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Method Of Lowering The Computational Overhead Involved In Money Management For Systematic Multi-Strategy Hedge Funds
Method Of Lowering The Computational Overhead Involved In Money Management For Systematic Multi-Strategy Hedge Funds
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机译：降低系统化多策略对冲基金资金管理中计算开销的方法
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摘要
A data representation is deployed that comprises instances of a software object implementing a particular systematic trading strategy; there are multiple such instances (‘strategy instances’), each corresponding to a different trading strategy, with a strategy instance being paired with a tradable instrument. The method comprises the steps of: (a) each strategy instance providing an estimate of its returns; (b) using Bayesian inference to assess predefined characteristics of each estimate; (c) allocating capital to specific strategy instance/instrument pairings depending on the estimated returns and the associated characteristics. The object based representation is both flexible and powerful; because it directly supports a Bayesian inference, it is functionally better than known approaches because it allows characteristics, such as the reliability of the return estimates to be quantified and modelled and the accuracy of the return estimates to be improved.
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