## 量化分析中常用到的方法

=== Principal Component Analysis (PCA) PCA method could be used to find the optimal subset of component stocks for an index. === Time Series Analysis (TSA) TSA method could be used to find the correlation, auto-correlation, delay-correlation of (different) stocks the basic way is to use Linear Regression.

## Option Strategy Notes

There are different kind strategies by combining call and put option. Here are some standard strategy. All the following strategies are with the same underlying asset, and without specific indication, the call and put are with the same strike and the same expiration date. **Call Bull Spread** Long 1 Call with Strike $K_1$ + Short 1 Call with Strike $K_2$, and ($K_1$ < $K_2$). **Put Bull Spread** Long 1 Put with Strike $K_1$ + Short 1 Put with Strike $K_2$, and ($K_1$ < $K_2$). **Put Bear Spread** Long 1 Put with Strike $K_1$ + Short 1 Put with Strike $K_2$, and ($K_1$ > $K_2$). **Call Bear Spread** Long 1 Call with Strike $K_1$ + Short 1 Call with Strike $K_2$, and ($K_1$ > $K_2$). **Box Spread** Call Bull Spread + Put Bear Spread : Long 1 Call with $K_1$ + Short 1 Call with $K_2$ + Long 1 Put With $K_2$ + Short 1 Put with $K_1$, where $K_1$ < $K_2$. **Butterfly Spread** Long 1 Call with Strike $K_1$ + Long 1 Call with Strike $K_3$ + Short 2 Calls with Strike $K_2$, where $K_1$ < $K_2$ < $K_3$ ($K_2$ is usually close to the current underlying asset price) ==== Long Volatility (做多波动率) # **Straddle**: Long 1 Call + Long 1 Put （跨式套利） # **Strip** : Long 1 Call + Long 2 Puts (also known as Bearish Straddle) # **Strap** : Long 2 Calls + Long 1 Put (also known as Bullish Straddle) # **Strangle**: Long 1 Call with Strike $K_1$ + Long 1 Put with Strike $K_2$, and ( $K_1$ > $K_2$ ) (宽跨式套利）