{"id":4376,"date":"2026-06-30T07:59:00","date_gmt":"2026-06-29T23:59:00","guid":{"rendered":"https:\/\/laoyulaoyu.com\/?p=4376"},"modified":"2026-06-26T17:26:11","modified_gmt":"2026-06-26T09:26:11","slug":"90%e7%9a%84%e5%9d%87%e5%80%bc%e5%9b%9e%e5%bd%92%e7%ad%96%e7%95%a5%e9%83%bd%e5%bf%bd%e7%95%a5%e4%ba%86%e8%bf%99%e4%b8%80%e4%b8%aa%e6%88%90%e6%9c%ac%e5%8f%98%e9%87%8f","status":"publish","type":"post","link":"https:\/\/laoyulaoyu.com\/index.php\/2026\/06\/30\/90%e7%9a%84%e5%9d%87%e5%80%bc%e5%9b%9e%e5%bd%92%e7%ad%96%e7%95%a5%e9%83%bd%e5%bf%bd%e7%95%a5%e4%ba%86%e8%bf%99%e4%b8%80%e4%b8%aa%e6%88%90%e6%9c%ac%e5%8f%98%e9%87%8f\/","title":{"rendered":"90%\u7684\u5747\u503c\u56de\u5f52\u7b56\u7565\u90fd\u5ffd\u7565\u4e86\u8fd9\u4e00\u4e2a\u6210\u672c\u53d8\u91cf"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\">\u4f5c\u8005\uff1a<a href=\"https:\/\/www.laoyulaoyu.com\/\" target=\"_blank\" rel=\"noreferrer noopener\">\u8001\u4f59\u635e\u9c7c<\/a><\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-cyan-bluish-gray-color\">\u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002<\/mark><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img fetchpriority=\"high\" decoding=\"async\" width=\"900\" height=\"383\" src=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/cover-image-1.png\" alt=\"\" class=\"wp-image-4378\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/cover-image-1.png 900w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/cover-image-1-300x128.png 300w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/cover-image-1-768x327.png 768w\" sizes=\"(max-width: 900px) 100vw, 900px\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">\u672c\u6587\u7ea6 2400 \u5b57 | \u9884\u8ba1\u9605\u8bfb 5-7 \u5206\u949f<\/p>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<p class=\"wp-block-paragraph\">\u6587\u4e2d\u793a\u4f8b\u4ec5\u7528\u4e8e\u6280\u672f\u8ba8\u8bba\uff0c\u4e0d\u6784\u6210\u4efb\u4f55\u64cd\u4f5c\u5efa\u8bae\u3002\u91cf\u5316\u7b56\u7565\u5f00\u53d1\u5e94\u4ee5\u5b66\u4e60\u548c\u6280\u672f\u4ea4\u6d41\u4e3a\u76ee\u7684\u3002\u672c\u516c\u4f17\u53f7\u4e0d\u8350\u80a1\u3001\u4e0d\u5356\u8bfe\u3001\u4e0d\u627f\u8bfa\u6536\u76ca\u3002\u5e02\u573a\u6709\u98ce\u9669\uff0c\u8bf7\u5408\u6cd5\u5408\u89c4\u6295\u8d44\u3002<\/p>\n<\/blockquote>\n\n\n\n<p class=\"wp-block-paragraph\">\u5747\u503c\u56de\u5f52\uff08Mean Reversion\uff09\u662f\u91cf\u5316\u7b56\u7565\u91cc\u6700\u7ecf\u5178\u7684\u903b\u8f91\u4e4b\u4e00\uff1a\u4ef7\u683c\u504f\u79bb\u5747\u503c\u592a\u8fdc\uff0c\u603b\u4f1a\u56de\u6765\u3002\u4f46\u5927\u591a\u6570\u5747\u503c\u56de\u5f52\u4fe1\u53f7\u5728\u5b9e\u76d8\u4e2d\u90fd\u6b7b\u5728\u540c\u4e00\u4e2a\u5730\u65b9\uff0c\u4ef7\u5dee\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u4eca\u5929\u804a\u4e00\u4e2a\u6211\u5728\u91cf\u5316\u56e2\u961f\u91cc\u5b9e\u9645\u5728\u7528\u7684\u8fc7\u6ee4\u65b9\u6cd5\uff1a<strong>\u9884\u671f\u56de\u5f52\u8ddd\u79bb\u8fc7\u6ee4<\/strong>\u3002\u6838\u5fc3\u601d\u8def\u5f88\u7b80\u5355\uff0c\u5728\u4e0b\u5355\u524d\u5148\u7b97\u4e00\u4e0b\uff0c\u4ef7\u683c\u9884\u8ba1\u80fd\u56de\u5f52\u591a\u5c11\uff0c\u518d\u8ddf\u4ea4\u6613\u6469\u64e6\uff08spread\u3001\u624b\u7eed\u8d39\u3001\u6ed1\u70b9\uff09\u6bd4\u4e00\u6bd4\u3002\u56de\u5f52\u5e45\u5ea6\u8986\u76d6\u4e0d\u4e86\u6469\u64e6\u6210\u672c\uff0c\u5c31\u4e0d\u4e0b\u5355\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1024\" height=\"575\" src=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/01-signal-dies-at-spread-1024x575.png\" alt=\"\" class=\"wp-image-4379\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/01-signal-dies-at-spread-1024x575.png 1024w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/01-signal-dies-at-spread-300x168.png 300w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/01-signal-dies-at-spread-768x431.png 768w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/01-signal-dies-at-spread-1536x862.png 1536w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/01-signal-dies-at-spread-2048x1150.png 2048w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<p class=\"has-text-align-center wp-block-paragraph\">\u56fe1\uff1a\u4fe1\u53f7\u770b\u7740\u4e0d\u9519\uff0c\u4f46\u6469\u64e6\u6210\u672c\u628a\u5b83\u5403\u6389\u4e86<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e00\u3001\u4e3a\u4ec0\u4e48\u56de\u5f52\u901f\u5ea6\u548c\u56de\u5f52\u8ddd\u79bb\u4e00\u6837\u91cd\u8981<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u5f88\u591a\u5747\u503c\u56de\u5f52\u7cfb\u7edf\u53ea\u770b\u4e00\u4ef6\u4e8b\uff1a\u504f\u79bb\u591f\u4e0d\u591f\u5927\u3002Z-score \u8d85\u8fc7 2 \u4e2a\u6807\u51c6\u5dee\uff0c\u89e6\u53d1\u4fe1\u53f7\u3002\u4f46\u8fd9\u53ea\u662f\u4e00\u4e2a\u7f6e\u4fe1\u5ea6\u68c0\u67e5\uff0c\u5b83\u6ca1\u56de\u7b54\u4e00\u4e2a\u5173\u952e\u95ee\u9898\uff1a<strong>\u4ef7\u683c\u591a\u4e45\u80fd\u56de\u5f52\uff1f<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u4e24\u4e2a\u5b8c\u5168\u76f8\u540c\u7684 Z-score\uff0c\u4e00\u4e2a\u6807\u7684 2 \u5929\u5c31\u56de\u5f52\uff0c\u53e6\u4e00\u4e2a\u8981\u78e8\u8e6d 20 \u5929\u3002\u524d\u8005\u7684\u9884\u671f\u6536\u76ca\u662f\u6b63\u7684\uff0c\u540e\u8005\u53ef\u80fd\u56e0\u4e3a\u6301\u4ed3\u6210\u672c\u548c\u6ed1\u70b9\u7d2f\u79ef\u53d8\u6210\u8d1f\u7684\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8bf4\u767d\u4e86\uff0c\u504f\u79bb\u5927\u5c0f\u51b3\u5b9a&#8221;\u80fd\u8d5a\u591a\u5c11&#8221;\uff0c\u56de\u5f52\u901f\u5ea6\u51b3\u5b9a&#8221;\u591a\u5feb\u80fd\u62ff\u5230\u94b1&#8221;\u3002\u5728\u6263\u9664\u4ea4\u6613\u6469\u64e6\u540e\uff0c\u901f\u5ea6\u5f80\u5f80\u6bd4\u8ddd\u79bb\u66f4\u5173\u952e\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e8c\u3001\u7528\u6570\u5b66\u91cf\u5316\u56de\u5f52\u901f\u5ea6<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u8981\u91cf\u5316\u56de\u5f52\u901f\u5ea6\uff0c\u4e1a\u754c\u6807\u51c6\u5de5\u5177\u662f Ornstein-Uhlenbeck \u8fc7\u7a0b\uff08OU\u8fc7\u7a0b\uff09\u3002\u5b83\u662f\u8fde\u7eed\u65f6\u95f4\u4e0b\u5747\u503c\u56de\u5f52\u7684\u6807\u51c6\u6570\u5b66\u6a21\u578b\uff0c\u80fd\u7ed9\u51fa\u6761\u4ef6\u671f\u671b\u7684\u5c01\u95ed\u89e3\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1024\" height=\"531\" src=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/02-ou-process-reversion-speed-1024x531.png\" alt=\"\" class=\"wp-image-4380\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/02-ou-process-reversion-speed-1024x531.png 1024w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/02-ou-process-reversion-speed-300x155.png 300w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/02-ou-process-reversion-speed-768x398.png 768w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/02-ou-process-reversion-speed-1536x796.png 1536w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/02-ou-process-reversion-speed-2048x1061.png 2048w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<p class=\"has-text-align-center wp-block-paragraph\">\u56fe2\uff1atheta \u5927\uff0c\u56de\u5f52\u5feb\uff1btheta \u5c0f\uff0c\u56de\u5f52\u6162<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">OU \u8fc7\u7a0b\u7684\u5fae\u5206\u65b9\u7a0b\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>dx_t = \u03b8 \u00d7 (\u03bc - x_t) \u00d7 dt + \u03c3 \u00d7 dW_t<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">\u5404\u53c2\u6570\u542b\u4e49\uff1a<\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-fixed-layout\"><tbody><tr><th class=\"has-text-align-left\" data-align=\"left\">\u53c2\u6570<\/th><th class=\"has-text-align-left\" data-align=\"left\">\u542b\u4e49<\/th><th class=\"has-text-align-left\" data-align=\"left\">\u76f4\u89c2\u7406\u89e3<\/th><\/tr><tr><td>\u03b8 (theta)<\/td><td>\u56de\u5f52\u901f\u5ea6<\/td><td>\u03b8 \u8d8a\u5927\uff0c\u62c9\u56de\u5747\u503c\u7684\u529b\u8d8a\u5f3a<\/td><\/tr><tr><td>\u03bc (mu)<\/td><td>\u957f\u671f\u5747\u503c<\/td><td>\u4ef7\u683c\u7684&#8221;\u951a\u70b9&#8221;<\/td><\/tr><tr><td>\u03c3 (sigma)<\/td><td>\u6269\u6563\u7cfb\u6570\uff08\u566a\u58f0\uff09<\/td><td>\u968f\u673a\u6ce2\u52a8\u7684\u5e45\u5ea6<\/td><\/tr><tr><td>W_t<\/td><td>\u6807\u51c6\u5e03\u6717\u8fd0\u52a8<\/td><td>\u5e02\u573a\u7684\u968f\u673a\u6270\u52a8<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">\u5173\u952e\u516c\u5f0f\u6765\u4e86\u3002\u5728\u65f6\u95f4\u8de8\u5ea6 H \u4e0a\uff0c\u6761\u4ef6\u671f\u671b\u4e3a\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>E&#91;x_{t+H} | x_t] = \u03bc + (x_t - \u03bc) \u00d7 exp(-\u03b8 \u00d7 H)<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">\u90a3\u4e48\u9884\u671f\u56de\u5f52\u8ddd\u79bb\u5c31\u662f\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>expected_reversion = (x_t - \u03bc) \u00d7 (1 - exp(-\u03b8 \u00d7 H))<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u91cc&nbsp;<code>(1 - exp(-\u03b8 \u00d7 H))<\/code>&nbsp;\u5c31\u662f&#8221;\u5728\u4eca\u5929\u504f\u79bb\u7684\u57fa\u7840\u4e0a\uff0c\u9884\u8ba1\u5230\u65f6\u95f4 H \u80fd\u6062\u590d\u7684\u6bd4\u4f8b&#8221;\u3002\u03b8 \u8d8a\u5927\uff0c\u6062\u590d\u6bd4\u4f8b\u8d8a\u9ad8\uff1bH \u8d8a\u957f\uff0c\u6062\u590d\u6bd4\u4f8b\u4e5f\u8d8a\u9ad8\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">\u534a\u8870\u671f\u548c \u03b8 \u7684\u6362\u7b97<\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">\u5982\u679c\u4f60\u4e60\u60ef\u7528\u534a\u8870\u671f\uff08Half-life\uff09\u6765\u7406\u89e3\u56de\u5f52\u901f\u5ea6\uff0c\u6362\u7b97\u5173\u7cfb\u5f88\u7b80\u5355\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>\u03b8 = ln(2) \/ T_half<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">\u534a\u8870\u671f 2 \u5929\uff0c\u5bf9\u5e94 \u03b8 \u2248 0.3466\u3002\u534a\u8870\u671f 5 \u5929\uff0c\u5bf9\u5e94 \u03b8 \u2248 0.1386\u3002\u4ece\u5386\u53f2\u6570\u636e\u4f30 \u03b8\uff0c\u7528 AR(1) \u56de\u5f52\u5c31\u884c\uff0c\u540e\u9762\u4ee3\u7801\u90e8\u5206\u4f1a\u5c55\u793a\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e09\u3001\u8fc7\u6ee4\u5668\u89c4\u5219<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u6709\u4e86\u9884\u671f\u56de\u5f52\u8ddd\u79bb\u7684\u516c\u5f0f\uff0c\u8fc7\u6ee4\u89c4\u5219\u5c31\u4e00\u53e5\u8bdd\uff1a<\/p>\n\n\n\n<p class=\"has-text-align-center wp-block-paragraph\"><strong>\u53ea\u6709\u5f53\u00a0 | \u9884\u671f\u56de\u5f52\u8ddd\u79bb | > \u6469\u64e6\u9884\u7b97\u00a0\u65f6\uff0c\u624d\u4e0b\u5355\u3002<\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img loading=\"lazy\" decoding=\"async\" width=\"1024\" height=\"447\" src=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/03-filter-toll-gate-1024x447.png\" alt=\"\" class=\"wp-image-4381\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/03-filter-toll-gate-1024x447.png 1024w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/03-filter-toll-gate-300x131.png 300w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/03-filter-toll-gate-768x335.png 768w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/03-filter-toll-gate-1536x670.png 1536w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/03-filter-toll-gate-2048x894.png 2048w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<p class=\"has-text-align-center wp-block-paragraph\">\u56fe3\uff1a\u8fc7\u6ee4\u5668\u50cf\u4e2a\u6536\u8d39\u7ad9\u7684\u95f8\u95e8\uff0c\u8fc7\u4e0d\u4e86\u6469\u64e6\u9884\u7b97\u7684\u4fe1\u53f7\u76f4\u63a5\u62e6\u4e0b<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u6469\u64e6\u9884\u7b97\uff08friction_budget\uff09\u5e94\u8be5\u5305\u542b\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>\u5f80\u8fd4\u4ef7\u5dee\u6210\u672c\uff08round-trip spread cost\uff0c\u4ee5 bps \u4e3a\u5355\u4f4d\uff09<\/strong><\/li>\n\n\n\n<li><strong>\u4f63\u91d1\u548c\u4ea4\u6613\u6240\u8d39\u7528<\/strong><\/li>\n\n\n\n<li><strong>\u6ed1\u70b9\u4f30\u8ba1\uff08\u7528\u5386\u53f2\u5747\u503c\uff09<\/strong><\/li>\n\n\n\n<li><strong>\u5b89\u5168\u57ab\uff08\u7ed9\u5076\u5c14\u7684\u7cdf\u7cd5\u6210\u4ea4\u7559\u4f59\u91cf\uff09<\/strong><\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\">\u6240\u6709\u91cf\u7eb2\u7edf\u4e00\u7528 bps\uff08\u57fa\u70b9\uff09\uff0c\u8ddf\u6210\u672c\u76f4\u63a5\u53ef\u6bd4\u3002\u8fd9\u662f\u6574\u4e2a\u65b9\u6cd5\u6700\u52a1\u5b9e\u7684\u90e8\u5206\uff0c\u4e0d\u8ddf\u4f60\u8c08\u4ec0\u4e48\u4fe1\u53f7\u4f18\u52a3\uff0c\u5c31\u95ee\u4e00\u4e2a\u7b80\u5355\u95ee\u9898\uff1a\u9884\u671f\u8d5a\u7684\u94b1\u591f\u4e0d\u591f\u4ed8\u624b\u7eed\u8d39\uff1f<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u56db\u3001\u6570\u503c\u4e00\u7b97\uff0c\u4f53\u611f\u66f4\u6e05\u695a<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u5149\u770b\u516c\u5f0f\u60a8\u53ef\u80fd\u8fd8\u6ca1\u611f\u89c9\uff0c\u6765\u4e2a\u5177\u4f53\u6570\u5b57\u3002\u5047\u8bbe\uff1a<\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-fixed-layout\"><tbody><tr><th class=\"has-text-align-left\" data-align=\"left\">\u53c2\u6570<\/th><th class=\"has-text-align-left\" data-align=\"left\">\u503c<\/th><\/tr><tr><td>\u504f\u79bb\u91cf x_t &#8211; \u03bc<\/td><td>20 bps<\/td><\/tr><tr><td>\u534a\u8870\u671f<\/td><td>2 \u5929<\/td><\/tr><tr><td>\u6301\u4ed3\u5468\u671f H<\/td><td>1 \u5929<\/td><\/tr><tr><td>\u6469\u64e6\u9884\u7b97<\/td><td>8 bps<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>\u7b2c\u4e00\u6b65<\/strong>\uff1a\u03b8 = ln(2) \/ 2 \u2248 0.3466<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>\u7b2c\u4e8c\u6b65<\/strong>\uff1a\u6062\u590d\u6bd4\u4f8b = 1 &#8211; exp(-0.3466 \u00d7 1) \u2248 0.293<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>\u7b2c\u4e09\u6b65<\/strong>\uff1a\u9884\u671f\u56de\u5f52 = 20 \u00d7 0.293 \u2248 5.86 bps<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>\u7b2c\u56db\u6b65<\/strong>\uff1a5.86 &lt; 8\uff0c\u4e0d\u4ea4\u6613\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img loading=\"lazy\" decoding=\"async\" width=\"1024\" height=\"518\" src=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/04-negative-expectancy-scale-1024x518.png\" alt=\"\" class=\"wp-image-4382\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/04-negative-expectancy-scale-1024x518.png 1024w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/04-negative-expectancy-scale-300x152.png 300w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/04-negative-expectancy-scale-768x388.png 768w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/04-negative-expectancy-scale-1536x777.png 1536w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/06\/04-negative-expectancy-scale-2048x1036.png 2048w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<p class=\"has-text-align-center wp-block-paragraph\">\u56fe4\uff1a\u540c\u6837 20 bps \u7684\u504f\u79bb\uff0c\u6263\u6389\u6469\u64e6\u540e\u51c0\u4e8f 21 \u5200<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u6362\u7b97\u6210\u7f8e\u5143\uff0c\u4ee5 10 \u4e07\u7f8e\u5143\u7684\u540d\u4e49\u672c\u91d1\u8ba1\u7b97\uff1a<\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-fixed-layout\"><tbody><tr><th class=\"has-text-align-left\" data-align=\"left\">\u9879\u76ee<\/th><th class=\"has-text-align-left\" data-align=\"left\">\u91d1\u989d<\/th><\/tr><tr><td>1 bps = $10<\/td><td><\/td><\/tr><tr><td>\u9884\u671f\u6bdb\u6536\u76ca<\/td><td>5.86 \u00d7 $10 = $58.60<\/td><\/tr><tr><td>\u9884\u671f\u6469\u64e6\u6210\u672c<\/td><td>8 \u00d7 $10 = $80.00<\/td><\/tr><tr><td><strong>\u9884\u671f\u51c0\u6536\u76ca<\/strong><\/td><td><strong>-$21.40<\/strong><\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">\u540c\u6837\u7684 Z-score\uff0c\u540c\u6837\u7684\u504f\u79bb\u5e45\u5ea6\uff0c\u6263\u6389\u6210\u672c\u540e\u671f\u671b\u662f\u8d1f\u7684\u3002\u8fd9\u5c31\u662f\u8fd9\u4e2a\u8fc7\u6ee4\u5668\u7684\u4ef7\u503c\u6240\u5728\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e94\u3001\u624b\u628a\u624b Python \u4ee3\u7801<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u903b\u8f91\u4e0d\u590d\u6742\uff0c\u76f4\u63a5\u4e0a\u4ee3\u7801\u3002\u7528 AR(1) \u56de\u5f52\u4f30 \u03b8\uff0c\u518d\u7b97\u9884\u671f\u56de\u5f52\u8ddd\u79bb\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>import numpy as np\nimport pandas as pd\nfrom math import log, exp\n\n# \u6a21\u62df\u6b8b\u5dee\u5e8f\u5217\uff08\u5355\u4f4d\uff1abps\uff09\ns = pd.Series(np.random.normal(0, 8, 500)).cumsum() * 0.1 + 10.0\n\n# AR(1) \u56de\u5f52\uff1ax_{t+1} = a + b * x_t + e\nx0, x1 = s&#91;:-1].values, s&#91;1:].values\nb = np.cov(x0, x1, ddof=0)&#91;0, 1] \/ np.var(x0, ddof=0)\ntheta = -np.log(b) if b > 0 else 0.1\n\n# \u6301\u4ed3\u5468\u671f\nH = 1.0\n\n# \u9884\u671f\u56de\u5f52\u8ddd\u79bb\nexpected_reversion = (s.iloc&#91;-1] - s.mean()) * (1 - exp(-theta * H))\n\nprint(f\"b={b:.3f}, theta={theta:.3f}\")\nprint(f\"expected_reversion={expected_reversion:.2f} bps\")<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">\u9884\u671f\u8f93\u51fa\u7c7b\u4f3c\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>b=0.70, theta=0.357\nexpected_reversion=5.86 bps<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">\u62ff\u5230&nbsp;<code>expected_reversion<\/code>&nbsp;\u4e4b\u540e\uff0c\u8ddf\u4f60\u7684&nbsp;<code>friction_budget<\/code>&nbsp;\u6bd4\u4e00\u4e0b\u5c31\u884c\u3002\u4e00\u884c if \u8bed\u53e5\uff0c\u5c31\u662f\u4f60\u7684\u8fc7\u6ee4\u5668\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u516d\u3001\u8fd9\u4e2a\u8fc7\u6ee4\u5668\u5230\u5e95\u80fd\u6539\u53d8\u4ec0\u4e48<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u7528\u4e86\u8fd9\u4e2a\u8fc7\u6ee4\u4e4b\u540e\uff0c\u6700\u76f4\u63a5\u7684\u53d8\u5316\u662f<strong>\u4ea4\u6613\u6b21\u6570\u53d8\u5c11\u4e86<\/strong>\u3002\u4e00\u4e9b\u4ee5\u524d\u4f1a\u4e0b\u7684\u5355\uff0c\u73b0\u5728\u88ab\u62e6\u4f4f\u4e86\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u5176\u5b9e\u8fd9\u662f\u597d\u4e8b\u3002\u88ab\u62e6\u4f4f\u7684\u90a3\u4e9b\u5355\uff0c\u9884\u671f\u6536\u76ca\u672c\u6765\u5c31\u8986\u76d6\u4e0d\u4e86\u6210\u672c\uff0c\u505a\u4e86\u4e5f\u662f\u7ed9\u5238\u5546\u6253\u5de5\u3002\u5c11\u505a\u4ea4\u6613\u3001\u5c11\u72af\u9519\uff0c\u6bd4\u591a\u627e\u4fe1\u53f7\u66f4\u7ba1\u7528\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u4e2a\u65b9\u6cd5\u8fd8\u903c\u7740\u4f60\u505a\u4e00\u4ef6\u4e8b\uff1a<strong>\u628a\u4ea4\u6613\u6469\u64e6\u663e\u5f0f\u5316<\/strong>\u3002\u4f60\u5f97\u641e\u6e05\u695a\u81ea\u5df1\u7684 spread \u6210\u672c\u3001\u4f63\u91d1\u3001\u6ed1\u70b9\u5206\u522b\u662f\u591a\u5c11\u3002\u5f88\u591a\u7b56\u7565\u4e8f\u94b1\u4e0d\u662f\u56e0\u4e3a\u4fe1\u53f7\u5dee\uff0c\u662f\u56e0\u4e3a\u505a\u7b56\u7565\u7684\u4eba\u6839\u672c\u6ca1\u8ba4\u771f\u7b97\u8fc7\u6210\u672c\u3002\u3002<\/p>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<p class=\"wp-block-paragraph\"><strong>\u63d0\u793a<\/strong>\uff1aOU \u8fc7\u7a0b\u662f\u5bf9\u73b0\u5b9e\u5e02\u573a\u7684\u7b80\u5316\u6a21\u578b\u3002\u6781\u7aef\u884c\u60c5\u4e0b\uff08\u6bd4\u5982\u6d41\u52a8\u6027\u7a81\u7136\u67af\u7aed\uff09\uff0c\u56de\u5f52\u884c\u4e3a\u53ef\u80fd\u8ddf\u6a21\u578b\u9884\u4f30\u5dee\u5f88\u8fdc\u3002\u8fc7\u6ee4\u5668\u662f\u5de5\u5177\uff0c\u4e0d\u662f\u4fdd\u9669\u3002<\/p>\n<\/blockquote>\n\n\n\n<p class=\"wp-block-paragraph\">\u5982\u679c\u4f60\u60f3\u66f4\u8fdb\u4e00\u6b65\uff0c\u53ef\u4ee5\u4f30\u8ba1 \u03c3 \u7684\u5206\u5e03\uff0c\u5bf9 x_{t+H} \u505a\u8499\u7279\u5361\u6d1b\u6a21\u62df\uff0c\u7b97\u51fa\u9884\u671f\u6536\u76ca\u7684\u6982\u7387\u5206\u5e03\u3002\u4f46\u4ece\u7b80\u5355\u7248\u5f00\u59cb\uff0c\u5148\u628a\u57fa\u672c\u7684\u8fc7\u6ee4\u5668\u8dd1\u8d77\u6765\u3002\u4e00\u4e2a\u6e05\u6670\u7684\u4fdd\u5b88\u8fc7\u6ee4\u5668\uff0c\u6bd4\u8ffd\u7740\u8fb9\u9645\u6536\u76ca\u4f7f\u52b2\uff0c\u5bf9 P&amp;L \u7684\u8d21\u732e\u66f4\u5feb\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u6700\u540e\u603b\u7ed3\u4e00\u4e0b\u8981\u70b9\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>\u56de\u5f52\u901f\u5ea6\u548c\u56de\u5f52\u8ddd\u79bb\u540c\u6837\u91cd\u8981\uff0c<\/strong>\u540c\u6837\u7684 Z-score\uff0c\u56de\u5f52\u6162\u7684\u53ef\u80fd\u4e8f\u94b1\u3002<\/li>\n\n\n\n<li><strong>OU \u8fc7\u7a0b\u7ed9\u51fa\u9884\u671f\u56de\u5f52\u8ddd\u79bb\u7684\u5c01\u95ed\u89e3\uff0c<\/strong>\u7528 AR(1) \u5c31\u80fd\u4f30\u53c2\u6570\u3002<\/li>\n\n\n\n<li><strong>\u8fc7\u6ee4\u89c4\u5219\u5c31\u4e00\u884c\uff1a<\/strong>\u9884\u671f\u56de\u5f52\u8ddd\u79bb > \u6469\u64e6\u9884\u7b97\u624d\u4e0b\u5355\u3002<\/li>\n\n\n\n<li><strong>\u6240\u6709\u91cf\u7eb2\u7edf\u4e00\u5230 bps\uff0c<\/strong>\u8ddf\u6210\u672c\u76f4\u63a5\u53ef\u6bd4\uff0c\u522b\u6df7\u7528\u3002<\/li>\n\n\n\n<li><strong>\u4ea4\u6613\u6b21\u6570\u51cf\u5c11\u662f\u6b63\u5e38\u8868\u73b0\uff0c<\/strong>\u62e6\u4f4f\u7684\u672c\u6765\u5c31\u662f\u8d1f\u671f\u671b\u7684\u5355\u3002<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\">\u5747\u503c\u56de\u5f52\u7b56\u7565\u7684\u80dc\u8d1f\u624b\u4e0d\u5728\u4fe1\u53f7\u672c\u8eab\uff0c\u5728\u4fe1\u53f7\u548c\u6210\u672c\u7684\u5173\u7cfb\u3002\u628a\u8fd9\u4e2a\u60f3\u6e05\u695a\uff0c\u4f60\u5df2\u7ecf\u6bd4\u5927\u90e8\u5206\u53ea\u770b Z-score \u7684\u7cfb\u7edf\u5f3a\u4e86\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u4f60\u73b0\u5728\u7684\u5747\u503c\u56de\u5f52\u7b56\u7565\uff0c\u6709\u6ca1\u6709\u8ba4\u771f\u7b97\u8fc7\u6469\u64e6\u9884\u7b97\uff1f<\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<p class=\"wp-block-paragraph\"><a>#\u5747\u503c\u56de\u5f52<\/a>&nbsp;<a>#\u91cf\u5316\u7b56\u7565<\/a>&nbsp;<a>#OrnsteinUhlenbeck<\/a>&nbsp;<a>#\u4ea4\u6613\u6469\u64e6<\/a>&nbsp;<a>#\u8fc7\u6ee4\u5668<\/a>&nbsp;<a>#Zscore<\/a>&nbsp;<a>#\u534a\u8870\u671f<\/a>&nbsp;<a>#AR1\u56de\u5f52<\/a>&nbsp;<a>#bps<\/a>&nbsp;<a>#\u7b56\u7565\u4f18\u5316<\/a>&nbsp;<a>#\u6ed1\u70b9<\/a>&nbsp;<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u4f5c\u8005\uff1a\u8001\u4f59\u635e\u9c7c \u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002&#8230;<\/p>\n<div class=\"more-link-wrapper\"><a class=\"more-link\" href=\"https:\/\/laoyulaoyu.com\/index.php\/2026\/06\/30\/90%e7%9a%84%e5%9d%87%e5%80%bc%e5%9b%9e%e5%bd%92%e7%ad%96%e7%95%a5%e9%83%bd%e5%bf%bd%e7%95%a5%e4%ba%86%e8%bf%99%e4%b8%80%e4%b8%aa%e6%88%90%e6%9c%ac%e5%8f%98%e9%87%8f\/\">Continue reading<span class=\"screen-reader-text\">90%\u7684\u5747\u503c\u56de\u5f52\u7b56\u7565\u90fd\u5ffd\u7565\u4e86\u8fd9\u4e00\u4e2a\u6210\u672c\u53d8\u91cf<\/span><\/a><\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[2],"tags":[17,4,5,6],"class_list":["post-4376","post","type-post","status-publish","format-standard","hentry","category-aiinvest","tag-ai","tag-6","entry"],"_links":{"self":[{"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts\/4376","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/comments?post=4376"}],"version-history":[{"count":1,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts\/4376\/revisions"}],"predecessor-version":[{"id":4383,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts\/4376\/revisions\/4383"}],"wp:attachment":[{"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/media?parent=4376"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/categories?post=4376"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/tags?post=4376"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}