大额资产清仓的自动化交易策略

市场的机构投资者经常需要清仓手中持有的大额资产, 因此清仓的交易策略成为了关心的问题. 以工商银行的股票为例,给出适用于计算机执行的自动化清仓策略. 首先将高频的工商银行股票历史数据在每个交易日分别划分出48个交易期, 将问题简化为处理每个交易日交易期的数据. 在此基础上, 综合考虑用神经网络模拟预测清仓时股票价格随时间下降的风险和用信息流理论模型衡量的价格冲击和交易时刻, 并通过优化模型得到清仓持续的交易日天数. 此后, 再制定出每个交易日的具体自动化交易策略.在制定日内交易策略 时, 首先用神经网络对交易时刻做出预测, 然后综合考虑使用 VWAP 预测出的交易量和通过 Kalman 滤波方法修正过的期权定价公式预测出的各时刻股票的初始价格, 最终给出详细的交易策略及交易的成本.     

Imine-bridged periodic mesoporous organosilica as stable high-activity catalytic for Knoevenagel reaction in aqueous medium

An imine-functionalized mesoporous solid base catalyst (BA@BE-PMO) was prepared by template agent-directed self-assembly condensation of bis[3-(triethoxysilyl)propyl]amine and 1,2-bis(triethoxysilyl)ethane in acid solution. The imine groups with catalytic activity were integrally embedded into mesopore walls of as-made BA@BE-PMO. In Knoevenagel reactions in aqueous medium, the BA@BE-PMO catalyst exhibited better catalytic activity than imine-functionalized SBA-15 catalyst synthesized using the traditional co-condensation method, which can be attributed to the pore surface with strong hydrophobicity originating from –CH₂CH₂– group fragments incorporated into pore walls. The strong hydrophobicity of the surface facilitates adsorption and diffusion of organic compounds on the catalyst surface in reactions in aqueous medium. Moreover, it exhibited comparable catalytic activity to dipropylamine homogeneous base catalyst because of the uniform dispersion of imine group active sites. The BA@BE-PMO catalyst could also be recovered and reused in up to five runs without significant loss in activity without any negative environmental impact.