标题： 有效市场中的主动投资组合管理和高频交易的阿尔法表示 显示英文标题

标题： Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets

摘要： 我们引入了一种交易策略表示定理，用于高频交易中的绩效评估和可移植的alpha，通过嵌入一个描述投资组合经理市场时机行为的稳健交易算法，在规范的多因子资产定价模型中。 首先，我们基于对冲因子设计矩阵的行为变换，提出了一种市场时机的谱检验。 其次，我们发现典型的交易策略过程是一个局部鞅，其背景驱动布朗桥模仿了投资组合经理的价格反转策略。 第三，我们证明了像CAPM这样的均衡资产定价模型存在于P测度为零的集合上。 因此，相对于基准指数的超额收益，即相对于基准指数的正alpha，在动荡的资本市场中对无套利定价是稳健的。 第四，alpha的路径特性表明，在适当选择的交易停止时间之间它是正的。 第五，我们展示了如何以及为什么投资组合绩效的计量经济学检验往往会低估正的alpha。 显示英文摘要

摘要： We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical multifactor asset pricing model. First, we present a spectral test for market timing based on behavioral transformation of the hedge factors design matrix. Second, we find that the typical trade strategy process is a local martingale with a background driving Brownian bridge that mimics portfolio manager price reversal strategies. Third, we show that equilibrium asset pricing models like the CAPM exists on a set with P-measure zero. So that excess returns, i.e. positive alpha, relative to a benchmark index is robust to no arbitrage pricing in turbulent capital markets. Fourth, the path properties of alpha are such that it is positive between suitably chosen stopping times for trading. Fifth, we demonstrate how, and why, econometric tests of portfolio performance tend to under report positive alpha.