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    \n
    \"\"<\/figure>\n<\/div>\n\n\n
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    \n
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    \u4e00\u4e2a\u5177\u4f53\u7684\u7b97\u4f8b<\/strong><\/h3>\n\n\n\n
    \u5047\u8bbedelta\u8bbe\u4e3a0.5%\uff0c\u7edf\u8ba1\u53d1\u73b0\u5e73\u5747\u8d85\u8c03\u7ea6\u4e3a0.3%\u3002\u4e00\u4e2a\u6700\u7b80\u89c4\u5219\u53ef\u4ee5\u8fd9\u6837\u8bbe\u8ba1\uff1a<\/p>\n\n\n\n
      \n
    • \u89e6\u53d1\u6761\u4ef6<\/strong>\uff1a\u4e00\u4e2a\u5411\u4e0aDC\u4e8b\u4ef6\u786e\u8ba4<\/li>\n\n\n\n
    • \u52a8\u4f5c<\/strong>\uff1a\u5f00\u4ed3\u505a\u591a\uff0c\u6781\u5c0f\u4ed3\u4f4d<\/li>\n\n\n\n
    • \u76ee\u6807<\/strong>\uff1a\u83b7\u52290.3%<\/li>\n\n\n\n
    • \u9000\u51fa<\/strong>\uff1a\u4ef7\u683c\u4ece\u5165\u573a\u56de\u843d0.2%\u65f6\u79bb\u573a<\/li>\n<\/ul>\n\n\n\n
      \u5982\u679c\u8fd9\u4e2a\u89c4\u5219\u7684\u80dc\u7387\u5927\u7ea6\u662f\u6bcf5\u7b14\u4e2d3\u7b14\u83b7\u5229\u30012\u7b14\u4e8f\u635f\uff0c\u90a3\u4e48\u5355\u7b14\u671f\u671b\u503c\u662f\uff1a<\/p>\n\n\n\n
      \u5355\u7b14\u671f\u671b = (3\/5 \u00d7 0.3%) - (2\/5 \u00d7 0.2%) = 0.18% - 0.08% =\u00a00.10%<\/strong><\/code><\/pre>\n\n\n\n
      0.10%\u770b\u8d77\u6765\u5f88\u5c0f\uff0c\u4f46\u5b83\u662f\u6b63\u7684\uff0c\u800c\u4e14\u662f\u53ef\u91cd\u590d\u7684\u3002\u5982\u679c\u4e00\u5e74\u80fd\u8dd1\u51e0\u5343\u7b14\uff0c\u590d\u5229\u7684\u529b\u91cf\u4f1a\u66ff\u4f60\u8bf4\u8bdd\u3002<\/p>\n\n\n\n
      Python\u5b9e\u73b0\uff1a\u4e00\u4e2a\u5468\u672b\u5c31\u80fd\u641e\u5b9a\u7684DC\u4e8b\u4ef6\u5f15\u64ce<\/strong><\/h3>\n\n\n\n
      \u4e0b\u9762\u8fd9\u6bb5\u4ee3\u7801\u662fDC\u4e8b\u4ef6\u5f15\u64ce\u7684\u6700\u5c0f\u539f\u578b\uff0c\u628a\u4e00\u4e32\u4ef7\u683c\u8f6c\u6210\u65b9\u5411\u6027\u53d8\u5316\u4e8b\u4ef6\uff1a<\/p>\n\n\n\n
      delta\u00a0=\u00a00.005# \u9608\u503c 0.5%<\/em>\nevents\u00a0= []\nlast_extreme\u00a0=\u00a0prices[0]\ndirection\u00a0=\u00a00# 1=\u4e0a\u5347, -1=\u4e0b\u964d<\/em>\n\nforpriceinprices[1:]:\n\u00a0 \u00a0\u00a0move\u00a0= (price\u00a0-\u00a0last_extreme) \/\u00a0last_extreme\n\u00a0 \u00a0\u00a0ifdirectionin\u00a0(0,\u00a01)\u00a0andmove\u00a0<= -delta:\n\u00a0 \u00a0 \u00a0 \u00a0\u00a0events.append((\"down_dc\",\u00a0price))\n\u00a0 \u00a0 \u00a0 \u00a0\u00a0direction\u00a0= -1\n\u00a0 \u00a0 \u00a0 \u00a0\u00a0last_extreme\u00a0=\u00a0price\n\u00a0 \u00a0\u00a0elifdirectionin\u00a0(0, -1)\u00a0andmove\u00a0>=\u00a0delta:\n\u00a0 \u00a0 \u00a0 \u00a0\u00a0events.append((\"up_dc\",\u00a0price))\n\u00a0 \u00a0 \u00a0 \u00a0\u00a0direction\u00a0=\u00a01\n\u00a0 \u00a0 \u00a0 \u00a0\u00a0last_extreme\u00a0=\u00a0price<\/code><\/pre>\n\n\n\n
      \n
      \u52a8\u624b\u5efa\u8bae<\/strong>
      \u627e\u4e00\u4e2a\u6d41\u52a8\u6027\u597d\u7684\u54c1\u79cd\uff0c\u62ff\u4e00\u5929\u7684\u9ad8\u9891\u6570\u636e\u5582\u8fdb\u53bb\u3002\u628aDC\u4e8b\u4ef6\u6807\u6ce8\u5728\u4ef7\u683c\u56fe\u4e0a\uff0c\u91cf\u4e00\u91cf\u6bcf\u6b21\u8d85\u8c03\u7684\u5e45\u5ea6\uff0c\u518d\u7528\u4e0a\u9762\u90a3\u4e2a\u7b80\u5355\u7684\u5165\u573a-\u9000\u51fa\u89c4\u5219\u505a\u6a21\u62df\uff1a\u624b\u7eed\u8d39\u548c\u6ed1\u70b9\u5f80\u6700\u5dee\u4e86\u8bbe\u3002\u8fd9\u4e2a\u5c0f\u5b9e\u9a8c\u80fd\u544a\u8bc9\u4f60\u7684\u4e1c\u897f\uff0c\u6bd4\u4f60\u770b\u4e00\u4e2a\u6708\u6307\u6807\u6559\u7a0b\u90fd\u591a\u3002<\/p>\n<\/blockquote>\n\n\n\n
      \u4e09\u3001\u7528”\u5173\u7cfb”\u66ff\u4ee3”\u65b9\u5411”\uff1a\u914d\u5bf9\u7b56\u7565\u5e95\u5c42\u903b\u8f91<\/strong><\/h2>\n\n\n\n
      \u4e8b\u4ef6\u9a71\u52a8\u7684DC\u5f15\u64ce\u89e3\u51b3\u4e86”\u4ec0\u4e48\u65f6\u5019\u51fa\u624b”\u7684\u95ee\u9898\u3002\u4f46”\u51fa\u624b\u505a\u4ec0\u4e48”\u8fd9\u4ef6\u4e8b\uff0c\u53ef\u4ee5\u505a\u5f97\u66f4\u5b89\u5168\uff1a\u4e0d\u662f\u62bc\u5355\u4e00\u65b9\u5411\uff0c\u800c\u662f\u62bc\u4e24\u4e2a\u6807\u7684\u4e4b\u95f4\u7684\u5173\u7cfb<\/strong>\u3002<\/p>\n\n\n\n
      \u60f3\u4e00\u60f3\uff1a\u6caa\u6df1300\u80a1\u6307\u671f\u8d27\u548c\u5bf9\u5e94\u7684ETF\uff0c\u8d70\u52bf\u662f\u4e0d\u662f\u9ad8\u5ea6\u76f8\u5173\uff1f\u540c\u4e00\u884c\u4e1a\u7684\u4e24\u53ea\u9f99\u5934\u80a1\uff0c\u8d70\u52bf\u662f\u4e0d\u662f\u7ecf\u5e38”\u4ea6\u6b65\u4ea6\u8d8b”\uff1f\u5f53\u5b83\u4eec\u4e4b\u95f4\u7684\u4ef7\u5dee\u5f02\u5e38\u6269\u5927\u65f6\uff0c\u5927\u6982\u7387\u4f1a\u56de\u5f52\uff1a\u8fd9\u5c31\u662f\u914d\u5bf9\u7b56\u7565\u7684\u6839\u57fa\u3002<\/p>\n\n\n\n
      \u914d\u5bf9\u7b56\u7565\u7684\u6838\u5fc3\u6b65\u9aa4<\/strong><\/h3>\n\n\n\n
      \u6b65\u9aa4<\/strong><\/th>\u64cd\u4f5c<\/strong><\/th>\u8bf4\u660e<\/strong><\/th><\/tr><\/thead>
      1. \u6807\u7684\u7b5b\u9009<\/td>\u627e\u9ad8\u76f8\u5173\u8d44\u4ea7\u5bf9<\/td>\u5982\u6307\u6570\u671f\u8d27\u4e0eETF\u3001\u540c\u884c\u4e1a\u4e2a\u80a1\u3001\u5173\u8054\u6c47\u7387\u5bf9<\/td><\/tr>
      2. \u4ef7\u5dee\u8ba1\u7b97<\/td>\u8ba1\u7b97\u5b9e\u65f6\u4ef7\u5dee\u5e8f\u5217<\/td>\u7528\u5bf9\u6570\u4ef7\u683c\u5dee\u6216\u6bd4\u503c\uff0c\u6d88\u9664\u91cf\u7eb2\u5dee\u5f02<\/td><\/tr>
      3. \u5747\u503c\u4e0e\u6ce2\u52a8<\/td>\u6eda\u52a8\u8ba1\u7b97\u4ef7\u5dee\u7684\u5747\u503c\u548c\u6807\u51c6\u5dee<\/td>\u4e0d\u9700\u8981\u632f\u8361\u5668\uff0c\u53ea\u9700\u8981\u6700\u57fa\u7840\u7684\u7edf\u8ba1\u91cf<\/td><\/tr>
      4. \u4fe1\u53f7\u89e6\u53d1<\/td>\u4ef7\u5dee\u5f02\u5e38\u504f\u79bb + DC\u4e8b\u4ef6\u786e\u8ba4<\/td>\u53cc\u91cd\u6761\u4ef6\uff1a\u4ef7\u5dee\u591f\u5bbd\uff0c\u4e14\u65b9\u5411\u6027\u53d8\u5316\u4e8b\u4ef6\u786e\u8ba4<\/td><\/tr>
      5. \u5f00\u4ed3\u65b9\u5411<\/td>\u505a\u591a\u4fbf\u5b9c\u7684\u4e00\u65b9\uff0c\u505a\u7a7a\u8d35\u7684\u4e00\u65b9<\/td>\u4e0d\u8d4c\u5e02\u573a\u65b9\u5411\uff0c\u53ea\u8d4c\u4ef7\u5dee\u56de\u5f52<\/td><\/tr>
      6. \u9000\u51fa\u6761\u4ef6<\/td>\u4ef7\u5dee\u56de\u5f52\u6b63\u5e38\u533a\u95f4\uff0c\u6216\u89e6\u53ca\u6b62\u635f<\/td>\u4ef7\u5dee\u56de\u5f52\u6216\u65b9\u5411\u53cd\u8f6c\u5373\u79bb\u573a<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
      \u628aDC\u4e8b\u4ef6\u5f15\u64ce\u5957\u5230\u4ef7\u5dee\u5e8f\u5217\u4e0a\uff0c\u4f60\u7684\u89c4\u5219\u5c31\u53d8\u6210\u4e86\uff1a“\u5982\u679c\u4ef7\u5dee\u5f02\u5e38\u504f\u5bbd\uff0c\u5e76\u4e14\u4ef7\u5dee\u672c\u8eab\u4e5f\u89e6\u53d1\u4e86\u4e00\u4e2a\u65b9\u5411\u6027\u53d8\u5316\u4e8b\u4ef6\uff0c\u90a3\u5c31\u5f00\u914d\u5bf9\u4ed3\uff1b\u7b49\u4ef7\u5dee\u56de\u5f52\u6b63\u5e38\u533a\u95f4\u6216\u78b0\u5230\u6b62\u635f\u518d\u8d70”<\/strong>\u3002\u4ecd\u7136\u4e0d\u662f\u5728\u731c\u65b9\u5411\uff0c\u800c\u662f\u5728\u5bf9\u7ed3\u6784\u6027\u504f\u79bb\u505a\u6761\u4ef6\u53cd\u5e94\u3002<\/p>\n\n\n\n
      \n
      \u914d\u5bf9\u7b56\u7565\u7684\u5929\u7136\u4f18\u52bf<\/strong>
      \u56e0\u4e3a\u662f”\u4e00\u591a\u4e00\u7a7a”\u7684\u7ec4\u5408\uff0c\u4f60\u4e0d\u9700\u8981\u5224\u65ad\u5e02\u573a\u6574\u4f53\u65b9\u5411\u3002\u65e0\u8bba\u5927\u76d8\u6da8\u8fd8\u662f\u8dcc\uff0c\u4f60\u5173\u5fc3\u7684\u53ea\u662f\u4e24\u4e2a\u6807\u7684\u4e4b\u95f4\u7684\u4ef7\u5dee\u4f1a\u4e0d\u4f1a\u56de\u5f52\u3002\u8fd9\u5c31\u662f\u6240\u8c13\u7684”\u5e02\u573a\u4e2d\u6027”\u2014\u2014\u628a\u7cfb\u7edf\u6027\u98ce\u9669\u5bf9\u51b2\u6389\uff0c\u53ea\u7559\u4ef7\u5dee\u7684\u6ce2\u52a8\u3002<\/p>\n<\/blockquote>\n\n\n\n
      \u56db\u3001\u81ea\u9002\u5e94\u98ce\u63a7\u5916\u58f3\uff1a\u8ba9\u7b56\u7565\u6d3b\u4e0b\u6765\u7684”\u5239\u8f66\u7cfb\u7edf”<\/strong><\/h2>\n\n\n\n
      \u5982\u679c\u8bf4\u4e8b\u4ef6\u5f15\u64ce\u662f”\u5f15\u64ce”\uff0c\u914d\u5bf9\u6a21\u5757\u662f”\u65b9\u5411\u76d8”\uff0c\u90a3\u98ce\u63a7\u5916\u58f3\u5c31\u662f”\u5239\u8f66”\u3002\u4e00\u4e2a\u6709\u6b63\u671f\u671b\u503c\u7684\u7b56\u7565\uff0c\u5982\u679c\u4ed3\u4f4d\u7ba1\u7406\u7a00\u70c2\u3001\u9047\u5230\u884c\u60c5\u5207\u6362\u8fd8\u4e0d\u505c\u624b\uff0c\u7167\u6837\u4f1a”\u7ffb\u8f66”\u3002<\/p>\n\n\n\n
      \u98ce\u63a7\u5c42\u7684\u6838\u5fc3\u601d\u8def\u5c31\u4e00\u53e5\u8bdd\uff1a\u6bcf\u7b14\u4ea4\u6613\u4fe1\u53f7\u53ea\u662f\u4e00\u4e2a”\u7533\u8bf7”\uff0c\u98ce\u63a7\u5c42\u6709\u6743\u5426\u51b3<\/strong>\u3002<\/p>\n\n\n\n
      \u98ce\u63a7\u5c42\u8981\u770b\u4ec0\u4e48\uff1f<\/strong><\/h3>\n\n\n\n
        \n
      • \u8fd1\u671f\u5df2\u5b9e\u73b0\u6ce2\u52a8\u7387<\/strong>\uff1a\u5e02\u573a\u6700\u8fd1\u662f\u4e0d\u662f”\u53d1\u75af”\u4e86\uff1f\u6ce2\u52a8\u7387\u98d9\u5347\u65f6\u5e94\u8be5\u7f29\u5c0f\u4ed3\u4f4d<\/li>\n\n\n\n
      • \u8fd1\u671f\u6ed1\u70b9\u60c5\u51b5<\/strong>\uff1a\u6700\u8fd1\u6210\u4ea4\u7684\u6ed1\u70b9\u662f\u4e0d\u662f\u5728\u6269\u5927\uff1f\u5982\u679c\u662f\uff0c\u8bf4\u660e\u6d41\u52a8\u6027\u5728\u6076\u5316<\/li>\n\n\n\n
      • \u5f53\u524d\u603b\u655e\u53e3<\/strong>\uff1a\u4f60\u5df2\u7ecf\u6301\u6709\u591a\u5c11\u4ed3\u4f4d\uff1f\u662f\u4e0d\u662f\u592a\u591a\u4e86\uff1f<\/li>\n\n\n\n
      • \u5f53\u524d\u56de\u64a4\u5e45\u5ea6<\/strong>\uff1a\u8d26\u6237\u4ece\u9ad8\u70b9\u56de\u843d\u4e86\u591a\u5c11\uff1f\u63a5\u8fd1\u7ea2\u7ebf\u5c31\u8981\u8e29\u5239\u8f66<\/li>\n\n\n\n
      • \u8fde\u7eed\u4e8f\u635f\u6b21\u6570<\/strong>\uff1a\u6700\u8fd1\u8fde\u4e8f\u51e0\u7b14\u4e86\uff1f\u8fde\u4e8f\u65f6\u5e94\u8be5\u964d\u9891\u800c\u4e0d\u662f\u52a0\u7801<\/li>\n<\/ul>\n\n\n\n
        \u4e00\u4e2a\u7b80\u5355\u7684\u4ed3\u4f4d\u516c\u5f0f<\/strong><\/h3>\n\n\n\n
        \u6700\u5b9e\u7528\u7684\u6a21\u677f\u662f”\u56fa\u5b9a\u6bd4\u4f8b + \u6ce2\u52a8\u7387\u7f29\u653e”\uff1a<\/p>\n\n\n\n
        \u5355\u7b14\u98ce\u9669\u989d\u5ea6 = \u8d26\u6237\u6743\u76ca \u00d7 \u56fa\u5b9a\u6bd4\u4f8b(\u59820.1%) \/ \u8fd1\u671f\u6ce2\u52a8\u7387<\/code><\/pre>\n\n\n\n
        \u4e3e\u4e2a\u4f8b\u5b50\uff1a\u8d26\u6237100\u4e07\uff0c\u56fa\u5b9a\u6bd4\u4f8b0.1%\uff0c\u8fd1\u671f\u6ce2\u52a8\u7387\u662f1.5%\uff0c\u90a3\u4e48\u5355\u7b14\u98ce\u9669\u989d\u5ea6\u5c31\u662f100\u4e07 \u00d7 0.1% \/ 1.5% \u2248 667\u5143\u3002\u5982\u679c\u5e02\u573a\u6ce2\u52a8\u7387\u98d9\u5347\u52303%\uff0c\u540c\u6837\u7684\u516c\u5f0f\u81ea\u52a8\u628a\u4ed3\u4f4d\u780d\u534a\u3002<\/p>\n\n\n\n
        \u98ce\u63a7\u7ea2\u7ebf\u53c2\u8003<\/strong><\/h3>\n\n\n\n
        \u98ce\u63a7\u6307\u6807<\/strong><\/th>\u5efa\u8bae\u9608\u503c<\/strong><\/th>\u89e6\u53d1\u52a8\u4f5c<\/strong><\/th><\/tr><\/thead>
        \u5355\u7b14\u6700\u5927\u4e8f\u635f<\/td>\u8d26\u6237\u51c0\u503c\u76840.1%-0.3%<\/td>\u8d85\u8fc7\u5219\u8be5\u7b14\u5426\u51b3<\/td><\/tr>
        \u5355\u65e5\u6700\u5927\u4e8f\u635f<\/td>\u8d26\u6237\u51c0\u503c\u76841%<\/td>\u89e6\u53d1\u540e\u5f53\u65e5\u505c\u6b62\u6240\u6709\u65b0\u4fe1\u53f7<\/td><\/tr>
        \u6700\u5927\u56de\u64a4<\/td>\u8d26\u6237\u51c0\u503c\u768410%-15%<\/td>\u89e6\u53d1\u540e\u7b56\u7565\u6574\u4f53\u964d\u9891\u6216\u6682\u505c<\/td><\/tr>
        \u8fde\u7eed\u4e8f\u635f<\/td>5-8\u7b14<\/td>\u7f29\u77ed\u4ed3\u4f4d\u81f3\u6b63\u5e38\u768450%<\/td><\/tr>
        \u6ce2\u52a8\u7387\u98d9\u5347<\/td>\u8fd15\u65e5\u6ce2\u52a8\u7387 > \u5386\u53f275%\u5206\u4f4d<\/td>\u4ed3\u4f4d\u81ea\u52a8\u7f29\u653e\u81f3\u6b63\u5e38\u7684\u4e00\u5b9a\u6bd4\u4f8b<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
        \n
        \u4e0d\u8981\u5ffd\u7565”\u5426\u51b3\u6743”<\/strong>
        \u5f88\u591a\u4eba\u7684\u98ce\u63a7\u53ea\u662f”\u6b62\u635f”\uff0c\u4f46\u771f\u6b63\u7684\u98ce\u63a7\u8fd8\u5305\u62ec”\u8fd9\u7b14\u5e72\u8106\u522b\u505a”\u3002\u5f53\u5e02\u573a\u73af\u5883\u6076\u5316\u3001\u6ed1\u70b9\u6269\u5927\u3001\u6216\u8005\u4f60\u5df2\u7ecf\u56de\u64a4\u8f83\u6df1\u7684\u65f6\u5019\uff0c\u6700\u660e\u667a\u7684\u52a8\u4f5c\u4e0d\u662f\u8c03\u6574\u6b62\u635f\u4f4d\uff0c\u800c\u662f\u76f4\u63a5\u8df3\u8fc7\u8fd9\u7b14\u4fe1\u53f7\u3002<\/p>\n<\/blockquote>\n\n\n\n
        \u4e94\u3001\u5b9e\u6218\u642d\u5efa\u8def\u7ebf\uff1a\u4ece\u6700\u7b80\u5355\u7684\u7248\u672c\u5f00\u59cb<\/strong><\/h2>\n\n\n\n
        \u628a\u4e0a\u9762\u4e09\u5757\u62fc\u8d77\u6765\uff0c\u67b6\u6784\u5176\u5b9e\u5f88\u6e05\u6670\uff1aDC\u4e8b\u4ef6\u5f15\u64ce\u8d1f\u8d23”\u4f55\u65f6”\uff0c\u914d\u5bf9\u6a21\u5757\u8d1f\u8d23”\u505a\u4ec0\u4e48”\uff0c\u98ce\u63a7\u5c42\u8d1f\u8d23”\u505a\u4e0d\u505a”\u3002\u518d\u52a0\u4e00\u4e2a\u8f7b\u91cf\u7684”\u5143\u5c42”\u76d1\u63a7\u6574\u4f53\u8868\u73b0\uff0c\u81ea\u52a8\u8c03\u53c2\u3002<\/p>\n\n\n\n
        \"\"<\/figure>\n\n\n\n
        \u5982\u679c\u8ba9\u6211\u4eca\u5929\u4ece\u96f6\u5f00\u59cb\uff0c\u6570\u636e\u548c\u7b97\u529b\u90fd\u6709\u9650\uff0c\u6211\u4f1a\u8fd9\u4e48\u505a\uff1a<\/p>\n\n\n\n
        \u7b2c\u4e00\u9636\u6bb5\uff1a\u5355\u54c1\u79cdDC\u4e8b\u4ef6\u5f15\u64ce<\/strong><\/h3>\n\n\n\n
        \u627e\u4e00\u4e2a\u6d41\u52a8\u6027\u597d\u7684\u54c1\u79cd\uff08\u6bd4\u5982\u6caa\u6df1300ETF\uff09\uff0c\u53ea\u7528\u4ef7\u683c\u6570\u636e\uff0c\u8dd1\u901aDC\u4e8b\u4ef6\u68c0\u6d4b\u3002\u7edf\u8ba1\u4e0d\u540cdelta\u4e0b\u7684\u8d85\u8c03\u5206\u5e03\uff0c\u627e\u5230\u6700\u4f18\u9608\u503c\u3002\u8fd9\u4e00\u6b65\u7684\u76ee\u6807\u5f88\u7b80\u5355\uff1a\u9a8c\u8bc1\u5728\u4f60\u7684\u6570\u636e\u4e0a\uff0cDC\u4e8b\u4ef6\u540e\u7684\u8d85\u8c03\u786e\u5b9e\u5b58\u5728\u3001\u4e14\u5e45\u5ea6\u53ef\u7edf\u8ba1<\/strong>\u3002<\/p>\n\n\n\n
        \u7b2c\u4e8c\u9636\u6bb5\uff1a\u7b80\u5355\u914d\u5bf9\u7b56\u7565<\/strong><\/h3>\n\n\n\n
        \u90093-5\u4e2a\u9ad8\u76f8\u5173\u6807\u7684\uff0c\u505a\u4ef7\u5dee\u8ba1\u7b97\u548cDC\u4e8b\u4ef6\u53e0\u52a0\u3002\u5148\u4e0d\u505a\u590d\u6742\u7684\u6700\u4f18\u5316\uff0c\u5c31\u7528\u6700\u6734\u7d20\u7684\u89c4\u5219\u2014\u2014\u4ef7\u5dee\u8d85\u8fc72\u500d\u6807\u51c6\u5dee + DC\u4e8b\u4ef6\u786e\u8ba4\uff0c\u5c31\u5f00\u4ed3\uff1b\u56de\u5f521\u500d\u6807\u51c6\u5dee\u5185\u5c31\u79bb\u573a\u3002\u56de\u6d4b\u65f6\u52a1\u5fc5\u7528\u6700\u60b2\u89c2\u7684\u6210\u672c\u5047\u8bbe<\/strong>\uff1a\u624b\u7eed\u8d39\u6309\u4e0a\u9650\u3001\u6ed1\u70b9\u63093-5\u8df3\u3001\u8fd8\u6709\u4e00\u5b9a\u6bd4\u4f8b\u7684\u6f0f\u5355\u3002<\/p>\n\n\n\n
        \u7b2c\u4e09\u9636\u6bb5\uff1a\u5957\u4e0a\u98ce\u63a7\u5c42<\/strong><\/h3>\n\n\n\n
        \u628a\u524d\u9762\u8bf4\u7684\u56fa\u5b9a\u6bd4\u4f8b + \u6ce2\u52a8\u7387\u7f29\u653e + \u5404\u7c7b\u7ea2\u7ebf\u5168\u90e8\u52a0\u4e0a\u3002\u56de\u6d4b\u770b\u4e24\u4e2a\u4e1c\u897f\uff1a\u4e00\u662f\u6b63\u671f\u671b\u503c\u8fd8\u5728\u4e0d\u5728\uff0c\u4e8c\u662f\u6700\u5927\u56de\u64a4\u80fd\u4e0d\u80fd\u63a5\u53d7\u3002\u5982\u679c\u52a0\u4e0a\u98ce\u63a7\u540e\u671f\u671b\u503c\u53d8\u6210\u8d1f\u7684\u4e86\uff0c\u8bf4\u660e\u7b56\u7565\u672c\u8eab\u592a\u8106\u5f31\uff0c\u9700\u8981\u56de\u5230\u7b2c\u4e8c\u9636\u6bb5\u7b80\u5316\u89c4\u5219\uff0c\u800c\u4e0d\u662f\u52a0\u66f4\u591a\u7684\u53c2\u6570\u3002<\/p>\n\n\n\n
        \u7b2c\u56db\u9636\u6bb5\uff1a\u8c28\u614e\u5730\u52a0”\u667a\u80fd”<\/strong><\/h3>\n\n\n\n
        \u53ea\u6709\u5f53\u524d\u4e09\u4e2a\u9636\u6bb5\u90fd\u8dd1\u901a\u4e86\uff0c\u624d\u8003\u8651\u5f15\u5165\u52a8\u6001\u9608\u503c\uff08\u6839\u636e\u5e02\u573a\u73af\u5883\u81ea\u52a8\u8c03\u6574delta\uff09\u3001\u53c2\u6570\u81ea\u9002\u5e94\u3001\u751a\u81f3\u662f\u8f7b\u91cf\u7684\u673a\u5668\u5b66\u4e60\u3002\u8bb0\u4f4f\uff1a\u5148\u505a\u5bf9\uff0c\u518d\u505a\u5de7<\/strong>\u3002\u5728\u57fa\u7840\u903b\u8f91\u90fd\u7ad9\u4e0d\u4f4f\u7684\u65f6\u5019\u52a0\u590d\u6742\u5ea6\uff0c\u53ea\u4f1a\u8ba9\u4f60\u4e8f\u5f97\u66f4\u5feb\u3002<\/p>\n\n\n\n
        \n
        \u6211\u7684\u7ecf\u9a8c\u6559\u8bad\uff1a\u5728\u4e25\u82db\u7684\u7ea6\u675f\u4e0b\uff0c\u7b56\u7565\u7684\u6838\u5fc3\u4e0d\u662f”\u731c\u5f97\u66f4\u51c6”\uff0c\u800c\u662f”\u5b9a\u4e49\u6e05\u6670\u7684\u4e8b\u4ef6 \u2192 \u5bf9\u4e8b\u4ef6\u505a\u4e00\u81f4\u7684\u53cd\u5e94 \u2192 \u8ba9\u6709\u9650\u7684\u98ce\u9669\u505a\u590d\u5229”\u3002<\/p>\n<\/blockquote>\n\n\n\n
        \u516d\u3001DC\u65b9\u6cd5\u5728\u4e2d\u56fd\u5e02\u573a\u7684\u5b9e\u8bc1\u53c2\u8003<\/strong><\/h2>\n\n\n\n
        \u5149\u8bf4\u4e0d\u7ec3\u5047\u628a\u5f0f\u3002\u6211\u7ffb\u5230\u4e00\u7bc7\u6e05\u534e\u5927\u5b66\u5361\u65b9\u7814\u7a76\u9662\u7684\u7814\u7a76\uff0c\u628aDC\u65b9\u6cd5\u7528\u5728\u4e86A\u80a1\u6570\u636e\u4e0a\uff0c\u7ed3\u679c\u5f88\u6709\u610f\u601d\u3002\u8fd9\u7bc7\u7814\u7a76\uff08Ma et al., 2017\uff09\u7528\u4e86\u4e0a\u8bc1\u6307\u6570\u7684\u65e5\u6536\u76d8\u4ef7\uff0c\u6d4b\u8bd5\u4e86\u4e0d\u540c\u9608\u503c\u548c\u4e0d\u540c\u65f6\u95f4\u7a97\u53e3\u4e0b\u7684\u7b56\u7565\u8868\u73b0\uff0c\u6838\u5fc3\u53d1\u73b0\u5982\u4e0b\uff1a<\/p>\n\n\n\n
        \u53d1\u73b0<\/strong><\/th>\u5177\u4f53\u5185\u5bb9<\/strong><\/th><\/tr><\/thead>
        \u9608\u503c\u4e0e\u6536\u76ca\u975e\u7ebf\u6027<\/td>\u9608\u503c\u8d8a\u5c0f\uff0cDC\u4e8b\u4ef6\u8d8a\u591a\uff0c\u4ea4\u6613\u8d8a\u9891\u7e41\uff0c\u4f46\u5e76\u975e\u6bcf\u7b14\u90fd\u83b7\u5229\uff1b\u66f4\u9891\u7e41 \u2260 \u66f4\u8d5a\u94b1<\/td><\/tr>
        \u77ed\u671f\u7b56\u7565\u8868\u73b0\u5dee<\/td>1\u5e74\u4f30\u7b97\u7a97\u53e3\u7684\u77ed\u671f\u7b56\u7565\u8d85\u989d\u6536\u76ca\u4e3a\u8d1f\uff0c\u5bf9\u9608\u503c\u53d8\u5316\u6781\u5ea6\u654f\u611f<\/td><\/tr>
        \u4e2d\u957f\u671f\u7b56\u7565\u6709\u6548<\/td>3\u5e74\u548c5\u5e74\u7a97\u53e3\u7684\u4e2d\u957f\u671f\u7b56\u7565\u590f\u666e\u6bd4\u7387\u5206\u522b\u8fbe\u52304.36\u548c4.24\uff0c\u8d85\u989d\u6536\u76ca\u663e\u8457<\/td><\/tr>
        \u6700\u5927\u56de\u64a4\u504f\u5927<\/td>\u4e2d\u957f\u671f\u7b56\u7565\u6700\u5927\u56de\u64a4\u7ea629%\uff0c\u8bf4\u660e\u98ce\u63a7\u5c42\u4ecd\u7136\u662f\u521a\u6027\u9700\u6c42<\/td><\/tr>
        \u9608\u503c\u4f1a\u6536\u655b<\/td>\u5f53\u4f30\u7b97\u7a97\u53e3\u62c9\u957f\u5230\u4e00\u5b9a\u7a0b\u5ea6\u540e\uff0c\u6700\u4f18\u9608\u503c\u8d8b\u4e8e\u7a33\u5b9a\uff08\u7ea60.0524\uff09<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n
        \n
        \"\"<\/figure>\n<\/div>\n\n
        \n
        \"\"<\/figure>\n<\/div>\n\n\n
        \u4e0d\u540c\u4f30\u7b97\u7a97\u53e3\u4e0b\u6700\u4f18\u9608\u503c\u4e0eDC\u4e8b\u4ef6\u6570\u91cf\u5173\u7cfb\u4ee5\u53ca\u5e73\u5747\u7d2f\u8ba1\u6536\u76ca\u968f\u9608\u503c\u53d8\u5316\u7684\u66f2\u7ebf\u6765\u6e90\uff1aMa et al. (2017)\uff0cPhysica A 471<\/p>\n\n\n\n
        \u56fa\u5b9a\u9608\u503c vs \u52a8\u6001\u9608\u503c<\/strong><\/h3>\n\n\n\n
        \u53e6\u4e00\u4e2a\u91cd\u8981\u53d1\u73b0\u6765\u81eaAlkhamees\u548cFasli\uff082017\uff09\u7684\u7814\u7a76\uff1a\u56fa\u5b9a\u9608\u503c\u5728\u5e02\u573a\u73af\u5883\u5207\u6362\u65f6\u5bb9\u6613\u5931\u6548\u3002\u4ed6\u4eec\u63d0\u51fa\u4e86\u52a8\u6001\u9608\u503c<\/strong>\u65b9\u6848\u2014\u2014\u6839\u636e\u524d\u4e00\u65e5\u7684\u4ef7\u683c\u6ce2\u52a8\u5e45\u5ea6\u548c\u9694\u591c\u8df3\u7a7a\uff0c\u6bcf\u5929\u91cd\u65b0\u8ba1\u7b97\u5f53\u5929\u7684\u9608\u503c\u3002<\/p>\n\n\n\n
        \u5728FTSE100\u6307\u6570\u7684\u5206\u949f\u6570\u636e\u4e0a\uff0c\u52a8\u6001\u9608\u503c\u68c0\u6d4b\u5230\u7684DC\u4e8b\u4ef6\u4e0eBBC\u65b0\u95fb\u62a5\u9053\u7684\u65f6\u95f4\u548c\u65b9\u5411\u9ad8\u5ea6\u543b\u5408\uff1b\u800c\u56fa\u5b9a\u9608\u503c\uff080.03\u30010.04\u30010.05\u30010.06\uff09\u7684\u5339\u914d\u7387\u60e8\u4e0d\u5fcd\u7779\uff0c0.04\u7684\u56fa\u5b9a\u9608\u503c\u751a\u81f3\u6709\u4e00\u534a\u4ee5\u4e0a\u4e8b\u4ef6\u65b9\u5411\u5224\u65ad\u9519\u8bef\u3002<\/p>\n\n\n\n
        \u65b9\u6cd5<\/strong><\/th>\u68c0\u6d4b\u4e8b\u4ef6\u6570<\/strong><\/th>\u4e0e\u5b9e\u9645\u65b0\u95fb\u5339\u914d\u5ea6<\/strong><\/th><\/tr><\/thead>
        \u52a8\u6001\u9608\u503c<\/td>\u4e0e\u65b0\u95fb\u4e8b\u4ef6\u4e00\u81f4<\/td>\u5b8c\u5168\u5339\u914d<\/td><\/tr>
        \u56fa\u5b9a\u9608\u503c 0.03<\/td>22\u4e2a<\/td>10\u4e2a\u5b8c\u7f8e\u907f\u5f00\u65b0\u95fb\u65f6\u95f4<\/td><\/tr>
        \u56fa\u5b9a\u9608\u503c 0.04<\/td>14\u4e2a<\/td>\u8fc7\u534a\u65b9\u5411\u9519\u8bef + 2\u4e2a\u6f0f\u68c0<\/td><\/tr>
        \u56fa\u5b9a\u9608\u503c 0.05<\/td>12\u4e2a<\/td>7\u4e2a\u4e0d\u5339\u914d\u6216\u65f6\u95f4\u9519\u4f4d<\/td><\/tr>
        \u56fa\u5b9a\u9608\u503c 0.06<\/td>10\u4e2a<\/td>7\u4e2a\u4e0e\u5b9e\u9645\u4e0d\u7b26<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
        \u8fd9\u5c31\u547c\u5e94\u4e86\u6211\u524d\u9762\u8bf4\u7684\u7b2c\u56db\u9636\u6bb5\uff1a\u5f53\u4f60\u57fa\u7840\u6846\u67b6\u8dd1\u901a\u4e4b\u540e\uff0c\u52a8\u6001\u9608\u503c\u662f\u7b2c\u4e00\u4e2a\u503c\u5f97\u6295\u5165\u7684”\u5347\u7ea7”\u3002\u5e02\u573a\u73af\u5883\u5728\u53d8\uff0c\u4f60\u7684delta\u4e5f\u5e94\u8be5\u8ddf\u7740\u53d8\uff0c\u800c\u4e0d\u662f\u523b\u821f\u6c42\u5251\u3002<\/p>\n\n\n\n
        \n
        \u5b9e\u64cd\u63d0\u793a<\/strong>
        \u52a8\u6001\u9608\u503c\u7684\u8ba1\u7b97\u5e76\u4e0d\u590d\u6742\uff0c\u6838\u5fc3\u5c31\u662f\u4e09\u6b65\uff1a\u2460\u7528\u524d\u4e00\u65e5\u6700\u9ad8\/\u6700\u4f4e\u4ef7\u4e0e\u5f53\u65e5\u5f00\u76d8\u4ef7\u7684\u5dee\u503c\uff0c\u53cd\u6620\u65e5\u5185\u6ce2\u52a8\uff1b\u2461\u7528\u524d\u4e00\u65e5\u5f00\u76d8\/\u6536\u76d8\u4ef7\u5dee\u503c\uff0c\u53cd\u6620\u8d8b\u52bf\u5f3a\u5ea6\uff1b\u2462\u7528\u9694\u591c\u8df3\u7a7a\u5e45\u5ea6\uff0c\u53cd\u6620\u9694\u591c\u4fe1\u606f\u51b2\u51fb\u3002\u4e09\u8005\u52a0\u6743\u6c42\u548c\u5c31\u662f\u5f53\u5929\u7684\u52a8\u6001\u9608\u503c\u3002\u5177\u4f53\u516c\u5f0f\u53ef\u53c2\u8003Alkhamees & Fasli (2017)\u7684\u8bba\u6587\u3002<\/p>\n<\/blockquote>\n\n\n\n
        \u4e03\u3001\u5e38\u89c1\u8bef\u533a\u4e0e\u6211\u7684\u53cd\u601d<\/strong><\/h2>\n\n\n\n
        \u8fd9\u5957\u6846\u67b6\u542c\u8d77\u6765\u5f88\u7f8e\uff0c\u4f46\u8e29\u8fc7\u7684\u5751\u4e5f\u4e0d\u5c11\u3002\u6211\u628a\u51e0\u4e2a\u6700\u5e38\u89c1\u7684\u8bef\u533a\u5217\u51fa\u6765\uff0c\u514d\u5f97\u4f60\u91cd\u8e48\u8986\u8f99\u3002<\/p>\n\n\n\n
        \u8bef\u533a\u4e00\uff1a”\u4e0d\u9884\u6d4b”\u7b49\u4e8e”\u4e0d\u5206\u6790”<\/strong><\/h3>\n\n\n\n
        \u4e0d\u731c\u65b9\u5411\u4e0d\u7b49\u4e8e\u4e0d\u505a\u529f\u8bfe\u3002DC\u4e8b\u4ef6\u7684\u9608\u503c\u9009\u62e9\u3001\u8d85\u8c03\u7edf\u8ba1\u3001\u914d\u5bf9\u6807\u7684\u7b5b\u9009\u2014\u2014\u6bcf\u4e00\u6b65\u90fd\u9700\u8981\u624e\u5b9e\u7684\u6570\u636e\u5206\u6790\u3002\u4f60\u4e0d\u662f\u5728\u731c\u4ef7\u683c\uff0c\u4f46\u4f60\u4ecd\u7136\u9700\u8981\u6df1\u5165\u7406\u89e3\u4ef7\u683c\u7684\u884c\u4e3a\u89c4\u5f8b\u3002\u533a\u522b\u5728\u4e8e\uff0c\u4f60\u7684\u5206\u6790\u7ed3\u679c\u662f\u6761\u4ef6\u53cd\u5e94\u89c4\u5219<\/strong>\uff0c\u800c\u4e0d\u662f”\u6211\u89c9\u5f97\u660e\u5929\u4f1a\u6da8”\u3002<\/p>\n\n\n\n
        \u8bef\u533a\u4e8c\uff1a”\u6b63\u671f\u671b\u503c”\u7b49\u4e8e”\u6bcf\u7b14\u90fd\u8d5a”<\/strong><\/h3>\n\n\n\n
        0.10%\u7684\u5355\u7b14\u671f\u671b\u503c\u610f\u5473\u7740\u4f60\u5e73\u5747\u6bcf\u7b14\u8d5a\u8fd9\u4e48\u591a\u3002\u4f46”\u5e73\u5747”\u4e24\u4e2a\u5b57\u80cc\u540e\u662f\u5927\u91cf\u7684\u4e8f\u635f\u5355\u3002\u5982\u679c\u4f60\u8fde\u4e8f10\u7b14\uff08\u5b8c\u5168\u53ef\u80fd\uff09\uff0c0.10%\u7684\u671f\u671b\u503c\u6551\u4e0d\u4e86\u4f60\u7684\u5fc3\u6001\u3002\u8fd9\u5c31\u662f\u4e3a\u4ec0\u4e48\u98ce\u63a7\u5c42\u4e0d\u662f\u9526\u4e0a\u6dfb\u82b1\uff0c\u800c\u662f\u751f\u5b58\u6761\u4ef6<\/strong>\u3002<\/p>\n\n\n\n
        \u8bef\u533a\u4e09\uff1a\u4e0a\u6765\u5c31\u641e\u590d\u6742<\/strong><\/h3>\n\n\n\n
        \u5f88\u591a\u4eba\u4e00\u4e0a\u6765\u5c31\u60f3\u505a\u52a8\u6001\u9608\u503c + \u673a\u5668\u5b66\u4e60 + \u591a\u54c1\u79cd\u914d\u5bf9\uff0c\u7ed3\u679c\u54ea\u4e2a\u6a21\u5757\u90fd\u6ca1\u9a8c\u8bc1\u5c31\u7ed1\u5728\u4e00\u8d77\uff0c\u51fa\u4e86\u95ee\u9898\u6839\u672c\u4e0d\u77e5\u9053\u662f\u8c01\u7684\u9505\u3002\u5148\u505a\u51cf\u6cd5\uff0c\u518d\u505a\u52a0\u6cd5<\/strong>\u2014\u2014\u5355\u54c1\u79cd\u3001\u56fa\u5b9a\u9608\u503c\u3001\u6700\u7b80\u89c4\u5219\uff0c\u9a8c\u8bc1\u4e86\u518d\u4e00\u6b65\u6b65\u53e0\u52a0\u3002<\/p>\n\n\n\n
        \u8bef\u533a\u56db\uff1a\u5ffd\u89c6\u6210\u672c<\/strong><\/h3>\n\n\n\n
        0.10%\u7684\u671f\u671b\u503c\u5728\u56de\u6d4b\u91cc\u770b\u7740\u8fd8\u884c\uff0c\u4f46\u5b9e\u76d8\u7684\u624b\u7eed\u8d39+\u6ed1\u70b9\u8f7b\u677e\u5403\u63890.05%-0.1%\u3002\u5982\u679c\u4f60\u56de\u6d4b\u65f6\u6ca1\u6709\u7528\u6700\u60b2\u89c2\u7684\u6210\u672c\u5047\u8bbe\uff0c\u5b9e\u76d8\u5927\u6982\u7387\u662f\u4e8f\u7684\u3002\u51e1\u662f\u56de\u6d4b\u6ca1\u6309\u6700\u5dee\u5047\u8bbe\u7b97\u6210\u672c\u7684\uff0c\u4e00\u5f8b\u4e0d\u8981\u4fe1\u3002<\/strong><\/p>\n\n\n\n
        \n
        \u8840\u6cea\u603b\u7ed3<\/strong>
        \u5728\u771f\u5b9e\u7684\u6469\u64e6\u6210\u672c\u9762\u524d\uff0c\u5927\u90e8\u5206”\u5fae\u5c0f\u6b63\u671f\u671b”\u7684\u7b56\u7565\u90fd\u4f1a\u53d8\u6210\u8d1f\u671f\u671b\u3002\u8fd9\u5c31\u662f\u4e3a\u4ec0\u4e48\u4f60\u5fc5\u987b\u5728\u56de\u6d4b\u91cc\u5c31\u628a\u6210\u672c\u5047\u8bbe\u62c9\u5230\u6700\u5dee\u2014\u2014\u5982\u679c\u6700\u5dee\u60c5\u51b5\u4e0b\u8fd8\u80fd\u6d3b\uff0c\u90a3\u5b9e\u76d8\u624d\u6709\u5e0c\u671b\u3002<\/p>\n<\/blockquote>\n\n\n\n
        \u516b\u3001\u5b8c\u6574\u6d41\u7a0b\u56de\u987e<\/strong><\/h2>\n\n\n\n
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