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.

贵金属ETF投资标的

国内跟黄金挂钩的ETF有: #代码:518880 黄金ETF,华安基金管理,主要投资于:上海黄金交易所挂盘交易的黄金现货合约 #代码:159937 博时黄金,博时基金管理,主要投资于:上海黄金交易所的 黄金现货实盘合约AU99.99 美国跟黄金挂钩的ETF有: #代码:GLD, Spider Gold Trust ETF #代码:IAU, iShares Gold Trust #代码:DGL, PowerShares DB Gold Fund, 投资目标:seeks to track the overall performance of the Deutsche Bank Liquid Commodity Index, Optimum Yield Gold Excess Return. #ETFS Physical Swiss Gold Shares ETF (NYSEArca: SGOL) #ETFS Physical Asian Gold Shares ETF (NYSEArca: AGOL) #RBS Gold Trendpilot ETN (NYSEArca: TBAR) #ETRACS CMCI Gold ETN (NYSEArca: UBG) #Market Vectors Gold Miners ETF (NYSEArca:GDX) 黄金杠杆ETF: #代码:UGL, ProShares Ultra Gold ETF #ProShares UltraShort Gold ETF (NYSEArca: GLL) #Powershares DB Gold Double Long ETN (NYSEArca: DGP) #Powershares DB Gold Double Short ETN (NYSEArca: DZZ) #Powershares DB Gold Short ETN (NYSEArca: DGZ) #VelocityShares 3x Long Gold ETN (NYSEArca: UGLD) #VelocityShares 3x Inverse Gold ETN (NYSEArca: DGLD) 美国跟白银挂钩的ETF有: #代码:SLV, iShares Silver Trust #代码:SIVR, Physical Silver Trust #代码:DBS, PowerShares DB Silver Fund 贵金属一篮子ETF #代码:GLTR ,ETFS Physical Precious Metal Basket Shares, 投资品种: gold, platinum, silver and palladium (金,铂,银,钯) === References #[[http://www.investopedia.com/financial-edge/1011/the-5-best-performing-gold-etfs.aspx|The 5 Best Performing Gold ETFs]] #[[http://www.etftrends.com/2012/02/list-of-top-gold-etfs/|List of Top Gold ETFs]] #[[http://www.investopedia.com/articles/investing/042215/top-3-silver-etfs.asp|The Top 3 Silver ETFs]]

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)