Leakage of rank-dependent functionally generated trading strategies

IF 0.8 Q4 BUSINESS, FINANCE

Annals of Finance Pub Date : 2020-04-08 DOI:10.1007/s10436-020-00364-2

Kangjianan Xie

引用次数: 2

Abstract

This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. This effect measures the loss in wealth of trading strategies due to renewing the portfolio constituent stocks. Theoretically, the leakage effect of a trading strategy is expressed explicitly by a finite-variation term. The computation of the leakage is different from what previous research has suggested. The method to estimate leakage in discrete time is then introduced with some practical considerations. An empirical example illustrates the leakage of the corresponding trading strategies under different constituent list sizes.

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等级相关功能生成交易策略的泄漏

本文研究了由秩相关投资组合生成函数生成的交易策略的所谓泄漏效应。这种效应衡量了由于更新投资组合成分股而导致的交易策略的财富损失。从理论上讲，交易策略的泄漏效应可以用有限变化项来明确表示。泄漏的计算与之前的研究结果不同。然后介绍了在离散时间内估计泄漏的方法，并结合一些实际考虑。一个实证例子说明了不同成分表规模下相应交易策略的泄漏。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Annals of Finance BUSINESS, FINANCE-

CiteScore

2.00

自引率

10.00%

发文量

期刊介绍： Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance