解码量化投资——国君金工团队的探索与实践请参阅附注免责声明2请参阅附注免责声明3请参阅附注免责声明4𝔼(𝑿𝒊,𝒒)𝑆𝑈𝐸𝑖,𝑞=𝑋𝑖,𝑞−𝔼𝑋𝑖,𝑞𝑿𝒊,𝒒𝜎𝑖,𝑞请参阅附注免责声明5500全市场内复合因子主要绩效指标与单因子对比请参阅附注免责声明6KDB+DolphinDB请参阅附注免责声明7节选自张雪杰报告《沪深3003001分钟ILLIQ5分钟收益率成交量领先相关性y2010y2011y2012y2013y2014y2015y2016y2017y2018y2019y2020y2021y2022y2023平均1分钟收益率峰度3.10%0.88%-0.95%12.14%1.40%26.17%8.29%-15.66%0.73%-7.43%-17.56%23.74%15.29%18.41%4.90%1分钟路径动量13.78%-4.29%-2.06%19.77%-13.66%26.29%10.21%-6.69%6.56%0.95%1.72%3.73%2.51%11.28%5.01%5分钟收益率偏度11.07%4.22%4.56%7.19%28.43%40...