量化股票投资：从实证资产定价角度看实践者的观点
发布时间：2026-06-26
6月
23
|
时间和日期
|
2026-06-23 (星期二) 10:00 上午
-
13:00 下午
|
| 标题 | 量化股票投资：从实证资产定价角度看实践者的观点 |
| 日期和时间 |
2026年6月23日（周二） 10:00 - 13:00 |
| 地点 | 综合教学楼A501会议室 |
| 主讲人 |
谢磊 |
| 摘要 | The first half of this talk characterizes the systematic equity investment process — signal generation, portfolio optimization, and execution — and locates alpha research within the portfolio problem as the estimation of expected returns. It surveys the current research workflow: feature engineering on traditional and alternative data, supervised learning with modern machine learning methods, walk-forward validation under strict multiple-testing discipline, and the combination of heterogeneous signals into a single forecast. Recent developments in sequence models for unstructured data and the emerging role of large language models as research infrastructure are also discussed. The second half considers how empirical asset pricing might productively orient itself as the industrial production of alpha matures. The discipline's enduring comparative advantage lies less in the discovery of new predictors than in addressing questions of welfare, capital allocation, and the real consequences of market efficiency. |
| 主讲人简介 |
谢磊博士此前任职于 Point72 旗下 Cubist Systematic Strategies，担任研究主管与投资组合经理，负责中频股票策略核心组合管理，并带领团队开展覆盖全球主要市场的多元化量化选股研究，涵盖技术指标、基本面、投资者情绪、另类数据及因子择时等方向，同时深入应用机器学习、深度学习与大语言模型等前沿方法。 在加入 Point72 之前，谢博士曾任职于 AQR Capital Management，担任董事总经理及 Global Stock Selection 部门量化研究负责人，参与多空股票策略的Alpha研究与组合管理，所在团队管理资产规模逾千亿美元。 谢磊博士拥有 耶鲁大学 金融学博士学位，以及 中国人民大学 金融学学士与硕士学位，研究成果发表于《Journal of Financial Intermediation》等国际期刊，并多次受邀在学术会议及高校演讲。 |
