AI quantitative transaction (I) -- Introduction to quantitative transaction

One 、 Introduction to quantitative transactions

1、 Introduction to quantitative transactions

Quantitative trading is based on mathematical model , Based on historical data , Mathematical modeling 、 Statistical analysis 、 Programming is a tool , Using computer technology to select a variety of probable profit events that can bring excess returns from huge historical data to formulate trading strategies .

2、 The characteristics of quantitative trading

（1） Discipline . Quantitative investment decisions are based on models , The model will be tested thousands of times to achieve high fault tolerance .

（2） systematicness . Quantitative transaction data analysis has a very comprehensive data evaluation system , Will consider the market from many aspects , such as ： Macrocycle 、 Digital currency valuation 、 Turnover rate 、 Profit quality 、 Market sentiment, etc .

（3） Probability . Through models and mathematical methods , Calculate under what conditions the profit rate is the highest , The appropriate position can be increased .

（4） Arbitrage thought . Using mathematical analysis and computer technology to find the valuation depression , Sell high and buy low , Earn the difference in the middle , A profitable economy .

3、 Quantify the benefits of the transaction

（1） Stable investment performance , Pullback low . Quantitative transactions continuously mine and utilize historical laws that are expected to repeat in the future from historical data ; Quantitative trading relies on a group of stocks to win , Instead of one or several stocks winning .

（2） Can overcome the weakness of human nature , Realize rational investment . Help investors keep rational when they are easy to lose rationality ; So the market overreacts 、 When you lose your reason, you can seize the opportunity in time .

（3） Information processing ability is strong . Quantitative transactions use computer technology to process massive amounts of data , Stronger ability to process information .

4、 Application of quantitative transactions

（1） Statistical arbitrage

The main idea of statistical arbitrage is to find out the best correlation of several investment varieties , Then find out the long-term equilibrium relationship between each pair of investment varieties （ Co integration ）, When the price difference of a pair of varieties （ The residual of the cointegration equation ） When the deviation reaches a certain degree, the warehouse will be built , Buying relatively undervalued varieties 、 Short selling of relatively overvalued varieties , After the equivalent difference returns to equilibrium, take profit .

（2） Algorithmic Trading

The main idea of algorithmic trading is to predict the future rise and fall according to the quantitative formula , It's a trend trade , The prediction of algorithm strategy is right or wrong , High risk transaction , But there's a lot of room for profit , The market capacity is also large .

（3） High frequency trading

High frequency trading has a short position , Through a large number of transactions and rapid cancellation , The average profit per transaction is small , But the risk is small .

Two 、 Quantifying how transactions are done

1、 Brief introduction to quantitative transaction mode

According to the concept of mathematical model and the utilization of computer technology , Quantitative transactions can be subdivided into automated transactions （Automatic Trading）、 Quantified investment （Quantitative Investment）、 Procedural transactions （Program Trading）、 Algorithmic Trading （Algorithm Trading） And high-frequency trading （High Frequency Trading）. Different quantitative trading methods have different emphases , It is the product of the development of quantitative trading technology to different stages , It is also a different transaction mode for different quantitative transaction user groups .

2、 Automated trading

Automated trading refers to solidifying the investment mode of technical analysis into a computer understandable model 、 Technical indicators , Computer programs automatically generate investment decisions according to market changes and put them into practice . Automated trading is the automation of technology analysis investment , It can avoid investors' psychological changes and emotional fluctuations , Strictly implement the established strategy , Is the basic quantitative trading method .

3、 Quantified investment

Quantitative investment generally refers to the adoption of probability theory 、 Calculus and other advanced mathematical tools to study the structural causes of various asset prices in the financial market to determine the investment . Quantitative investment requires high mathematical ability of investors , Therefore, generally, funds and investment companies that specialize in quantitative investment like to recruit mathematics 、 Doctor of Science in physics .

4、 Procedural transactions

Procedural trading is the exchange of using procedures , Time to trade 、 Trading position 、 Stop loss and stop profit criteria can be included in the procedure , It can also be independent of the program , The program itself is just a way to execute .

5、 Algorithmic Trading

Algorithmic trading means that the trading decision is based on one or more algorithms (algorithm) On going , Algorithms are the foundation of trading . The execution of algorithmic transactions can be manual , It can also be automated . If trading procedures are used to execute , It's a programmed algorithmic transaction .

6、 High frequency trading

High frequency trading is that there is only a very short time interval between opening and closing each trade , It usually ranges from more than ten minutes to a few microseconds . The main purpose of high-frequency trading is to make profits through short-term price fluctuations in the market . Whether it's a trend following trade or an arbitrage trade , As long as the frequency reaches , Can be called high-frequency trading . It is difficult to reach the standard of high-frequency trading manually , So it is generally traded through procedures ： Set the algorithm 、 After the strategy, it is executed by the ordering software .

7、 Strategic trading

In the field of investment , It is common practice to buy and hold 、 Value investment 、 Growth investment is called strategy , And put inertia 、 reverse 、 trend 、 Support, resistance, etc. are called strategies . Because the strategy is based on technical analysis , In the computerized history of transaction decision analysis , Technical analysis went early , therefore Strategy Trading Traditionally, it refers to strategic trading . Usually , Trading strategies are called strategies , System transactions are called strategic transactions .

3、 ... and 、 Mainstream quantitative trading platform

1、 Introduction to quantitative trading platform

Quantitative trading platform refers to a platform that can meet different quantitative trading methods , It is required to obtain the quotation and basic data from the trading system 、 Trading and execution 、 The three main aspects of strategy R & D and operation should be large and comprehensive , We should also be deep and precise .

The current quantitative trading platform can be developed from the development language 、 Technology Architecture 、 System architecture 、 Strategic direction 、 Transaction mode and other aspects , It is divided into medium and low-end and high-end quantitative trading platforms .

2、 Medium and low-end quantitative trading platform

The technical architecture generally adopted by the medium and low-end platforms is that investors use the client software provided by the platform providers , Use Internet access to connect the market and basic data servers provided by platform providers or financial brokerage companies , After the strategy of investors operating locally is triggered , Trading through the ordinary trading seat of the brokerage company .

The efficiency of policy script parsing and execution 、 Limitations of technical architecture , Medium and low-end platforms are applicable to multiple varieties 、 Multi cycle 、 Multiple accounts 、 Multi trading market 、 Multi Strategy 、 There are certain restrictions on the support of complex system architectures such as the complex financial toolkit . The general system implementation process is ： The investor's strategy is to receive market data locally , Trigger conditions simply calculated according to the policy , Make simple account positions 、 Fund calculation and management , And then issue the trading direction 、 Number 、 Price and other instructions , Make automatic transactions .

The medium and low-end quantitative trading platform only supports the script language with low complexity to realize the strategy logic , Generally, only technical indicators can be loaded on the chart for automatic trading 、 Procedural trading and other quantitative trading methods .

Medium and low-end platforms are suitable for investors to carry out trends 、 Counter trend and other strategies that do not require high market and trading logic , It is the most popular quantitative trading platform used by individual investors in the market .

Domestic medium and low-end quantitative trading platforms mainly include Wenhua Yingzhi programmed trading 、 Trading pioneers 、 Pyramid decision trading system 、 Da Qian &multicharts、 Anyi financial terminal, etc .

（1） Wenhua Yingzhi programmed trading platform

Wenhua Yingzhi uses the wheat language to develop the technical index model , Generate a buying and selling signal to drive the transaction to place an order . In terms of quantitative model development , Evonik has provided historical market data and recent data of multi cycle time series of all varieties of domestic stocks and futures TICK data , At the same time, it provides a wealth of market functions 、 Some functions of accounts and transactions and some statistical functions are used for strategy development , It also provides a wealth of strategy backtesting report items as the basis for strategy performance evaluation . In quantifying transactions , Evonik provides the most support 24 Multithreaded independent programmed transactions of three varieties , At the same time, use single fine components , Part of the functions of algorithmic transaction are realized . Due to the technical architecture of the client , Although Yingzhi has realized the functional module of high-frequency trading , But in practice , It is suggested that the high-frequency transaction be hosted in the Mandarin computer room . At this stage , Evonik is simple to realize by programming 、 High cost performance , It has certain advantages in the medium and low-end quantitative trading platform .

（2） Trading pioneer program trading platform

Trading pioneers （TB） use TBL Language development strategy model , Drive trading orders according to account position and chart trading signals . In terms of quantitative model development ,TB It provides the historical market data of domestic futures with multiple cycles and recent TICK data ; Provides a more comprehensive market data function 、 Account and transaction functions 、 Statistical functions are used for policy development ; It provides a wealth of strategy backtesting report items as the basis for strategy performance evaluation . In quantifying transactions , Single TB Terminal support 20-30 A single variety of charts concurrently receive quotes and Trade , However, due to the limitations of the client technology architecture , Insufficient support for high frequency and more complex strategies . At this stage ,TB The market promotion has been done well , There are many cooperative futures companies , The market share of medium and low-end quantitative trading platforms is high .

（3） Pyramid decision trading system

Pyramid decision trading system （ The pyramids ） use VB Scripting language development strategy model , Use more complex account functions and transaction functions for fund management , You can use charts to buy and sell points , You can also use non chart trading judgment to drive trading orders . In terms of quantitative model development , The pyramid provides historical market data and data of domestic stocks and futures TICK data , You can also use external disk data ; Provides a more comprehensive market data function 、 More account and transaction functions 、 Statistical functions are used for policy development , It also supports external statistical databases and professional statistical analysis software Lib Library extension ; It provides a relatively rich number of strategy back test report items as the basis for strategy performance evaluation . In quantifying transactions , In addition to supporting chart driven programmatic transactions , Basket trading is also possible 、 Algorithmic trading and the implementation of more complex hedging transactions , But it is also limited by the technical architecture of the client , For high-frequency trading 、 The support of more complex strategies such as the trading of the whole market strategy is insufficient . At this stage , The number of pyramid cooperation futures companies is increasing , The market share of medium and low-end quantitative trading platforms is high .

（4） Da Qian multicharts Automated trading

Da Qian multicharts Automated trading systems （MC） use power language Development strategy model , Da Qian provides quotation and transaction gateway ,multicharts Implement the strategy development and execution platform . In terms of quantitative model development , The historical domestic futures market and... Within a period of time provided by Da Qian TICK The market .MC Inherited TradeStation Rich function library and strategy library , And convenient development features , It provides a more perfect back testing and performance evaluation system , It provides a perfect evaluation for the R & D of the strategy . In quantifying transactions ,MC Only procedural and automated transactions are supported , Insufficient support for high-end quantitative transaction mode . because MC Soon after entering China , The market share of medium and low-end quantitative trading platforms is not high .

（5） Anyi financial terminal program transaction

Anyi financial terminal （ Hereinafter referred to as Anyi ） Use the general script language of technical indicators to develop the transaction model , Conduct chart driven automated transactions , It is an automatic trading tool for domestic stocks and futures independently developed by a securities firm . At present, Anyi has provided historical quotations of domestic stocks and futures , You can do relatively simple chart trading and stock trading 、 Hedging of futures , Free use of procedural trading tools . Although Anyi can only trade through the Anxin securities trading channel , But it marks that the quantitative trading of domestic stocks and futures has been promoted to a comprehensive development stage .

3、 High end quantitative trading platform

In addition to supporting complex script language to realize policy logic, the high-end quantification platform , Both support direct use C++、JAVA And other development languages to implement complex policy logic , Generally, in order to pursue execution efficiency , Do not use the interface to display charts , And multi process 、 Multithreading for automated transactions 、 Procedural transactions 、 Algorithmic Trading , Even in pursuit of perfection , Use hardware technology to conduct quantitative transactions such as high-frequency transactions .

The technical architecture commonly adopted by high-end trading platforms is the architecture that uses servers to execute policies , The market uses the extreme speed with the least forwarding path 、 Deep market , The trading channel is dedicated 、 Direct connected trading channel for trading . Market and trading delays are required to be as low as possible .

The high-end trading platform is positioned in asset management , In terms of system architecture, the two stages of strategy development and strategy operation implementation are strictly distinguished . For the strategy development stage , Many varieties are needed 、 Multi cycle 、 Multiple accounts 、 Multi trading market 、 Multi Strategy 、 Support for complex financial engineering packages , To implement complex policy logic ; For the strategy operation execution stage , The system architecture shall ensure various risk controls 、 Emergency treatment 、 Smooth and effective execution of trading methods and strategies . The implementation process of the system not only meets the requirements of the transaction itself , It should also meet the business processes and specifications of the organization itself , And regulatory requirements .

The high-end trading platform is suitable for institutional investors 、 Interest arbitrage 、 hedging 、 High frequency, etc. have high requirements for market and trading 、 Strategies with high logical complexity . With the acceleration of domestic financial market innovation , The demand and potential demand of institutional investors for high-end trading platforms are rising rapidly .

Domestic high-end quantitative trading platforms mainly include Progress Apama、 Long Ruan DTS、 Guotai'an quantitative investment platform 、 Sky soft quantification platform 、 Feichuang STP、 Eason programmed trading 、 Sheng Li SPT Platform, etc .

（1）Progress Apama

Apama use EPL and JAVA Language development or custom policy model , Through the market 、 Information driven CEP The engine trades 、 Risk control and other operations . In terms of quantitative model development ,Apama Use third-party quotation authorization , It provides access to various market interfaces and various counter trading interfaces , It can access the multi cycle time series historical market data and data of domestic stocks and futures TICK data ; It provides a wealth of financial toolkits for complex strategy development ; Provides convenient studio development tool , Rapid development and customization of complex strategies ; Provides 1 Ten thousand times accelerated test for strategy backtesting , You can easily customize test reports . In quantifying transactions ,Apama Provides 150 Ten thousand brush / Seconds of transaction concurrent processing capacity , High frequency trading 、 Algorithmic Trading .Apama High end concurrent processing capability , Make multiple varieties of the whole market concurrent arbitrage 、 Hedging and other trading strategies and real-time risk control strategies can be implemented at a high speed . At this stage ,Apama Self operation in international investment banks 、 Information management 、 The brokerage business has a large market share . from 2012 Year begins ,Apama Gradually expand domestic business , Several large securities and futures companies have begun to officially launch and promote Apama And related quantitative transaction applications .

（2） Long Ruan DTS

DTS use LUA Scripting language development strategy model , Historical and real-time quotations provided by the platform 、 Basic data 、 Statistical analysis of macro data , Realize investment research and trading . In terms of quantitative model development ,DTS You can use the platform's own data sources , You can also access third-party data sources .DTS Some financial toolkits are also available , Develop complex strategies 、 Back testing and performance evaluation . In quantifying transactions ,DTS Provides an extensible server-side technology architecture , It ensures high concurrency and high-speed execution of the policy , It's in procedural trading 、 Quantitative trading 、 Algorithmic Trading 、 There are practical applications in both hedging and arbitrage transactions .

（3） Guotai'an quantitative investment platform

Guotai'an quantitative investment platform is divided into research platforms （QIA-Lite） And trading platforms （QRC）, use matlab Of toolbox The form is seamlessly compatible matlab R & D environment , Strategic transaction realized by the trading platform . In terms of quantitative model development , Guotai'an investment research platform uses its own market source 、 Fundamental data 、 High frequency data 、 Quantitative factor database , Fully compatible with matlab All functions , The development and back testing of the model are realized . In quantifying transactions , It supports the counters of domestic mainstream securities and futures , Procedural trading in stocks and futures 、 Algorithm trading and other aspects have practical applications .

（4） Sky soft quantitative research and trading platform

Tianruan quantitative research and trading platform adopts tianruan's unique TSL Language development strategy model , Through the transaction gateway of tianruan , Realize the execution of quantitative transactions . In terms of quantitative model development , Adopt the historical and TICK The market 、 Master data 、 Macro data and other data sources , It also provides 7000 An open source function library , Develop strategies 、 Back testing 、 Performance analysis . In quantifying transactions , It basically realizes automatic transaction 、 Procedural transactions 、 Algorithm trading and other quantitative trading methods .

（5） Feichuang STP

Feichuang quantitative trading platform adopts JAVA Language , Develop policy models through customizable templates , High frequency trading .STP Through a unified development and asset management operation platform , Research and development of implementation strategy 、 Back testing 、 Risk control and asset management operation . Due to the use of high-speed counter trading interface , It is mainly aimed at high-frequency arbitrage 、 Users of procedural trading and other trading modes .

（6） Yisheng programmed trading platform

Eason procedural trading can adopt similar methods Easy Language Language development strategy model , Realize program trading and arbitrage trading , It can also be based on the quotation and transaction provided by Yisheng counter API, use C++ Ways to develop external applications , Realize futures 、 More complex quantitative trading of stocks . In terms of quantitative model development , It is provided by Eason programmatically EL Development model , It is similar to the medium and low-end quantitative trading platform , But at the speed of the market 、 Real time and fine processing of transaction and account functions , It meets the requirements of high-end quantitative trading platform . In quantifying transactions , The market and trading speed of Yisheng counter have certain comparative advantages , The application supported by the quantitative trading platform is mainly the procedural trading of futures 、 Automatic trading 、 Hedging and arbitrage transactions .

（7） Sheng Li SPT platform

Shengli financial software SPT platform , use C++ Language and customized policy development template for policy development , Use an independent operation and back testing platform for simulation and real transactions . although SPT The platform is not widely used in China , But with it 100 Ten thousand brush / Second market concurrent processing capacity 、 Millisecond delay of the transaction , Stand out in the quantitative trading platform .SPT Provides some policy templates , It is very convenient to realize programmed transaction 、 Arbitrage and hedging transactions 、 Algorithmic Trading 、 High frequency trading, etc .

Four 、 Mainstream quantitative funds

1、 Bridge Water Fund

Bridgewater hedge fund （Bridgewater Associates） from Ray Dalio On 1975 Founded in 2000 , Headquartered in Connecticut, USA , At present, it has about 1500 employee . Bridgewater fund is an evergreen tree in hedge funds , It has been in the forefront of the world's hedge fund list for many years , Take charge of the covenant 1500 Billion dollars , Customers are mainly composed of institutional customers , Including foreign governments 、 The central bank , Corporate and public pensions , University donations and charitable foundations .

Qiaoshui fund has a unique investment philosophy , Focus on global macro strategy , Put forward the all-weather investment strategy 、alpha And beta The theory of policy separation , The all-weather investment strategy emphasizes different types of asset portfolio allocation in different macroeconomic periods , So as to achieve the state of always being profitable . The bridge water fund is 2008 Positive gains have been made in the financial crisis , And in 2009 After the bankruptcy of Lehman Brothers in, it still performed well .

2018 year 6 month , Qiaoshui fund completed the registration of private fund manager in China Securities Investment Fund Industry Association , Officially become the domestic private placement manager , This marks the official launch of its private placement business in China .

2、AQR Capital management company

AQR Mr. Asness, the former portfolio manager of Goldman Sachs, and his partner 1998 Co founded in Quantitative hedge funds , Headquartered in Greenwich, Connecticut , At present, the management scale is up to 1592 Billion dollars , The number of employees reaches 693 people , In Boston, 、 Chicago 、 Los Angeles 、 London and Sydney have offices .

AQR Our clients are mainly institutional investors , For example, pension funds 、 The insurance company 、 Mutual funds 、 Sovereign wealth funds, etc .

AQR Through algorithms and computer models to find the temporary inefficiency of the market and profit from it , Its investment strategy is very extensive , Including long and short positions 、 Interest arbitrage 、 equity 、 Global macro 、 insurance 、 Absolute return 、 momentum 、 Multiple strategies, etc .AQR The primary target of the company is value stocks and momentum stocks ; When selecting a portfolio ,AQR Emphasize the combination of fundamentals, quantitative analysis and bottom-up stock selection ; The three core principles of investment are systematic approach 、 Diversified investments and alpha Skill .

AQR Capital in 2008 In the financial crisis of , Its flagship fund “ Absolute return fund ” The loss exceeds 50%, The scale of assets managed by the company ranges from 2007 year 9 At the peak of the month 391 Billion dollars fell all the way to 2009 year 3 Of the month 172 Billion dollars .

3、 Millennium management company

Millennium management （Millennium Management LLC） From England to Germany 1989 Founded with the help of investors such as the Canadian billionaire belzberg family , The initial asset size is 3500 Thousands of dollars , At present, the management scale is up to 336 Billion dollars , Have more than 2000 employee , In the U.S. 、 There are offices in Europe and Asia .

Millennium management's investment approach is very risk oriented , More inclined to be at a certain risk （ For example, the low sharp rate ） There is a higher income , The investment concept of risk aversion has become the rule of the trading team . therefore , Millennium management requires the trading team to have a small profit in the days of making money , There are smaller losses in the days of losing money , Strive for more money making days .

Millennium management's investment strategy focuses on diversification and Globalization , Including relative value 、 Statistical arbitrage 、 M & A arbitrage 、 Fixed income and commodities , In the asset class 、 Industry of the commodity 、 The location of the investment object is very diversified , The investment targets include domestic and foreign equity 、 Creditor's rights 、 currency 、 futures 、 forward 、 Options, etc . Millennium management attaches great importance to the use of high technology , Its subsidiary quantitative Department has a system that allows amateur traders to submit algorithms for specific transactions .

4、 Castle investment group

Castle investment group （Citadel Investment Group） By Kenneth · Griffin in 1990 Founded in 2000 , Headquartered in Chicago , In North America 、 Asia 、 There are offices in Europe , At present, the management scale of Castle asset management company exceeds 240 Billion dollars , The company has more than 1400 employee , Castle's clients include sovereign wealth funds 、 pension 、 University donations, etc .

The investment method of the castle is studied by strict fundamentals 、 High end quantitative analysis and a proven technology platform jointly drive . The investment principle is to strive 、 Scenario planning and repetition . The investment strategy focuses on some of the major asset classes in the world's largest financial markets , Mainly including shares 、 credit 、 Quantitative strategy 、 goods 、 Fixed income and macro .

5、 Soros Quantum Fund

Soros Quantum Fund （Soros Fund Management） By georgesoros Yu Cheng 1969 Founded in 2000 , Once a leader in the hedge fund industry , Headquartered in New York , Now it has been transformed into a family office , Management scale exceeds 200 Billion dollars .

The investment targets of quantum fund include stocks 、 Worldwide fixed income products and foreign exchange 、 currency 、 goods 、 Private equity funds and venture capital funds , In traffic 、 energy 、 retail 、 There is a lot of investment in the financial and other industries .

Founder Soros once blocked the pound to bring down the Bank of England , Snipe at the Thai baht and the Hong Kong dollar , Triggered the Asian financial crisis .

6、 Yuansheng capital

Yuansheng capital （Winton Capital Management） By the fund manager David Harding On 1997 Founded in 2000 , At present, the management scale exceeds 300 Billion dollars , In the world 25 Countries have employees 330 people , It's the largest in the world futures Investment fund companies .

Yuansheng capital is a systematic investment company , Use scientific means to trade , Through the statistical analysis of historical data and mathematical modeling to find profit opportunities .

7、 De Shao investment

Dschau （D.E. Shaw） By the founder David E. Shaw On 1988 Founded in 2000 , At present, the management scale of the company has reached 500 Billion dollars , The number of employees exceeds 1300.

founder David E. Shaw He is a teacher in the computer department of Columbia University , Served as a government science and technology consultant , Proficient in information technology and related technologies , The company attaches great importance to the application of quantitative techniques in investment , Also developed sophisticated computer technology for trading .

founder David E. Shaw After graduating from Stanford, he quickly got a teaching position at Columbia University , Then joined Morgan Stanley's quantitative Department .1988 year , Because of the defeat in the internal struggle of the company, he founded the Deshao fund , And used the rare high-frequency trading technology at that time to be born on Wall Street , Use the inefficiency of the market to cut the wool of the market .

2004 year , To achieve financial freedom David E. Shaw Invest the wealth earned in the field of quantitative investment in the field of computational chemistry of our bank , Set up the D.E.Shaw Research, A group of basic science doctors have been recruited , Developed in three years Anton first generation , Faster than the average supercomputer 10000 times , The team continues to gain the opportunity to publish papers in world-renowned scientific journals , Academic reputation is rising .

2015 year ,David E. Shaw Personal wealth has reached 41 Billion dollars .

2019 year 4 month , Virtuous investment management （ Shanghai ） Complete the filing and registration with the China Securities Investment Fund Association , Officially enter the Chinese market .

8、 The Renaissance

Renaissance Technology （Renaissance Technologies LLC） By James - simmons （James Simons） On 1982 Founded in 2000 , At present, the management scale exceeds 650 Billion dollars , It includes the grand medal fund, which is only open to internal employees (Medallion Fund) And open to outside investors RIEF ( Institutional equity funds ) and RIDA ( Institutional diversified alpha Fund ).

James Simons stay 23 He received his Ph. D. in mathematics from the University of California, Berkeley at the age of ,24 At the age of, he became a lecturer in the Department of mathematics at Harvard University ,30 At the age of, he became the dean of the Department of mathematics at Stony Brook University in New York , and 8 Years of pure mathematical research , In the meantime, he and chenshengshen, a well-known Chinese mathematician, jointly founded the Chern-Simons theory .

1976 year ,James Simons Won the crown of mathematics —— Veblen, USA （Veblen） prize , His personal achievements in mathematics reached the peak .

In Finance ,James Simons Invent a unique gecko investment method , That is, short-term directional prediction during investment , Trade many varieties at the same time , Rely on a large number of transactions completed in a short time to make a profit , That is, the transaction should be like a gecko , I usually lie on the wall and don't move , Once a mosquito appears, it eats it quickly , Then restore calm , Wait for the next chance .

1989 Year to 2009 Year , The average annual return of the grand medal fund is as high as 35%, Compared with the same period of S & P 500 The average annual return of the index is high 20 Multiple percentage points , Than “ Financial giant ” Soros and “ warren ” Buffett's trading performance is higher than 10 More than percent . Even when the subprime mortgage crisis broke out 2007 year , The rate of return is still as high as 85%.

The mathematical model of the grand medal fund is mainly based on the statistics of historical data , Find out the price of financial products 、 macroeconomic 、 Market indicators 、 The mathematical relationship between technical indicators and other indicators , Identify small profit opportunities in the market , And pass Leverage ratio Make a profit by trading quickly and on a large scale . Now the investment portfolio of the grand medal fund includes thousands of stock markets and investment targets in other markets around the world , Model for national debt 、 futures 、 currency 、 The prices of major investment targets such as stocks are continuously monitored , And make orders to buy or sell .

9、Two Sigma

Two Sigma By the founder John Overdeck and David Siegel On 2001 Founded in 2000 , At present, the management scale has reached 500 Billion dollars , More than two-thirds of the employees in the R & D department , More than 60% of employees have no financial background .

Two Sigma Follow the principle of technology and innovation , Machine learning 、 Decision making under the guidance of distributed computing , And always develop the latest technology , To make better decisions . The founders are all outstanding in the field of technology investment , On the computer drive 、 Model based trading systems have developed in more than 40 Years of experience ,John Overdeck The godfather of Wall Street quantitative fund 、 Founder of Deshao investment D.E. Shaw Our capable love will , He is quite accomplished in mathematics and statistics ;David Siegel Good at computer 、 Artificial intelligence ; The company combines massive data 、 World class computer systems and financial experts to complete high-end transaction models , At the same time, it also optimizes the investment from the perspective of science and technology 、 To manage risk .

2019 year 9 month ,Two Sigma Announce the subsidiary Tengsheng investment management ( Shanghai ) Ltd. has been successfully established in the China Securities Investment Fund Industry Association (AMAC) Register as a private equity fund manager .

5、 ... and 、 Main stream PB Institutions

1、PB brief introduction

Main securities business （Prime Brokerage, abbreviation PB）, As an institutional business of securities companies , It refers to that securities companies provide transaction settlement for professional investors 、 Asset custody 、 Back office operations 、 Research supports 、 Leverage financing 、 One stop comprehensive financial services such as fund raising .

 PB(Prime Brokerage), The Chinese name is master broker , In foreign countries, securities companies are mainly institutional customers （ Especially hedge funds ） A business platform that provides services and management , It is also an important part of the implementation of hedge fund investment strategies . therefore ,PB It is an important business department of Wall Street securities companies , by 70% International hedge funds provide financing and management services . The prime broker acts as the fund side of the hedge fund , In a strong position ,PB On the one hand, we hope to expand the scale of financing , On the other hand, we have to face severe financing risks , This in itself puts forward strong professional requirements for the main brokerage business .

2、 Goldman Sachs Group

As the largest PB Service agencies , Goldman Sachs' firm commitment to technology and innovation , Lead them to develop many practices and technologies that have become industry standards . Goldman Sachs has been a pioneer in electronic trading and connectivity systems , Its electronic trading platform REDIPlus Analyze before trading 、 Value added execution services 、 Algorithmic Trading 、 Global leader in portfolio trading solutions and post transaction analysis . among , Goldman Sachs algorithmic trading （GSAT） It is a set of algorithm programs involving a variety of assets around the world , Including shares 、 futures 、 Synthetic derivatives and options , Through and with GSAT Make a deal , Clients also have access to various resources of Goldman Sachs , Including analysis before, after and during the transaction 、 Transaction cost analysis and execution strategy .

In addition to trading instruments , Goldman Sachs has made great efforts to use technology to promote business innovation and development in various businesses . In foreign exchange and derivatives trading , Goldman Sachs' original and proprietary data modeling technology enables clients to calculate margins on a portfolio basis , So as to efficiently manage risks and optimize capital utilization , And Goldman Sachs' internal technology platform simplifies transaction confirmation 、 Combined reconciliation and management . In terms of custody settlement , Goldman Sachs has developed a powerful 、 A wide range of global clearing and settlement networks . Goldman Sachs' platform provides a complete set of tools , Allows customers to trade across multiple asset classes and currencies in a single consolidated account . In terms of margin trading , Goldman Sachs uses proprietary 、 Portfolio risk modeling tools using cutting-edge technologies , Evaluate financing options for the client's portfolio and strategy . In terms of reporting services , The Goldman Sachs institutional client network allows clients to access Goldman Sachs' global online resources online , Including the trading concept 、 Investment opportunities 、 Market insight 、 Personalized investment research and other resources . meanwhile , Goldman Sachs has developed a highly customizable comprehensive reporting platform , Provide customers with customized business solutions covering a wide range of products and markets .

3、 Yingtou securities

Yingtou securities （Interactive Brokers,IB） It is a well-known American Internet brokerage with low transaction cost and technology driven business , Both institutional and individual customers account for half .PB The business is IB In recent years, it has developed rapidly .IB stay PB There are two core competitiveness in service ： One is IB R & D IB SmartRouting SM Intelligent trading system , The other is IB Absolute advantage in cost control ,IB You can choose to provide free hosting services for customers .

suffer Basel III、MiFID II And other regulatory policies , Goldman sachs 、 Morgan Stanley and other bank controlled prime brokers are subject to strict liquidity management constraints , Forced to raise customer access standards and service pricing .IB It has accepted hedge funds that large prime brokers are unwilling to serve , At the same time, it has also attracted a large number of rate sensitive customers . With excellent technical reserves and planning , In the face of things like MiFID II Wait for the new regulation , There is no need to be forced to carry out comprehensive technical upgrading and hire a group of new employees .IB We have developed an intelligent trading system for our customers —IB SmartRouting SM, Find the best price in the whole market by algorithm to complete the transaction .SmartRouting Replace manual operation by technical means , It is integrated into various business processes and transformed into an automated workflow , Thus, the cost can be greatly reduced . thus ,IB It has an absolute advantage in cost control , Thus, the minimum management scale or revenue contribution is not required for customers .

Besides ,IB Have a set of support C++、Java as well as Python And other languages , It mainly serves customers of procedural trading .IB It has also launched a set of automated foreign exchange swap trading procedures , Enable customers to hold foreign exchange positions at a more reasonable price . In order to meet the needs of hedge funds, they hope to reach different assets in the global market through only one platform ,IB Developed Investors’ Marketplace, Provide search tools for institutions that allocate hedge funds , Currently, there are 2911 Only hedge funds .

4、 UBS

UBS group （UBS Group AG, UBS group or UBS ） Founded in 1862 year , Headquartered in Zurich, Switzerland , Full-Time Employee 67481 people , It is the largest financial holding group in Europe . UBS Huabao 、 UBS institutional asset management and UBS Swiss private bank are composed of three branches , UBS group's business mainly includes wealth management 、 Investment banking and securities and asset management .UBS UBS is a universal bank , For domestic and foreign customers （ Enterprises 、 personal 、 Public institutions, etc ） Provide a wide range of banking services , This includes working capital loans 、 Construction loans 、 Special financing 、 International business loans 、 Export financing 、 Project financing 、 Securities credit and guarantee 、 Investment consulting and trusteeship 、 Securities trading 、 Securities management and indirect lending 、 Issue and distribute shares 、 Bonds and notes , be engaged in Syndicated loan , Operating foreign exchange 、 bank money 、 noble metal , Engage in money market business , Engaged in transfer and payment, etc .

5、 China international capital corporation

China International Finance Co., Ltd （CICC） It is the first Sino foreign joint venture investment bank in China , CICC has been committed to providing customers with high-quality financial value-added services , Established a research-based , investment bank 、 Stock business 、 Fixed income 、 Comprehensive investment structure and wealth management .