1個回答
金融慕播課賀老師助教
2018-05-08 18:39
該回答已被題主采納
這個是在alpha analysis里面，scale the alphas里面出現(xiàn)的公式，原版書這么說的：Alphas have a natural structure: a = volatility ? 1C ? score.
This structure includes a natural scale for the alphas. We expect the information coefficient (1C) and residual risk (volatility) for a set of alphas to be approximately constant, with the score having mean 0 and standard deviation 1 across the set. Hence the alphas should have mean 0 and standard deviation, or scale, of Std{a> ? volatility ? IC.3。
大概意思就是這個題目答案中的第一個公式，記住會用就行了。
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