摘要翻译:
我们将对称性自发破缺的概念引入套利建模中。在模型中,套利策略被认为处于对称破缺阶段,套利模式和无套利模式之间的相变由一个控制参数触发。我们用真实的历史数据估计动量策略的控制参数。在美国和韩国市场,借助对称破缺的动量策略表现出更强的表现,并比单纯的动量策略具有更好的风险度量。
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英文标题:
《Spontaneous symmetry breaking of arbitrage》
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作者:
Jaehyung Choi
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最新提交年份:
2012
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类:Physics 物理学
二级分类:Statistical Mechanics 统计力学
分类描述:Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变,热力学,场论,非平衡现象,重整化群和标度,可积模型,湍流
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一级分类:Quantitative Finance 数量金融学
二级分类:Portfolio Management 项目组合管理
分类描述:Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要:
We introduce the concept of spontaneous symmetry breaking to arbitrage modeling. In the model, the arbitrage strategy is considered as being in the symmetry breaking phase and the phase transition between arbitrage mode and no-arbitrage mode is triggered by a control parameter. We estimate the control parameter for momentum strategy with real historical data. The momentum strategy aided by symmetry breaking shows stronger performance and has a better risk measure than the naive momentum strategy in U.S. and South Korean markets.
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PDF链接:
https://arxiv.org/pdf/1107.5122