已转化
原始素材 #54
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来源类型量化博客聚合
中文翻译
美国炼油企业的跨资产领先-滞后交易【超越被动投资】
你可以实时观察炼油企业毛利率的变动：它以裂解价差的形式在期货市场逐笔交易，而赚取这一利润的股票则一贯滞后跟随。这种滞后虽小，却真实可靠、市场中性，且立足于一种机制而非曲线拟合。这是三部分系列的第一部分：本文呈现核心思路与实证证据，执行方法及其成本将在
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A Cross-Asset Lead-Lag Trade in US Refiners [Beyond Passive]
You can watch a refiner's gross margin move in real time: it trades in the futures market, tick by tick, as the crack spread and the stocks that earn it are reliably slow to follow. That lag is small, but it is honest, market-neutral, and it rests on a mechanism rather than a curve fit. This is the first of three parts: the idea and the evidence here, the execution and its costs in the
已转化
已转化为模式：美国炼油股滞后裂解价差的跨资产领先-滞后交易