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首页> 外文期刊>AESTIMATIO: the IEB International Journal of Finance >Applicatios of State Contingent Stochastic Ordering Methods to the Clustering and Performance Measurements of Trading Strategy
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Applicatios of State Contingent Stochastic Ordering Methods to the Clustering and Performance Measurements of Trading Strategy

机译：状态权变随机排序方法在交易策略聚类和绩效测度中的应用

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The rise in popularity of benchmark free and complex trading strategies throughout the last decade has made available a large variety of risk and performance profiles. As a consequence, to account for their complex performance characteristics, a lot of effort has been devoted to classify and value the performance of these strategies by the alterations of previous – or innovative measures. However, as most measures are often still simple path – and context independent statistics, most often the information provided proves inadequate to separate performance characteristics – as evidenced by the latest crisis. This paper provides a methodology that integrates the clustering and performance measurement of trading strategies in a context and preference based environment. It decomposes preferred performance characteristics into fragments of context dependent behaviour for clustering purposes. It subsequently aggregates these fragments of performance characteristics into a performance measure. The methodology allows for consideration of path dependencies. Two applications, in the clustering of hedge fund styles and the ordering of alternative equity strategies are given. A further application in the statistical replication of trading strategies is highlighted.
机译：在过去的十年中，基准免费和复杂交易策略的普及程度不断提高，提供了各种各样的风险和绩效概况。因此，考虑到其复杂的绩效特征，人们已经付出了很多努力来通过更改先前的或创新的措施来对这些策略的绩效进行分类和评估。但是，由于大多数措施通常仍是简单的途径-和上下文无关的统计信息，因此最经常提供的信息不足以区分单独的绩效特征-最新的危机就证明了这一点。本文提供了一种在基于上下文和偏好的环境中集成交易策略的聚类和绩效衡量的方法。出于群集目的，它将首选性能特征分解为上下文相关行为的片段。随后，它将这些性能特征的片段聚合为一个性能度量。该方法允许考虑路径依赖性。在对冲基金风格的聚类和另类股权策略的排序中给出了两个应用。强调了在交易策略的统计复制中的进一步应用。

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