从隐变量机制出发，推导出量化交易系统的核心约束条件。
The Axiomatic Trader: Latent Regularity, Information Budgets, and the Canonical Form of a Quantitative Investment System
- 将市场规律建模为不可观测的隐状态驱动的时不变机制。
- 确定五项关键常数：周期边界、表征偏差、相干时间、信号上限与状态依赖比例。
- 为量化交易系统提供理论架构，适合金融工程与算法交易研究者。
系统化交易基于一个基本信念：过去发现的规律会持续存在。我们将其表述为由不可观测的隐状态驱动的时不变机制，并证明在此框架下，研究人员只需定义五个常数——块长 $b$ 下的重复边界 $Lambda$、表征的不变性缺陷 $epsilon_0$、状态各坐标相干时间 $ell_i$、信号上限 $rho$ 以及依赖于状态的占比 $kappa$——之后，一个正确量化投资系统的结构几乎被唯一确定。
原文摘要 · Abstract (English)
Systematic trading rests on one article of faith: that regularities found in the past persist. We state it as a time-invariant mechanism driven by an unobserved latent state, and show that it leaves a researcher five constants to declare --- the recurrence bound $Lambda$ at a block length $b$, the invariance defect $epsilon_0$ of the representation it is declared of, the coherence times $ell_i$ of the state's coordinates, the signal ceiling $rho$ and the fraction $kappa$ of it contingent on the regime --- after which the architecture of a correct quantitative investment system is nearly forced.
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