![](https://fastly.jsdelivr.net/gh/bucketio/img11@main/2024/10/21/1729466068183-23134fce-3131-4262-b18c-f378d71af4f6.gif)

# A股高频研报精选

![](https://fastly.jsdelivr.net/gh/bucketio/img9@main/2024/10/20/1729465031968-b3c8959e-1d37-4b8a-91b1-b0b0dfe25143.png)
## 系列简介

本系列收录了A股高频相关的研究报告。

## 研报目录

### 东兴证券

- [基于高频快照数据的行为追踪因子](https://asset.quant-wiki.com/pdf/20211015-%E4%B8%9C%E5%85%B4%E8%AF%81%E5%88%B8-%E5%8F%A6%E8%BE%9F%E8%B9%8A%E5%BE%84%E7%B3%BB%E5%88%97%E4%B9%8B%E4%B8%80%EF%BC%9A%E5%9F%BA%E4%BA%8E%E9%AB%98%E9%A2%91%E5%BF%AB%E7%85%A7%E6%95%B0%E6%8D%AE%E7%9A%84%E8%A1%8C%E4%B8%BA%E8%BF%BD%E8%B8%AA%E5%9B%A0%E5%AD%90.pdf)
- [高频数据下基于文本挖掘和深度学习的股票波动性预测](https://asset.quant-wiki.com/pdf/20220309-%E4%B8%9C%E5%85%B4%E8%AF%81%E5%88%B8-%E6%B5%B7%E5%A4%96%E6%96%87%E7%8C%AE%E9%80%9F%E8%A7%88%E7%B3%BB%E5%88%97%E4%B9%8B%E5%8D%81%E5%85%AD%EF%BC%9A%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E4%B8%8B%E5%9F%BA%E4%BA%8E%E6%96%87%E6%9C%AC%E6%8C%96%E6%8E%98%E5%92%8C%E6%B7%B1%E5%BA%A6%E5%AD%A6%E4%B9%A0%E7%9A%84%E8%82%A1%E7%A5%A8%E6%B3%A2%E5%8A%A8%E6%80%A7%E9%A2%84%E6%B5%8B.pdf)

### 东吴证券

- [ETF情绪温度计，高频折溢价的基差预测能力](https://asset.quant-wiki.com/pdf/20200225-%E4%B8%9C%E5%90%B4%E8%AF%81%E5%88%B8-%E2%80%9CETF%E6%83%85%E7%BB%AA%E6%B8%A9%E5%BA%A6%E8%AE%A1%E2%80%9D%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%B8%89%EF%BC%89%EF%BC%9AETF%E6%83%85%E7%BB%AA%E6%B8%A9%E5%BA%A6%E8%AE%A1%EF%BC%8C%E9%AB%98%E9%A2%91%E6%8A%98%E6%BA%A2%E4%BB%B7%E7%9A%84%E5%9F%BA%E5%B7%AE%E9%A2%84%E6%B5%8B%E8%83%BD%E5%8A%9B.pdf)
- [高频价量相关性，意想不到的选股因子](https://asset.quant-wiki.com/pdf/20200223-%E4%B8%9C%E5%90%B4%E8%AF%81%E5%88%B8-%E2%80%9C%E6%8A%80%E6%9C%AF%E5%88%86%E6%9E%90%E6%8B%A5%E6%8A%B1%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E2%80%9D%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%B8%80%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E4%BB%B7%E9%87%8F%E7%9B%B8%E5%85%B3%E6%80%A7%EF%BC%8C%E6%84%8F%E6%83%B3%E4%B8%8D%E5%88%B0%E7%9A%84%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90.pdf)
- [信息分布均匀度，基于高频波动率的选股因子](https://asset.quant-wiki.com/pdf/20200901-%E4%B8%9C%E5%90%B4%E8%AF%81%E5%88%B8-%E2%80%9C%E6%B3%A2%E5%8A%A8%E7%8E%87%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E2%80%9D%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%BA%8C%EF%BC%89%EF%BC%9A%E4%BF%A1%E6%81%AF%E5%88%86%E5%B8%83%E5%9D%87%E5%8C%80%E5%BA%A6%EF%BC%8C%E5%9F%BA%E4%BA%8E%E9%AB%98%E9%A2%91%E6%B3%A2%E5%8A%A8%E7%8E%87%E7%9A%84%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90.pdf)
- [ETF情绪温度计_基于高频折溢价的择时策略](https://asset.quant-wiki.com/pdf/20191106-%E4%B8%9C%E5%90%B4%E8%AF%81%E5%88%B8-%E9%87%91%E5%B7%A5%E4%B8%93%E9%A2%98%E6%8A%A5%E5%91%8A%EF%BC%9AETF%E6%83%85%E7%BB%AA%E6%B8%A9%E5%BA%A6%E8%AE%A1_%E5%9F%BA%E4%BA%8E%E9%AB%98%E9%A2%91%E6%8A%98%E6%BA%A2%E4%BB%B7%E7%9A%84%E6%8B%A9%E6%97%B6%E7%AD%96%E7%95%A5.pdf)
- [CPV因子期货版](https://asset.quant-wiki.com/pdf/20200618-%E4%B8%9C%E5%90%B4%E8%AF%81%E5%88%B8-%E2%80%9C%E9%AB%98%E9%A2%91%E4%BB%B7%E9%87%8F%E7%9B%B8%E5%85%B3%E6%80%A7%E6%8B%A5%E6%8A%B1CTA%E2%80%9D%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%B8%80%EF%BC%89%EF%BC%9ACPV%E5%9B%A0%E5%AD%90%E6%9C%9F%E8%B4%A7%E7%89%88.pdf)

### 中泰证券

- [大小盘如何择时？基金抱团高频跟踪数据给我们启示](https://asset.quant-wiki.com/pdf/20210527-%E4%B8%AD%E6%B3%B0%E8%AF%81%E5%88%B8-%E8%BF%BD%E8%B8%AA%E2%80%9C%E8%81%AA%E6%98%8E%E8%B5%84%E9%87%91%E2%80%9D%E7%B3%BB%E5%88%97%E4%B8%80%EF%BC%9A%E5%A4%A7%E5%B0%8F%E7%9B%98%E5%A6%82%E4%BD%95%E6%8B%A9%E6%97%B6%EF%BC%9F%E5%9F%BA%E9%87%91%E6%8A%B1%E5%9B%A2%E9%AB%98%E9%A2%91%E8%B7%9F%E8%B8%AA%E6%95%B0%E6%8D%AE%E7%BB%99%E6%88%91%E4%BB%AC%E5%90%AF%E7%A4%BA.pdf)
- [揭开公募持仓“面纱”，细化模型尝试对股票仓位进行高频跟踪](https://asset.quant-wiki.com/pdf/20220502-%E4%B8%AD%E6%B3%B0%E8%AF%81%E5%88%B8-%E8%BF%BD%E8%B8%AA%E2%80%9C%E8%81%AA%E6%98%8E%E8%B5%84%E9%87%91%E2%80%9D%E7%B3%BB%E5%88%97%EF%BC%9A%E6%8F%AD%E5%BC%80%E5%85%AC%E5%8B%9F%E6%8C%81%E4%BB%93%E2%80%9C%E9%9D%A2%E7%BA%B1%E2%80%9D%EF%BC%8C%E7%BB%86%E5%8C%96%E6%A8%A1%E5%9E%8B%E5%B0%9D%E8%AF%95%E5%AF%B9%E8%82%A1%E7%A5%A8%E4%BB%93%E4%BD%8D%E8%BF%9B%E8%A1%8C%E9%AB%98%E9%A2%91%E8%B7%9F%E8%B8%AA.pdf)
- [如何高频探测基金行业配置动向？](https://asset.quant-wiki.com/pdf/20210823-%E4%B8%AD%E6%B3%B0%E8%AF%81%E5%88%B8-%E8%BF%BD%E8%B8%AA%E2%80%9C%E8%81%AA%E6%98%8E%E8%B5%84%E9%87%91%E2%80%9D%E7%B3%BB%E5%88%97%E4%BA%8C%EF%BC%9A%E5%A6%82%E4%BD%95%E9%AB%98%E9%A2%91%E6%8E%A2%E6%B5%8B%E5%9F%BA%E9%87%91%E8%A1%8C%E4%B8%9A%E9%85%8D%E7%BD%AE%E5%8A%A8%E5%90%91%EF%BC%9F.pdf)

### 中银国际

- [如何高频预测模拟Wind主动股基（885000.WI）指数？](https://asset.quant-wiki.com/pdf/20220909-%E4%B8%AD%E9%93%B6%E5%9B%BD%E9%99%85-%E4%B8%AD%E9%93%B6%E9%87%8F%E5%8C%96%E4%B8%93%E9%A2%98%E7%A0%94%E7%A9%B6%EF%BC%9A%E5%A6%82%E4%BD%95%E9%AB%98%E9%A2%91%E9%A2%84%E6%B5%8B%E6%A8%A1%E6%8B%9FWind%E4%B8%BB%E5%8A%A8%E8%82%A1%E5%9F%BA%EF%BC%88885000.WI%EF%BC%89%E6%8C%87%E6%95%B0%EF%BC%9F.pdf)

### 信达证券

- [基于分钟线的高频选股因子](https://asset.quant-wiki.com/pdf/20220428-%E4%BF%A1%E8%BE%BE%E8%AF%81%E5%88%B8-%E5%9B%A0%E5%AD%90%E9%80%89%E8%82%A1%E7%B3%BB%E5%88%97%E4%B9%8B%E4%B8%80%EF%BC%9A%E5%9F%BA%E4%BA%8E%E5%88%86%E9%92%9F%E7%BA%BF%E7%9A%84%E9%AB%98%E9%A2%91%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90.pdf)

### 兴业证券

- [市场微观结构剖析](https://asset.quant-wiki.com/pdf/20221109-%E5%85%B4%E4%B8%9A%E8%AF%81%E5%88%B8-%E9%AB%98%E9%A2%91%E7%A0%94%E7%A9%B6%E7%B3%BB%E5%88%97%E4%BA%94%EF%BC%9A%E5%B8%82%E5%9C%BA%E5%BE%AE%E8%A7%82%E7%BB%93%E6%9E%84%E5%89%96%E6%9E%90.pdf)
- [20220104-兴业证券-高频漫谈](https://asset.quant-wiki.com/pdf/20220104-%E5%85%B4%E4%B8%9A%E8%AF%81%E5%88%B8-%E9%AB%98%E9%A2%91%E6%BC%AB%E8%B0%88.pdf)
- [收益率分布因子构建](https://asset.quant-wiki.com/pdf/20220123-%E5%85%B4%E4%B8%9A%E8%AF%81%E5%88%B8-%E9%AB%98%E9%A2%91%E7%A0%94%E7%A9%B6%E7%B3%BB%E5%88%97%E4%BA%8C%EF%BC%9A%E6%94%B6%E7%9B%8A%E7%8E%87%E5%88%86%E5%B8%83%E5%9B%A0%E5%AD%90%E6%9E%84%E5%BB%BA.pdf)
- [收益率分布中的Alpha（2）](https://asset.quant-wiki.com/pdf/20220504-%E5%85%B4%E4%B8%9A%E8%AF%81%E5%88%B8-%E9%AB%98%E9%A2%91%E7%A0%94%E7%A9%B6%E7%B3%BB%E5%88%97%E4%B8%89%EF%BC%9A%E6%94%B6%E7%9B%8A%E7%8E%87%E5%88%86%E5%B8%83%E4%B8%AD%E7%9A%84Alpha%EF%BC%882%EF%BC%89.pdf)

### 华安证券

- [市场微观结构剖析之七](https://asset.quant-wiki.com/pdf/20200610-%E5%8D%8E%E5%AE%89%E8%AF%81%E5%88%B8-%E9%AB%98%E9%A2%91%E8%A7%86%E8%A7%92%E4%B8%8B%E6%88%90%E4%BA%A4%E9%A2%9D%E8%95%B4%E8%97%8F%E7%9A%84Alpha%EF%BC%9A%E5%B8%82%E5%9C%BA%E5%BE%AE%E8%A7%82%E7%BB%93%E6%9E%84%E5%89%96%E6%9E%90%E4%B9%8B%E4%B8%83.pdf)
- [知情交易的高频指标](https://asset.quant-wiki.com/pdf/20201228-%E5%8D%8E%E5%AE%89%E8%AF%81%E5%88%B8-%E2%80%9C%E5%AD%A6%E6%B5%B7%E6%8B%BE%E7%8F%A0%E2%80%9D%E7%B3%BB%E5%88%97%E4%B9%8B%E4%BA%8C%E5%8D%81%E5%9B%9B%EF%BC%9A%E7%9F%A5%E6%83%85%E4%BA%A4%E6%98%93%E7%9A%84%E9%AB%98%E9%A2%91%E6%8C%87%E6%A0%87.pdf)

### 国信证券

- [交易量时钟，对高频交易模式的洞察](https://asset.quant-wiki.com/pdf/20210608-%E5%9B%BD%E4%BF%A1%E8%AF%81%E5%88%B8-%E5%AD%A6%E6%9C%AF%E6%96%87%E7%8C%AE%E7%A0%94%E7%A9%B6%E7%B3%BB%E5%88%97%E7%AC%AC5%E6%9C%9F%EF%BC%9A%E4%BA%A4%E6%98%93%E9%87%8F%E6%97%B6%E9%92%9F%EF%BC%8C%E5%AF%B9%E9%AB%98%E9%A2%91%E4%BA%A4%E6%98%93%E6%A8%A1%E5%BC%8F%E7%9A%84%E6%B4%9E%E5%AF%9F.pdf)

### 国泰君安

- [基于波动率分解的高频波动率预测模型](https://asset.quant-wiki.com/pdf/20220422-%E5%9B%BD%E6%B3%B0%E5%90%9B%E5%AE%89-%E5%AD%A6%E7%95%8C%E7%BA%B5%E6%A8%AA%E7%B3%BB%E5%88%97%E4%B9%8B%E4%B8%89%E5%8D%81%E5%85%AB%EF%BC%9A%E5%9F%BA%E4%BA%8E%E6%B3%A2%E5%8A%A8%E7%8E%87%E5%88%86%E8%A7%A3%E7%9A%84%E9%AB%98%E9%A2%91%E6%B3%A2%E5%8A%A8%E7%8E%87%E9%A2%84%E6%B5%8B%E6%A8%A1%E5%9E%8B.pdf)
- [利用高频数据监测机构动向](https://asset.quant-wiki.com/pdf/20210730-%E5%9B%BD%E6%B3%B0%E5%90%9B%E5%AE%89-%E7%AE%97%E6%B3%95%E4%BA%A4%E6%98%93%E7%B3%BB%E5%88%97%E4%BA%8C%EF%BC%9A%E5%88%A9%E7%94%A8%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E7%9B%91%E6%B5%8B%E6%9C%BA%E6%9E%84%E5%8A%A8%E5%90%91.pdf)
- [天然气期货的高频交易模式是怎样的](https://asset.quant-wiki.com/pdf/20210610-%E5%9B%BD%E6%B3%B0%E5%90%9B%E5%AE%89-%E5%AD%A6%E7%95%8C%E7%BA%B5%E6%A8%AA%E7%B3%BB%E5%88%97%E4%B9%8B%E5%85%AB%EF%BC%9A%E5%A4%A9%E7%84%B6%E6%B0%94%E6%9C%9F%E8%B4%A7%E7%9A%84%E9%AB%98%E9%A2%91%E4%BA%A4%E6%98%93%E6%A8%A1%E5%BC%8F%E6%98%AF%E6%80%8E%E6%A0%B7%E7%9A%84.pdf)
- [高频量价策略不等于躺着赚钱](https://asset.quant-wiki.com/pdf/20220728-%E5%9B%BD%E6%B3%B0%E5%90%9B%E5%AE%89-%E6%95%B0%E9%87%8F%E5%8C%96%E4%B8%93%E9%A2%98%E6%8A%A5%E5%91%8A%EF%BC%9A%E9%AB%98%E9%A2%91%E9%87%8F%E4%BB%B7%E7%AD%96%E7%95%A5%E4%B8%8D%E7%AD%89%E4%BA%8E%E8%BA%BA%E7%9D%80%E8%B5%9A%E9%92%B1.pdf)
- [高频交易，海外发展与国内展望](https://asset.quant-wiki.com/pdf/20130620-%E5%9B%BD%E6%B3%B0%E5%90%9B%E5%AE%89-2013%E5%B9%B4%E5%A4%8F%E5%AD%A3%E9%87%91%E8%9E%8D%E5%B7%A5%E7%A8%8B%E6%B2%99%E9%BE%99%EF%BC%9A%E9%AB%98%E9%A2%91%E4%BA%A4%E6%98%93%EF%BC%8C%E6%B5%B7%E5%A4%96%E5%8F%91%E5%B1%95%E4%B8%8E%E5%9B%BD%E5%86%85%E5%B1%95%E6%9C%9B.pdf)

### 国联证券

- [股票多因子系列1_机构主动资金流](https://asset.quant-wiki.com/pdf/20220719-%E5%9B%BD%E8%81%94%E8%AF%81%E5%88%B8-%E5%9F%BA%E4%BA%8ELevel2%E6%95%B0%E6%8D%AE%EF%BC%9A%E8%82%A1%E7%A5%A8%E5%A4%9A%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%971_%E6%9C%BA%E6%9E%84%E4%B8%BB%E5%8A%A8%E8%B5%84%E9%87%91%E6%B5%81.pdf)

### 国金证券

- [Alpha掘金系列之二，基于高频快照数据的量价背离选股因子](https://asset.quant-wiki.com/pdf/20221118-%E5%9B%BD%E9%87%91%E8%AF%81%E5%88%B8-%E9%87%91%E8%9E%8D%E5%B7%A5%E7%A8%8B%E4%B8%93%E9%A2%98%E6%8A%A5%E5%91%8A%EF%BC%9AAlpha%E6%8E%98%E9%87%91%E7%B3%BB%E5%88%97%E4%B9%8B%E4%BA%8C%EF%BC%8C%E5%9F%BA%E4%BA%8E%E9%AB%98%E9%A2%91%E5%BF%AB%E7%85%A7%E6%95%B0%E6%8D%AE%E7%9A%84%E9%87%8F%E4%BB%B7%E8%83%8C%E7%A6%BB%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90.pdf)

### 天风证券

- [买卖压力失衡](https://asset.quant-wiki.com/pdf/20170801-%E5%A4%A9%E9%A3%8E%E8%AF%81%E5%88%B8-%E5%88%A9%E7%94%A8%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E6%8B%93%E5%B1%95%E7%9B%98%E5%8F%A3%E6%95%B0%E6%8D%AE%EF%BC%9A%E4%B9%B0%E5%8D%96%E5%8E%8B%E5%8A%9B%E5%A4%B1%E8%A1%A1.pdf)
- [结合中高频信息的指数增强策略](https://asset.quant-wiki.com/pdf/20200514-%E5%A4%A9%E9%A3%8E%E8%AF%81%E5%88%B8-%E5%B8%82%E5%9C%BA%E5%BE%AE%E8%A7%82%E7%BB%93%E6%9E%84%E6%8E%A2%E6%9E%90%E7%B3%BB%E5%88%97%E4%B9%8B%E5%9B%9B%EF%BC%9A%E7%BB%93%E5%90%88%E4%B8%AD%E9%AB%98%E9%A2%91%E4%BF%A1%E6%81%AF%E7%9A%84%E6%8C%87%E6%95%B0%E5%A2%9E%E5%BC%BA%E7%AD%96%E7%95%A5.pdf)

### 安信证券

- [本周行情有利于中高频策略](https://asset.quant-wiki.com/pdf/20180826-%E5%AE%89%E4%BF%A1%E8%AF%81%E5%88%B8-%E6%9C%BA%E5%99%A8%E5%AD%A6%E4%B9%A0%E4%B8%8ECTA%EF%BC%9A%E6%9C%AC%E5%91%A8%E8%A1%8C%E6%83%85%E6%9C%89%E5%88%A9%E4%BA%8E%E4%B8%AD%E9%AB%98%E9%A2%91%E7%AD%96%E7%95%A5.pdf)
- [机器学习T0](https://asset.quant-wiki.com/pdf/20191230-%E5%AE%89%E4%BF%A1%E8%AF%81%E5%88%B8-%E4%B8%AD%E9%AB%98%E9%A2%91%E4%BA%A4%E6%98%93%E7%AD%96%E7%95%A5%E5%86%8D%E5%87%BA%E5%8F%91%EF%BC%9A%E6%9C%BA%E5%99%A8%E5%AD%A6%E4%B9%A0T0.pdf)

### 开源证券

- [独家量价因子的高频测试](https://asset.quant-wiki.com/pdf/20210924-%E5%BC%80%E6%BA%90%E8%AF%81%E5%88%B8-%E5%BC%80%E6%BA%90%E9%87%8F%E5%8C%96%E8%AF%84%E8%AE%BA%EF%BC%8836%EF%BC%89%EF%BC%9A%E7%8B%AC%E5%AE%B6%E9%87%8F%E4%BB%B7%E5%9B%A0%E5%AD%90%E7%9A%84%E9%AB%98%E9%A2%91%E6%B5%8B%E8%AF%95.pdf)
- [高频股东数据的隐含信息量](https://asset.quant-wiki.com/pdf/20201231-%E5%BC%80%E6%BA%90%E8%AF%81%E5%88%B8-%E9%87%8F%E5%8C%96%E8%AF%84%E8%AE%BA%EF%BC%8813%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E8%82%A1%E4%B8%9C%E6%95%B0%E6%8D%AE%E7%9A%84%E9%9A%90%E5%90%AB%E4%BF%A1%E6%81%AF%E9%87%8F.pdf)
- [北上资金高频数据的CTA潜力](https://asset.quant-wiki.com/pdf/20201114-%E5%BC%80%E6%BA%90%E8%AF%81%E5%88%B8-%E5%BC%80%E6%BA%90%E9%87%8F%E5%8C%96%E8%AF%84%E8%AE%BA%EF%BC%8811%EF%BC%89%EF%BC%9A%E5%8C%97%E4%B8%8A%E8%B5%84%E9%87%91%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E7%9A%84CTA%E6%BD%9C%E5%8A%9B.pdf)
- [高频因子，分钟单笔金额序列中的主力行为刻画](https://asset.quant-wiki.com/pdf/20220612-%E5%BC%80%E6%BA%90%E8%AF%81%E5%88%B8-%E5%B8%82%E5%9C%BA%E5%BE%AE%E8%A7%82%E7%BB%93%E6%9E%84%E7%A0%94%E7%A9%B6%E7%B3%BB%E5%88%97%EF%BC%8815%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%EF%BC%8C%E5%88%86%E9%92%9F%E5%8D%95%E7%AC%94%E9%87%91%E9%A2%9D%E5%BA%8F%E5%88%97%E4%B8%AD%E7%9A%84%E4%B8%BB%E5%8A%9B%E8%A1%8C%E4%B8%BA%E5%88%BB%E7%94%BB.pdf)
- [大小单资金流alpha探究2.0，变量精筛与高频测算](https://asset.quant-wiki.com/pdf/20221218-%E5%BC%80%E6%BA%90%E8%AF%81%E5%88%B8-%E5%B8%82%E5%9C%BA%E5%BE%AE%E8%A7%82%E7%BB%93%E6%9E%84%E7%A0%94%E7%A9%B6%E7%B3%BB%E5%88%97%EF%BC%8818%EF%BC%89%EF%BC%9A%E5%A4%A7%E5%B0%8F%E5%8D%95%E8%B5%84%E9%87%91%E6%B5%81alpha%E6%8E%A2%E7%A9%B62.0%EF%BC%8C%E5%8F%98%E9%87%8F%E7%B2%BE%E7%AD%9B%E4%B8%8E%E9%AB%98%E9%A2%91%E6%B5%8B%E7%AE%97.pdf)

### 招商证券

- [轻装上阵，高频数据因子的应用](https://asset.quant-wiki.com/pdf/20210107-%E6%8B%9B%E5%95%86%E8%AF%81%E5%88%B8-%E2%80%9C%E9%AB%98%E9%A2%91%E5%AF%BB%E8%B8%AA%E2%80%9D%E7%B3%BB%E5%88%97%E4%B9%8B%E4%BA%8C%EF%BC%9A%E8%BD%BB%E8%A3%85%E4%B8%8A%E9%98%B5%EF%BC%8C%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E5%9B%A0%E5%AD%90%E7%9A%84%E5%BA%94%E7%94%A8.pdf)
- [交易指令流中的Alpha](https://asset.quant-wiki.com/pdf/20200620-%E6%8B%9B%E5%95%86%E8%AF%81%E5%88%B8-%E2%80%9C%E9%AB%98%E9%A2%91%E5%AF%BB%E8%B8%AA%E2%80%9D%E7%B3%BB%E5%88%97%E4%B9%8B%E4%B8%80%EF%BC%9A%E4%BA%A4%E6%98%93%E6%8C%87%E4%BB%A4%E6%B5%81%E4%B8%AD%E7%9A%84Alpha.pdf)
- [高频数据中的知情交易](https://asset.quant-wiki.com/pdf/20191029-%E6%8B%9B%E5%95%86%E8%AF%81%E5%88%B8-%E2%80%9C%E7%90%A2%E7%92%9E%E2%80%9D%E7%B3%BB%E5%88%97%E6%8A%A5%E5%91%8A%E4%B9%8B%E4%BA%8C%EF%BC%9A%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E4%B8%AD%E7%9A%84%E7%9F%A5%E6%83%85%E4%BA%A4%E6%98%93.pdf)
- [高频数据中的知情交易（二）](https://asset.quant-wiki.com/pdf/20200630-%E6%8B%9B%E5%95%86%E8%AF%81%E5%88%B8-%E2%80%9C%E7%90%A2%E7%92%9E%E2%80%9D%E7%B3%BB%E5%88%97%E6%8A%A5%E5%91%8A%E4%B9%8B%E5%8D%81%E4%B8%83%EF%BC%9A%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E4%B8%AD%E7%9A%84%E7%9F%A5%E6%83%85%E4%BA%A4%E6%98%93%EF%BC%88%E4%BA%8C%EF%BC%89.pdf)
- [高频ESG数据，穿着燕尾服的Alpha](https://asset.quant-wiki.com/pdf/20201219-%E6%8B%9B%E5%95%86%E8%AF%81%E5%88%B8-ESG%E6%8A%95%E8%B5%84%E7%A0%94%E7%A9%B6%E7%B3%BB%E5%88%97%E4%B9%8B%E4%B8%89%EF%BC%9A%E9%AB%98%E9%A2%91ESG%E6%95%B0%E6%8D%AE%EF%BC%8C%E7%A9%BF%E7%9D%80%E7%87%95%E5%B0%BE%E6%9C%8D%E7%9A%84Alpha.pdf)

### 方正证券

- [本福特的启示，从分钟成交量看机构痕迹](https://asset.quant-wiki.com/pdf/20170813-%E6%96%B9%E6%AD%A3%E8%AF%81%E5%88%B8-%E2%80%9C%E8%81%86%E5%90%AC%E9%AB%98%E9%A2%91%E4%B8%96%E7%95%8C%E7%9A%84%E5%A3%B0%E9%9F%B3%E2%80%9D%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E5%85%AD%EF%BC%89%EF%BC%9A%E6%9C%AC%E7%A6%8F%E7%89%B9%E7%9A%84%E5%90%AF%E7%A4%BA%EF%BC%8C%E4%BB%8E%E5%88%86%E9%92%9F%E6%88%90%E4%BA%A4%E9%87%8F%E7%9C%8B%E6%9C%BA%E6%9E%84%E7%97%95%E8%BF%B9.pdf)
- [量价关系的高频乐章 ](https://asset.quant-wiki.com/pdf/20200227-方正证券-市场微观结构剖析系列6：量价关系的高频乐章 .pdf)

### 民生证券

- [基于机器学习的订单簿高频交易策略](https://asset.quant-wiki.com/pdf/20131211-%E6%B0%91%E7%94%9F%E8%AF%81%E5%88%B8-CTA%E7%A8%8B%E5%BA%8F%E5%8C%96%E4%BA%A4%E6%98%93%E5%AE%9E%E5%8A%A1%E7%A0%94%E7%A9%B6%E4%B9%8B%E5%85%AD%EF%BC%9A%E5%9F%BA%E4%BA%8E%E6%9C%BA%E5%99%A8%E5%AD%A6%E4%B9%A0%E7%9A%84%E8%AE%A2%E5%8D%95%E7%B0%BF%E9%AB%98%E9%A2%91%E4%BA%A4%E6%98%93%E7%AD%96%E7%95%A5.pdf)

### 海通证券

- [高频因子之股票收益分布特征](https://asset.quant-wiki.com/pdf/20170505-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E5%8D%81%E4%B9%9D%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E4%B9%8B%E8%82%A1%E7%A5%A8%E6%94%B6%E7%9B%8A%E5%88%86%E5%B8%83%E7%89%B9%E5%BE%81.pdf)
- [基于直观逻辑和机器学习的高频数据低频化应用](https://asset.quant-wiki.com/pdf/20200424-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E5%85%AD%E5%8D%81%E5%9B%9B%EF%BC%89%EF%BC%9A%E5%9F%BA%E4%BA%8E%E7%9B%B4%E8%A7%82%E9%80%BB%E8%BE%91%E5%92%8C%E6%9C%BA%E5%99%A8%E5%AD%A6%E4%B9%A0%E7%9A%84%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E4%BD%8E%E9%A2%91%E5%8C%96%E5%BA%94%E7%94%A8.pdf)
- [剔除高频多因子空头组合后的沪深300指数增强策略](https://asset.quant-wiki.com/pdf/20200413-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E5%85%AD%E5%8D%81%E4%B8%89%EF%BC%89%EF%BC%9A%E5%89%94%E9%99%A4%E9%AB%98%E9%A2%91%E5%A4%9A%E5%9B%A0%E5%AD%90%E7%A9%BA%E5%A4%B4%E7%BB%84%E5%90%88%E5%90%8E%E7%9A%84%E6%B2%AA%E6%B7%B1300%E6%8C%87%E6%95%B0%E5%A2%9E%E5%BC%BA%E7%AD%96%E7%95%A5.pdf)
- [短周期高频因子与组合调仓收益增强](https://asset.quant-wiki.com/pdf/20200623-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E5%85%AD%E5%8D%81%E4%B8%83%EF%BC%89%EF%BC%9A%E7%9F%AD%E5%91%A8%E6%9C%9F%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E4%B8%8E%E7%BB%84%E5%90%88%E8%B0%83%E4%BB%93%E6%94%B6%E7%9B%8A%E5%A2%9E%E5%BC%BA.pdf)
- [高频量价因子在股票与期货中的表现](https://asset.quant-wiki.com/pdf/20181101-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%87%91%E8%9E%8D%E5%B7%A5%E7%A8%8B%E4%B8%93%E9%A2%98%E6%8A%A5%E5%91%8A%EF%BC%9A%E9%AB%98%E9%A2%91%E9%87%8F%E4%BB%B7%E5%9B%A0%E5%AD%90%E5%9C%A8%E8%82%A1%E7%A5%A8%E4%B8%8E%E6%9C%9F%E8%B4%A7%E4%B8%AD%E7%9A%84%E8%A1%A8%E7%8E%B0.pdf)
- [如何利用高频因子的空头效应？](https://asset.quant-wiki.com/pdf/20200305-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E5%85%AD%E5%8D%81%EF%BC%89%EF%BC%9A%E5%A6%82%E4%BD%95%E5%88%A9%E7%94%A8%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E7%9A%84%E7%A9%BA%E5%A4%B4%E6%95%88%E5%BA%94%EF%BC%9F.pdf)
- [高频因子在不同周期和域下的表现及影响因素分析](https://asset.quant-wiki.com/pdf/20191113-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%87%91%E8%9E%8D%E5%B7%A5%E7%A8%8B%E4%B8%93%E9%A2%98%E6%8A%A5%E5%91%8A%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E5%9C%A8%E4%B8%8D%E5%90%8C%E5%91%A8%E6%9C%9F%E5%92%8C%E5%9F%9F%E4%B8%8B%E7%9A%84%E8%A1%A8%E7%8E%B0%E5%8F%8A%E5%BD%B1%E5%93%8D%E5%9B%A0%E7%B4%A0%E5%88%86%E6%9E%90.pdf)
- [用注意力机制优化深度学习高频因子](https://asset.quant-wiki.com/pdf/20220531-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%B8%83%E5%8D%81%E4%B9%9D%EF%BC%89%EF%BC%9A%E7%94%A8%E6%B3%A8%E6%84%8F%E5%8A%9B%E6%9C%BA%E5%88%B6%E4%BC%98%E5%8C%96%E6%B7%B1%E5%BA%A6%E5%AD%A6%E4%B9%A0%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90.pdf)
- [基于逐笔成交数据的高频因子梳理](https://asset.quant-wiki.com/pdf/20200223-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%BA%94%E5%8D%81%E4%B9%9D%EF%BC%89%EF%BC%9A%E5%9F%BA%E4%BA%8E%E9%80%90%E7%AC%94%E6%88%90%E4%BA%A4%E6%95%B0%E6%8D%AE%E7%9A%84%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E6%A2%B3%E7%90%86.pdf)
- [高频因子之已实现波动分解](https://asset.quant-wiki.com/pdf/20170909-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%BA%8C%E5%8D%81%E4%BA%94%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E4%B9%8B%E5%B7%B2%E5%AE%9E%E7%8E%B0%E6%B3%A2%E5%8A%A8%E5%88%86%E8%A7%A3.pdf)
- [高频赛道拥挤了吗？](https://asset.quant-wiki.com/pdf/20220419-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E4%BB%8E2021%E5%B9%B4%E5%9B%9B%E5%AD%A3%E5%BA%A6%E9%87%8F%E5%8C%96%E7%A7%81%E5%8B%9F%E7%9A%84%E5%9B%9E%E6%92%A4%E8%AF%B4%E5%BC%80%E5%8E%BB%EF%BC%9A%E9%AB%98%E9%A2%91%E8%B5%9B%E9%81%93%E6%8B%A5%E6%8C%A4%E4%BA%86%E5%90%97%EF%BC%9F.pdf)
- [公募基金持仓占比预期在选股以及行业轮动中的应用](https://asset.quant-wiki.com/pdf/20210714-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E5%BA%94%E7%94%A8%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%BA%8C%EF%BC%89%EF%BC%9A%E5%85%AC%E5%8B%9F%E5%9F%BA%E9%87%91%E6%8C%81%E4%BB%93%E5%8D%A0%E6%AF%94%E9%A2%84%E6%9C%9F%E5%9C%A8%E9%80%89%E8%82%A1%E4%BB%A5%E5%8F%8A%E8%A1%8C%E4%B8%9A%E8%BD%AE%E5%8A%A8%E4%B8%AD%E7%9A%84%E5%BA%94%E7%94%A8.pdf)
- [听海外高频交易专家讲解美国的高频交易](https://asset.quant-wiki.com/pdf/20190611-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%87%91%E8%9E%8D%E5%B7%A5%E7%A8%8B%E4%B8%93%E9%A2%98%E6%8A%A5%E5%91%8A%EF%BC%9A%E5%90%AC%E6%B5%B7%E5%A4%96%E9%AB%98%E9%A2%91%E4%BA%A4%E6%98%93%E4%B8%93%E5%AE%B6%E8%AE%B2%E8%A7%A3%E7%BE%8E%E5%9B%BD%E7%9A%84%E9%AB%98%E9%A2%91%E4%BA%A4%E6%98%93.pdf)
- [高频调仓对多因子模型的收益增强](https://asset.quant-wiki.com/pdf/20211011-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E5%BA%94%E7%94%A8%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%B8%89%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E8%B0%83%E4%BB%93%E5%AF%B9%E5%A4%9A%E5%9B%A0%E5%AD%90%E6%A8%A1%E5%9E%8B%E7%9A%84%E6%94%B6%E7%9B%8A%E5%A2%9E%E5%BC%BA.pdf)
- [改进深度学习高频因子的9个尝试](https://asset.quant-wiki.com/pdf/20220407-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%B8%83%E5%8D%81%E4%B8%83%EF%BC%89%EF%BC%9A%E6%94%B9%E8%BF%9B%E6%B7%B1%E5%BA%A6%E5%AD%A6%E4%B9%A0%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E7%9A%849%E4%B8%AA%E5%B0%9D%E8%AF%95.pdf)
- [Level2行情选股因子初探](https://asset.quant-wiki.com/pdf/20160606-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E5%8D%81%E4%B8%80%EF%BC%89%EF%BC%9ALevel2%E8%A1%8C%E6%83%85%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E5%88%9D%E6%8E%A2.pdf)
- [从加权IC到机器学习，高频因子多头失效的修正](https://asset.quant-wiki.com/pdf/20200322-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E5%85%AD%E5%8D%81%E4%B8%80%EF%BC%89%EF%BC%9A%E4%BB%8E%E5%8A%A0%E6%9D%83IC%E5%88%B0%E6%9C%BA%E5%99%A8%E5%AD%A6%E4%B9%A0%EF%BC%8C%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E5%A4%9A%E5%A4%B4%E5%A4%B1%E6%95%88%E7%9A%84%E4%BF%AE%E6%AD%A3.pdf)
- [基于深度学习的高频因子挖掘](https://asset.quant-wiki.com/pdf/20211228-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%B8%83%E5%8D%81%E5%85%AD%EF%BC%89%EF%BC%9A%E5%9F%BA%E4%BA%8E%E6%B7%B1%E5%BA%A6%E5%AD%A6%E4%B9%A0%E7%9A%84%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E6%8C%96%E6%8E%98.pdf)
- [使用高频数据跟踪核心资产的公募基金持仓变化](https://asset.quant-wiki.com/pdf/20210428-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E5%BA%94%E7%94%A8%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%B8%80%EF%BC%89%EF%BC%9A%E4%BD%BF%E7%94%A8%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E8%B7%9F%E8%B8%AA%E6%A0%B8%E5%BF%83%E8%B5%84%E4%BA%A7%E7%9A%84%E5%85%AC%E5%8B%9F%E5%9F%BA%E9%87%91%E6%8C%81%E4%BB%93%E5%8F%98%E5%8C%96.pdf)
- [高频因子还是行业暴露，多因子指数增强策略的突围选择](https://asset.quant-wiki.com/pdf/20220118-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%87%91%E8%9E%8D%E5%B7%A5%E7%A8%8B%E4%B8%93%E9%A2%98%E6%8A%A5%E5%91%8A%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E8%BF%98%E6%98%AF%E8%A1%8C%E4%B8%9A%E6%9A%B4%E9%9C%B2%EF%BC%8C%E5%A4%9A%E5%9B%A0%E5%AD%90%E6%8C%87%E6%95%B0%E5%A2%9E%E5%BC%BA%E7%AD%96%E7%95%A5%E7%9A%84%E7%AA%81%E5%9B%B4%E9%80%89%E6%8B%A9.pdf)
- [20221221-海通证券-高频策略交易成本的分析和预测](https://asset.quant-wiki.com/pdf/20221221-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%AB%98%E9%A2%91%E7%AD%96%E7%95%A5%E4%BA%A4%E6%98%93%E6%88%90%E6%9C%AC%E7%9A%84%E5%88%86%E6%9E%90%E5%92%8C%E9%A2%84%E6%B5%8B.pdf)
- [剔除高频因子空头组合后的中证500指数增强策略](https://asset.quant-wiki.com/pdf/20200527-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E5%85%AD%E5%8D%81%E4%BA%94%EF%BC%89%EF%BC%9A%E5%89%94%E9%99%A4%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E7%A9%BA%E5%A4%B4%E7%BB%84%E5%90%88%E5%90%8E%E7%9A%84%E4%B8%AD%E8%AF%81500%E6%8C%87%E6%95%B0%E5%A2%9E%E5%BC%BA%E7%AD%96%E7%95%A5.pdf)
- [选股因子系列研究（七十），日内市场微观结构与高频因子选股能力](https://asset.quant-wiki.com/pdf/20200829-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%87%91%E8%9E%8D%E5%B7%A5%E7%A8%8B%E4%B8%93%E9%A2%98%E6%8A%A5%E5%91%8A%EF%BC%9A%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E4%B8%83%E5%8D%81%EF%BC%89%EF%BC%8C%E6%97%A5%E5%86%85%E5%B8%82%E5%9C%BA%E5%BE%AE%E8%A7%82%E7%BB%93%E6%9E%84%E4%B8%8E%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E9%80%89%E8%82%A1%E8%83%BD%E5%8A%9B.pdf)
- [高频因子的现实与幻想](https://asset.quant-wiki.com/pdf/20200730-%E6%B5%B7%E9%80%9A%E8%AF%81%E5%88%B8-%E9%80%89%E8%82%A1%E5%9B%A0%E5%AD%90%E7%B3%BB%E5%88%97%E7%A0%94%E7%A9%B6%EF%BC%88%E5%85%AD%E5%8D%81%E4%B9%9D%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E7%9A%84%E7%8E%B0%E5%AE%9E%E4%B8%8E%E5%B9%BB%E6%83%B3.pdf)

### 财通证券

- [RSJ市场情绪冷暖剂](https://asset.quant-wiki.com/pdf/20200728-%E8%B4%A2%E9%80%9A%E8%AF%81%E5%88%B8-%E9%AB%98%E9%A2%91%E6%B3%A2%E5%8A%A8%E7%8E%87%E6%8B%A9%E6%97%B6%E6%8C%87%E6%A0%87%EF%BC%9ARSJ%E5%B8%82%E5%9C%BA%E6%83%85%E7%BB%AA%E5%86%B7%E6%9A%96%E5%89%82.pdf)

### 银河证券

- [期指Level2行情的价格发现研究及高频实战体会](https://asset.quant-wiki.com/pdf/20140815-%E9%93%B6%E6%B2%B3%E8%AF%81%E5%88%B8-CTA%E7%A8%8B%E5%BA%8F%E5%8C%96%E4%BA%A4%E6%98%93%E5%AE%9E%E5%8A%A1%E7%A0%94%E7%A9%B6%E4%B9%8B%E5%85%AB%EF%BC%9A%E6%9C%9F%E6%8C%87Level2%E8%A1%8C%E6%83%85%E7%9A%84%E4%BB%B7%E6%A0%BC%E5%8F%91%E7%8E%B0%E7%A0%94%E7%A9%B6%E5%8F%8A%E9%AB%98%E9%A2%91%E5%AE%9E%E6%88%98%E4%BD%93%E4%BC%9A.pdf)

### 长江证券

- [高频因子（二），结构化反转因子](https://asset.quant-wiki.com/pdf/20190601-%E9%95%BF%E6%B1%9F%E8%AF%81%E5%88%B8-%E5%9F%BA%E7%A1%80%E5%9B%A0%E5%AD%90%E7%A0%94%E7%A9%B6%EF%BC%88%E4%B8%83%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%EF%BC%88%E4%BA%8C%EF%BC%89%EF%BC%8C%E7%BB%93%E6%9E%84%E5%8C%96%E5%8F%8D%E8%BD%AC%E5%9B%A0%E5%AD%90.pdf)
- [高频因子（十二），日内与日间](https://asset.quant-wiki.com/pdf/20210606-%E9%95%BF%E6%B1%9F%E8%AF%81%E5%88%B8-%E5%9F%BA%E7%A1%80%E5%9B%A0%E5%AD%90%E7%A0%94%E7%A9%B6%EF%BC%88%E5%8D%81%E5%85%AB%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%EF%BC%88%E5%8D%81%E4%BA%8C%EF%BC%89%EF%BC%8C%E6%97%A5%E5%86%85%E4%B8%8E%E6%97%A5%E9%97%B4.pdf)
- [高频因子（十一），高频数据的微观划分](https://asset.quant-wiki.com/pdf/20210322-%E9%95%BF%E6%B1%9F%E8%AF%81%E5%88%B8-%E5%9F%BA%E7%A1%80%E5%9B%A0%E5%AD%90%E7%A0%94%E7%A9%B6%EF%BC%88%E5%8D%81%E4%B8%83%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%EF%BC%88%E5%8D%81%E4%B8%80%EF%BC%89%EF%BC%8C%E9%AB%98%E9%A2%91%E6%95%B0%E6%8D%AE%E7%9A%84%E5%BE%AE%E8%A7%82%E5%88%92%E5%88%86.pdf)
- [高频因子（六），特异视角下的波动率因子](https://asset.quant-wiki.com/pdf/20191013-%E9%95%BF%E6%B1%9F%E8%AF%81%E5%88%B8-%E5%9F%BA%E7%A1%80%E5%9B%A0%E5%AD%90%E7%A0%94%E7%A9%B6%EF%BC%88%E5%8D%81%E4%B8%80%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%EF%BC%88%E5%85%AD%EF%BC%89%EF%BC%8C%E7%89%B9%E5%BC%82%E8%A7%86%E8%A7%92%E4%B8%8B%E7%9A%84%E6%B3%A2%E5%8A%A8%E7%8E%87%E5%9B%A0%E5%AD%90.pdf)
- [高频因子（三），高频因子研究框架](https://asset.quant-wiki.com/pdf/20190721-%E9%95%BF%E6%B1%9F%E8%AF%81%E5%88%B8-%E5%9F%BA%E7%A1%80%E5%9B%A0%E5%AD%90%E7%A0%94%E7%A9%B6%EF%BC%88%E5%85%AB%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%EF%BC%88%E4%B8%89%EF%BC%89%EF%BC%8C%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E7%A0%94%E7%A9%B6%E6%A1%86%E6%9E%B6.pdf)
- [基于买入行为构建情绪因子](https://asset.quant-wiki.com/pdf/20170310-%E9%95%BF%E6%B1%9F%E8%AF%81%E5%88%B8-%E9%87%91%E5%B7%A5%E9%AB%98%E9%A2%91%E8%AF%86%E9%80%94%E7%B3%BB%E5%88%97%EF%BC%88%E4%B8%80%EF%BC%89%EF%BC%9A%E5%9F%BA%E4%BA%8E%E4%B9%B0%E5%85%A5%E8%A1%8C%E4%B8%BA%E6%9E%84%E5%BB%BA%E6%83%85%E7%BB%AA%E5%9B%A0%E5%AD%90.pdf)
- [高频因子（九），高频波动中的时间序列信息](https://asset.quant-wiki.com/pdf/20201012-%E9%95%BF%E6%B1%9F%E8%AF%81%E5%88%B8-%E5%9F%BA%E7%A1%80%E5%9B%A0%E5%AD%90%E7%A0%94%E7%A9%B6%EF%BC%88%E5%8D%81%E5%9B%9B%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%EF%BC%88%E4%B9%9D%EF%BC%89%EF%BC%8C%E9%AB%98%E9%A2%91%E6%B3%A2%E5%8A%A8%E4%B8%AD%E7%9A%84%E6%97%B6%E9%97%B4%E5%BA%8F%E5%88%97%E4%BF%A1%E6%81%AF.pdf)
- [高频因子（十），量价关系中的反转微观结构](https://asset.quant-wiki.com/pdf/20210128-%E9%95%BF%E6%B1%9F%E8%AF%81%E5%88%B8-%E5%9F%BA%E7%A1%80%E5%9B%A0%E5%AD%90%E7%A0%94%E7%A9%B6%EF%BC%88%E5%8D%81%E5%85%AD%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%EF%BC%88%E5%8D%81%EF%BC%89%EF%BC%8C%E9%87%8F%E4%BB%B7%E5%85%B3%E7%B3%BB%E4%B8%AD%E7%9A%84%E5%8F%8D%E8%BD%AC%E5%BE%AE%E8%A7%82%E7%BB%93%E6%9E%84.pdf)
- [高频因子（八），高位成交因子，从量价匹配说起](https://asset.quant-wiki.com/pdf/20200916-%E9%95%BF%E6%B1%9F%E8%AF%81%E5%88%B8-%E5%9F%BA%E7%A1%80%E5%9B%A0%E5%AD%90%E7%A0%94%E7%A9%B6%EF%BC%88%E5%8D%81%E4%B8%89%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%EF%BC%88%E5%85%AB%EF%BC%89%EF%BC%8C%E9%AB%98%E4%BD%8D%E6%88%90%E4%BA%A4%E5%9B%A0%E5%AD%90%EF%BC%8C%E4%BB%8E%E9%87%8F%E4%BB%B7%E5%8C%B9%E9%85%8D%E8%AF%B4%E8%B5%B7.pdf)
- [分布估计下的主动成交占比](https://asset.quant-wiki.com/pdf/20200810-%E9%95%BF%E6%B1%9F%E8%AF%81%E5%88%B8-%E5%9F%BA%E7%A1%80%E5%9B%A0%E5%AD%90%E7%A0%94%E7%A9%B6%EF%BC%88%E5%8D%81%E4%BA%8C%EF%BC%89%EF%BC%8C%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%EF%BC%88%E4%B8%83%EF%BC%89%EF%BC%9A%E5%88%86%E5%B8%83%E4%BC%B0%E8%AE%A1%E4%B8%8B%E7%9A%84%E4%B8%BB%E5%8A%A8%E6%88%90%E4%BA%A4%E5%8D%A0%E6%AF%94.pdf)
- [高频因子（五），高频因子和交易行为](https://asset.quant-wiki.com/pdf/20190810-%E9%95%BF%E6%B1%9F%E8%AF%81%E5%88%B8-%E5%9F%BA%E7%A1%80%E5%9B%A0%E5%AD%90%E7%A0%94%E7%A9%B6%EF%BC%88%E5%8D%81%EF%BC%89%EF%BC%9A%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%EF%BC%88%E4%BA%94%EF%BC%89%EF%BC%8C%E9%AB%98%E9%A2%91%E5%9B%A0%E5%AD%90%E5%92%8C%E4%BA%A4%E6%98%93%E8%A1%8C%E4%B8%BA.pdf)
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## 关于LLMQuant

LLMQuant是由一群来自世界顶尖高校和量化金融从业人员组成的前沿社区，致力于探索人工智能（AI）与量化（Quant）领域的无限可能。我们的团队成员来自剑桥大学、牛津大学、哈佛大学、苏黎世联邦理工学院、北京大学、中科大等世界知名高校，外部顾问来自Microsoft、HSBC、Citadel、Man Group、Citi、Jump Trading、国内顶尖私募等一流企业。