November 2022
Intermediate to advanced
392 pages
10h 8m
Chinese
Content preview from Python算法交易
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292
｜
第
10
章
于分析历史记录和某些事件非常重要。如第
7
章所述，通过套接字通信进行监视可
以实时地远程观察事件。
10.6
节为本章做了总结，该节提供了在云平台自动部署算
法交易策略的核心步骤的直观汇总。
10.1
资本管理
算法交易中的一个核心问题是在给定总可用资本的情况下，要分配多少给给定的算
法交易策略。这个问题的答案取决于你打算通过算法交易实现的主要目标。大多数
个人和金融机构都会同意，长期财富最大化是一个不错的候选目标。正如“
Rotando
and Thorp
（
1992
）”一文所述，这就是爱德华
·
索普（
Edward Thorpe
）在提出凯利
准则进行投资时所想到的。简而言之，借助凯利准则，就可以根据其统计回报特征，
明确算法交易者应将其部署到策略中的可用资本的比例。
10.1.1
二项式设置中的凯利准则
将凯利准则理论引入投资的常见方式是基于抛硬币游戏，或更普遍的是基于二项式
设置（只有两个可能的结果）。本节也采用这样的方式。假设一个赌徒正在和一个
无限富裕的银行或赌场进行抛硬币游戏。假设正面的概率是某个值
p
：
only viable option from an availability, performance, and security point of view in
this context. “Logging and Monitoring” on page 297 covers logging and monitoring.
Logging is important in order ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.