,2044],[1828,7117,7118,7119],{},"回测区间：\n",[1825,7120,7121,7124],{},[1828,7122,7123],{},"训练\u002F验证期：2008–2016；",[1828,7125,7126],{},"测试期：2017–2024。",[1813,7128,7130],{"id":7129},"_62-关键指标","6.2 关键指标",[1825,7132,7133,7136,7139,7142,7145],{},[1828,7134,7135],{},"年化收益率、年化波动率、夏普比率；",[1828,7137,7138],{},"最大回撤与 Calmar 比率；",[1828,7140,7141],{},"相对基准的超额收益与信息比率；",[1828,7143,7144],{},"月度\u002F年度收益分布和稳定性；",[1828,7146,7147],{},"组合换手率与平均交易成本占收益的比例。",[1793,7149,7150],{},"典型目标：",[1825,7152,7153,7156,7159],{},[1828,7154,7155],{},"测试期夏普 > 1；",[1828,7157,7158],{},"信息比率 > 0.7；",[1828,7160,7161],{},"换手率与成本在可以接受的范围。",[1813,7163,7165],{"id":7164},"_63-计量检验","6.3 计量检验",[1825,7167,7168,7171,7174],{},[1828,7169,7170],{},"对策略超额收益进行 t 检验，新息检验；",[1828,7172,7173],{},"使用 Newey–West\u002FHAC 协方差估计稳健标准误；",[1828,7175,7176],{},"针对多个策略版本（不同因子组合\u002F参数）使用 Reality Check 或 SPA 检验，缓解数据挖掘偏差。",[1808,7178,7180],{"id":7179},"_7-执行上线与监控概览","7. 执行、上线与监控（概览）",[1813,7182,7184],{"id":7183},"_71-执行策略","7.1 执行策略",[1825,7186,7187,7190,7193],{},[1828,7188,7189],{},"根据组合权重变化生成买卖指令；",[1828,7191,7192],{},"使用 VWAP\u002FTWAP\u002FPOV 等执行算法，控制参与率和冲击；",[1828,7194,7195],{},"对大额订单进行分片下单，尽量在高流动时段执行。",[1813,7197,7199],{"id":7198},"_72-上线与监控","7.2 上线与监控",[1825,7201,7202,7216,7219],{},[1828,7203,7204,7205],{},"在模拟盘或小资金上运行若干月，检验：\n",[1825,7206,7207,7210,7213],{},[1828,7208,7209],{},"实盘成本 vs 回测成本；",[1828,7211,7212],{},"实盘收益 vs 回测预期；",[1828,7214,7215],{},"风险暴露与仓位行为是否符合设计；",[1828,7217,7218],{},"建立监控面板：净值、风险指标、因子暴露、换手率、执行偏差等；",[1828,7220,7221],{},"设置策略退化阈值和自动报警机制。",[1808,7223,7225],{"id":7224},"_8-小结","8. 小结",[1793,7227,7228],{},"本案例从“构建一个多因子股票 Alpha 策略”的角度，串起了：",[2089,7230,7231,7234,7237,7240,7243,7246],{},[1828,7232,7233],{},"数据与标的池构建；",[1828,7235,7236],{},"候选因子生成与预处理；",[1828,7238,7239],{},"单因子检验与多阶段因子筛选；",[1828,7241,7242],{},"多因子打分与组合构建；",[1828,7244,7245],{},"回测与绩效评估（含成本与计量检验）；",[1828,7247,7248],{},"执行、上线与监控的关键环节。",[1793,7250,7251],{},"在真实工作中，每一步都可以展开成更细的研究与工程任务。本章的目标是提供一个“从 0 到 1 的完整故事线”，你可以在此基础上，根据自己的市场、数据和基础设施，填充具体的实现细节和改进方向。",[7253,7254],"hr",{},[1808,7256,7258],{"id":7257},"_9-自学手册完成一份端到端策略研究备忘录","9. 自学手册：完成一份端到端策略研究备忘录",[1813,7260,7262],{"id":7261},"_91-学习目标","9.1 学习目标",[1793,7264,7265],{},"学完本章后，你应当能够：",[2089,7267,7268,7271,7274,7277,7280],{},[1828,7269,7270],{},"把一个多因子 alpha 想法拆成数据、因子、回测、组合、执行、监控和计量任务；",[1828,7272,7273],{},"写出可复查的研究假设、样本定义、参数选择和风险约束；",[1828,7275,7276],{},"用一套统一证据链说明策略为什么可能有效、为什么可执行、为什么值得上线试运行；",[1828,7278,7279],{},"识别从研究到生产每个环节的主要失败模式；",[1828,7281,7282],{},"形成一份可交给 PM、风控和工程团队评审的策略研究备忘录。",[1813,7284,7286],{"id":7285},"_92-综合场景","9.2 综合场景",[1793,7288,7289],{},"你需要向投资委员会提交“月度多因子股票 alpha 策略”的试运行申请。委员会不接受“回测夏普不错”这种单点证据，而要求你讲清楚：",[1825,7291,7292,7295,7298,7301,7304,7307,7310],{},[1828,7293,7294],{},"数据是否无前视、无幸存者偏差；",[1828,7296,7297],{},"因子是否有经济含义和样本外稳定性；",[1828,7299,7300],{},"回测是否扣除现实成本；",[1828,7302,7303],{},"组合是否控制行业、市值、杠杆和流动性风险；",[1828,7305,7306],{},"执行容量是否支持目标资金规模；",[1828,7308,7309],{},"上线后如何监控、降权和下线；",[1828,7311,7312],{},"统计显著性是否经得起多重检验和稳健性检查。",[1793,7314,7315],{},"本章就是这份研究备忘录的骨架。",[1813,7317,7319],{"id":7318},"_93-备忘录结构与工作流逻辑","9.3 备忘录结构与工作流逻辑",[7321,7322,7323,7339],"table",{},[7324,7325,7326],"thead",{},[7327,7328,7329,7333,7336],"tr",{},[7330,7331,7332],"th",{},"章节",[7330,7334,7335],{},"核心问题",[7330,7337,7338],{},"证据材料",[7340,7341,7342,7354,7365,7376,7387,7398,7409,7420,7431,7442],"tbody",{},[7327,7343,7344,7348,7351],{},[7345,7346,7347],"td",{},"研究假设",[7345,7349,7350],{},"为什么这个 alpha 可能存在？",[7345,7352,7353],{},"经济逻辑、文献、市场机制",[7327,7355,7356,7359,7362],{},[7345,7357,7358],{},"数据与样本",[7345,7360,7361],{},"研究对象是否真实可交易？",[7345,7363,7364],{},"数据字典、可用日期、样本池规则",[7327,7366,7367,7370,7373],{},[7345,7368,7369],{},"因子构建",[7345,7371,7372],{},"信号如何从数据计算？",[7345,7374,7375],{},"公式、清洗、中性化、版本",[7327,7377,7378,7381,7384],{},[7345,7379,7380],{},"单因子检验",[7345,7382,7383],{},"因子是否有预测力？",[7345,7385,7386],{},"Rank IC、分组收益、IC decay",[7327,7388,7389,7392,7395],{},[7345,7390,7391],{},"多因子模型",[7345,7393,7394],{},"多个因子如何合成？",[7345,7396,7397],{},"权重规则、冗余检测、相关矩阵",[7327,7399,7400,7403,7406],{},[7345,7401,7402],{},"回测",[7345,7404,7405],{},"策略历史表现如何？",[7345,7407,7408],{},"净值、风险、成本、样本外结果",[7327,7410,7411,7414,7417],{},[7345,7412,7413],{},"组合与风险",[7345,7415,7416],{},"是否满足投资约束？",[7345,7418,7419],{},"暴露、风险贡献、压力测试",[7327,7421,7422,7425,7428],{},[7345,7423,7424],{},"执行与容量",[7345,7426,7427],{},"真实市场能否成交？",[7345,7429,7430],{},"换手、成本敏感性、参与率",[7327,7432,7433,7436,7439],{},[7345,7434,7435],{},"上线计划",[7345,7437,7438],{},"如何小资金试运行？",[7345,7440,7441],{},"runbook、告警阈值、回滚方案",[7327,7443,7444,7447,7450],{},[7345,7445,7446],{},"计量复核",[7345,7448,7449],{},"结果是否可能是噪声？",[7345,7451,7452],{},"稳健标准误、多重检验、子样本",[1813,7454,7456],{"id":7455},"_94-capstone-检查清单","9.4 Capstone 检查清单",[1793,7458,7459],{},"提交前逐项检查：",[1825,7461,7464,7482,7488,7494,7500,7506,7512,7518,7524,7530],{"className":7462},[7463],"contains-task-list",[1828,7465,7468,7473,7474,7477,7478,7481],{"className":7466},[7467],"task-list-item",[7469,7470],"input",{"disabled":7471,"type":7472},true,"checkbox"," 所有数据字段都有 ",[1866,7475,7476],{},"date"," 与 ",[1866,7479,7480],{},"available_date"," 或等价说明；",[1828,7483,7485,7487],{"className":7484},[7467],[7469,7486],{"disabled":7471,"type":7472}," 标的池按历史可投资范围构造，未只使用当前成分；",[1828,7489,7491,7493],{"className":7490},[7467],[7469,7492],{"disabled":7471,"type":7472}," 因子公式、频率、去极值、标准化和中性化规则固定；",[1828,7495,7497,7499],{"className":7496},[7467],[7469,7498],{"disabled":7471,"type":7472}," 单因子结果同时报告 IC、Rank IC、分组收益和稳定性；",[1828,7501,7503,7505],{"className":7502},[7467],[7469,7504],{"disabled":7471,"type":7472}," 多因子权重规则在测试期前固定；",[1828,7507,7509,7511],{"className":7508},[7467],[7469,7510],{"disabled":7471,"type":7472}," 回测明确成交时点、成本模型和不可成交处理；",[1828,7513,7515,7517],{"className":7514},[7467],[7469,7516],{"disabled":7471,"type":7472}," 组合报告行业、市值、杠杆、个股集中度和流动性暴露；",[1828,7519,7521,7523],{"className":7520},[7467],[7469,7522],{"disabled":7471,"type":7472}," 执行成本做过参数敏感性分析；",[1828,7525,7527,7529],{"className":7526},[7467],[7469,7528],{"disabled":7471,"type":7472}," 实盘监控覆盖收益、风险、执行、数据和系统健康；",[1828,7531,7533,7535],{"className":7532},[7467],[7469,7534],{"disabled":7471,"type":7472}," 显著性检验考虑自相关、异方差、多重检验和样本切分。",[1813,7537,7539],{"id":7538},"_95-常见错误与研究陷阱","9.5 常见错误与研究陷阱",[1825,7541,7542,7548,7554,7560,7566],{},[1828,7543,7544,7547],{},[1797,7545,7546],{},"故事线断裂","：数据、因子、回测和组合各自成立，但彼此口径不一致。",[1828,7549,7550,7553],{},[1797,7551,7552],{},"只展示成功版本","：没有记录失败因子、失败参数和筛选路径，无法评估数据挖掘程度。",[1828,7555,7556,7559],{},[1797,7557,7558],{},"把案例当模板机械套用","：不同市场的交易制度、数据披露、成本和容量差异很大。",[1828,7561,7562,7565],{},[1797,7563,7564],{},"忽略负结果","：某些因子在样本外失效或成本后为负，应被视为研究发现，而不是简单隐藏。",[1828,7567,7568,7571],{},[1797,7569,7570],{},"上线计划过于乐观","：没有模拟盘、小资金、降权和停机条件，策略即使研究有效也不适合直接放量。",[1813,7573,7575],{"id":7574},"_96-自测题与答案提示","9.6 自测题与答案提示",[2089,7577,7578,7581,7584,7587],{},[1828,7579,7580],{},"一份完整策略备忘录为什么要包含数据字典？\n答案提示：数据字典让评审者确认字段口径、可用日期、缺失处理和复现条件，是防止前视和口径漂移的基础。",[1828,7582,7583],{},"如果多因子策略样本外表现好，但执行成本高于预期，应如何复盘？\n答案提示：拆分换手来源、订单参与率、价差、冲击、未成交和低流动性暴露，再决定调低资金、改执行或剔除高成本信号。",[1828,7585,7586],{},"为什么研究备忘录要记录失败的候选因子？\n答案提示：失败路径揭示多重检验规模和筛选偏差，也帮助未来研究避免重复试错。",[1828,7588,7589],{},"投资委员会最应关注哪些上线前风险？\n答案提示：数据和信号一致性、成本和容量、风险暴露、监控与回滚、统计稳健性和合规边界。",[1813,7591,7593],{"id":7592},"_97-总结与课程收束","9.7 总结与课程收束",[1793,7595,7596],{},"本课程从数据地基开始，到因子、回测、组合、执行、生产、工程和计量，最终汇总为一份可评审的策略研究备忘录。真正的量化研究不是单个模型或指标，而是一条证据链：每个环节都要说明它依赖什么、输出什么、可能错在哪里，以及如何被复查。完成本章后，建议你选择一个简单因子，按本清单写出自己的第一份端到端研究报告。",{"title":10,"searchDepth":7598,"depth":7598,"links":7599},2,[7600,7605,7609,7614,7618,7623,7628,7632,7633],{"id":1810,"depth":7598,"text":1811,"children":7601},[7602,7604],{"id":1815,"depth":7603,"text":1816},3,{"id":1858,"depth":7603,"text":1859},{"id":1915,"depth":7598,"text":1916,"children":7606},[7607,7608],{"id":1919,"depth":7603,"text":1920},{"id":2066,"depth":7603,"text":2067},{"id":2122,"depth":7598,"text":2123,"children":7610},[7611,7612,7613],{"id":2126,"depth":7603,"text":2127},{"id":2299,"depth":7603,"text":2300},{"id":2759,"depth":7603,"text":2760},{"id":3519,"depth":7598,"text":3520,"children":7615},[7616,7617],{"id":3523,"depth":7603,"text":3524},{"id":3817,"depth":7603,"text":3818},{"id":3846,"depth":7598,"text":3847,"children":7619},[7620,7621,7622],{"id":3850,"depth":7603,"text":3851},{"id":4753,"depth":7603,"text":4754},{"id":5918,"depth":7603,"text":5919},{"id":6878,"depth":7598,"text":6879,"children":7624},[7625,7626,7627],{"id":6882,"depth":7603,"text":6883},{"id":7129,"depth":7603,"text":7130},{"id":7164,"depth":7603,"text":7165},{"id":7179,"depth":7598,"text":7180,"children":7629},[7630,7631],{"id":7183,"depth":7603,"text":7184},{"id":7198,"depth":7603,"text":7199},{"id":7224,"depth":7598,"text":7225},{"id":7257,"depth":7598,"text":7258,"children":7634},[7635,7636,7637,7638,7639,7640,7641],{"id":7261,"depth":7603,"text":7262},{"id":7285,"depth":7603,"text":7286},{"id":7318,"depth":7603,"text":7319},{"id":7455,"depth":7603,"text":7456},{"id":7538,"depth":7603,"text":7539},{"id":7574,"depth":7603,"text":7575},{"id":7592,"depth":7603,"text":7593},"用一份端到端案例整合时点数据、因子、样本外回测、组合、执行和上线监控。","md",{"sidebar":7645},{"order":7646},9,{"title":1775,"description":7642},"Tlk6e_9odjjwpadwq2bVSLeKGJlYmr8rNx4MtOz2ats",[7650,7652],{"title":1771,"path":1772,"stem":1773,"description":7651,"children":-1},"为收益、因子和策略绩效选择与时间和横截面依赖、多重检验相匹配的推断方法。",{"title":1779,"path":1780,"stem":1781,"description":7653,"children":-1},"区分基础理论、经同行评审的近期研究、工作论文和实时软件文档。",1785754759825]