论文标题
过多的样本外风险和短暂的模式
Excess Out-of-Sample Risk and Fleeting Modes
论文作者
论文摘要
使用随机矩阵理论，我们提出了一种通用且通用的工具，以揭示“短暂模式”的存在，即具有统计学上显着的多余风险的投资组合，在基础资产空间中的相关结构发生了统计学上的变化。我们提出的测试与“真实”（但未知）的基本相关结构无关。我们从经验上表明，这种短暂的模式都存在于期货市场和股票市场中。我们提出了一个指标，以量化已知因素和短暂模式之间的对齐方式，并将动量确定为股票空间中过度风险的来源。
Using Random Matrix Theory, we propose a universal and versatile tool to reveal the existence of "fleeting modes", i.e. portfolios that carry statistically significant excess risk, signalling ex-post a change in the correlation structure in the underlying asset space. Our proposed test is furthermore independent of the "true" (but unknown) underlying correlation structure. We show empirically that such fleeting modes exist both in futures markets and in equity markets. We proposed a metric to quantify the alignment between known factors and fleeting modes and identify momentum as a source of excess risk in the equity space.
